Model Setting Of Dynamic Pledge Rate Of Inventory Pledged Financing Under Unified Credit Mode

In order to solve the problem of financing difficulties for small and medium-sized enterprises,banks and other financial institutions gradually credited logistics to carry out inventory pledge financing business.The core of the risk control of logistics enterprises in this business lies in the setting of pledge rate.The pledge rate is the ratio of the value of the loan to the value of the pledge inventory,the value of the loan refers to the value of the pledge inventory minus the risk loss and capital cost faced by the logistics enterprise.The risks faced by logistics enterprises in carrying out inventory pledge financing business mainly include pledge risk,default risk of small and medium-sized financing enterprises,regulatory risk of third-party logistics enterprises and macro environmental risks.This paper studies the key factors affecting the setting of dynamic pledge rate,at the time,the risk of pledge price fluctuations,liquidity risk and financing costs are mainly considered.Under normal circumstances,logistics companies will choose inventory that is easy to store,transport and supervise,and has high liquidity and low price fluctuations as pledge.Therefore,this paper chooses aluminum as the pledge for research.Based on the logarithmic daily yield data of aluminum in Shanghai Futures Exchange from 2013 to 2017,based on the data distribution with agglomeration,peak thickness and autocorrelation,we first establish VaR-subordinate to generalized error distribution,the GARCH(1,1)model obtains a risk value model that only considers the price fluctuation of the pledge;secondly,the liquidity index is substituted into the model,and the risk value model adjusted by the liquidity risk is obtained;finally,the risk of the pledge price fluctuation is comprehensively considered.The liquidity risk and financing cost have obtained the corresponding loan value,and the dynamic pledge rate and failure rate of the above three different situations have been obtained.Through comparative analysis of dynamic pledge rates under three different situations,it can be seen that the dynamic pledge rate error calculated when considering the pledge price fluctuation risk is large,the failure rate is high,and the model setting is significantly unreasonable;at the same time,the pledge price fluctuation is considered,the dynamic pledge rate calculated in the risk and liquidity risk is more accurate than the dynamic pledge rate calculated when considering the price volatility risk alone,and the failure rate is significantly reduced,but there are still deficiencies;on the basis of the two,the financing enterprise is considered,the dynamic pledge rate calculated at the cost of capital is the most accurate and the model is also the most reasonable.Based on the above analysis,it is found that when logistics enterprises carry out inventory pledge financing business under the unified credit mode,they should consider as much as possible the factors affecting the dynamic pledge rate setting,the pledge price volatility risk,liquidity risk and financing cost of financing enterprises selected in this paper,it plays a key role in the dynamic pledge rate setting,it is reasonable to consider the dynamic pledge rate calculation model set by the above three key factors.