基于VaR的动产动态质押预警值设定的实证研究

动产质押开展的效率是金融物流发展前景的风向标,其核心问题是动产动态质押预警值的设定,以质押品风险价值(VaR)为依托建立模型以设定预警值,其关键是对贷款额度、退出成本与期望收益三个影响因素的研究。研究结果表明,目前商业银行等金融机构对于预警值的设定与模型所得预警值是相吻合的。

An Empirical Study on Setting of Alarm Value for Dynamic Chattel Pledge Based on VaR

The efficiency of the chattel pledge business is an important indicator for the prospect of the development of financial logistics,for which the core problem is the setting of the alarm value for dynamic chattel pledge.The paper establishes a model of such alarm value on the basis of the value at risk of the chattel under pledge and focuses on studying the influence factors such as the line of credit of the loans in the pledge,the exit cost and the expected revenue.The result shows that the setting of alarm value by financial institutions such as commercial banks can be corroborated by this model.