Study On Pledge Rate Decision Of Futures Bonded Warehouse Receipts Pledge

Since 2012,Shanghai Yangshan Bonded Port Area officially launched the futures bonded warehouse receipt pledge business,special customs supervision realized areas futures bonded delivery from pure logistics business expansion into financial services.Futures bonded warehouse receipt pledge business as a new financing business model carried out in customs supervision,it not only accelerated the transfer speed of funds in the region,but also meet the high demands of third-rate one operation-logistics,capital flow,information flow,and solved the problem of import and export enterprises,which is the difficult of financing.It also solved the problem of the bank,such as the difficult of bank lending.Many factors affects the develop of futures bonded warehouse receipt pledge business,pledge rate as a key indicator,its reasonable setting has a major impact on the end benefit of commercial banks,financing companies and bonded warehouse.This thesis has analysed the present logistics situation,processes of futures bonded the warehouse receipts pledge and the risk of this business,getting a conclusion that pledge rate is a key indicators affecting development of futures bonded the warehouse receipts pledge business.Thus this thesis analyses the influential factors of pledge rate,and summarized it to qualitative and quantitative factors,and determined the range of pledge rate by using the VaR.For the problem of default probability,this thesis has established game model between bank and financing corporate,and also built a game model which included bank,financing corporate and bonded warehouse.It gets a conclusion in the game model between bank and financing corporate,bank can improve revenue by controlling of the collateral even with a low pledge rate when the bank drop the cost of access to information,reduced the cost of recovering the loan.In the three-parties game model,this thesis focused on conspiring condition between financing corporate and warehouse,we found that setting pledge rate reasonably,it can guarantee bank earnings in the best case,and can also avoid conspiring between financing corporate and warehouse effectively.This thesis has established a mathematical model of pledge rate based on option theory to analyse quantitative factors.This thesis regarded the pledge loan guarantees value in futures bonded warehouse receipt pledge business as a European put option,deriving the mathematical decision model of pledge rate in the futures bonded warehouse receipt pledge business with Black-Scholes option pricing model.And doing sensitivity analysis to three factors affecting the pledge rate using Matlab2012,the three factors are collateral value fluctuation level,loan interest rate and loan term,it can guide the bank to respond timely when those factors changes,to improve its response capability of risk.Finally,this thesis conduct an empirical application using the copper futures actual data in 2015 to 2016,provide a reference to pledge rate decision in the real business of bank.