Abstract:This paper addressed the issue of loan-to-value ratios optimization on exporting offshore/in-transit inventory financing under the condition that the collateral price follows geometric Brownian motion process and shows a liner negative correlation with demand. Firstly, the probabilities of the events occurred in the exporting offshore/in-transit inventory financing were figured out through the analysis of conditional probability. After that, the piecewise function model of the shipping company's financing (expected) profit was established concerning both the land storage costs and ocean freights. Finally, this paper gave the optimization solution steps of the algorithm by using the numerical approximation method and analytical method. Numerical example verified the applicability and validity of the proposed model and algorithm. The results of sensitivity analysis show that the optimal loan-to-value ratio has a negative correlation with the price of collaterals and a positive correlation with the volume of collaterals, respectively; the maximum expected profit of the shipping company has a positive correlation with the price of collaterals. An additional finding is that the maximum expected profit of the shipping company rises firstly and then declines with the increasing of the volume of collaterals. The findings of this paper can provide a scientific reference for the shipping company in financing optimization decisions.
王滋承, 杨华龙, 周咏. 价格呈几何布朗运动规律的出口海陆仓质押率优化[J]. 系统工程理论与实践, 2017, 37(10): 2571-2581.
WANG Zicheng, YANG Hualong, ZHOU Yong. Optimization on loan-to-value ratios of exporting offshore/in-transit inventory financing with geometric Brownian motion process price. Systems Engineering - Theory & Practice, 2017, 37(10): 2571-2581.
[1] 陈云, 刘喜, 杨琴. 基于清算延迟和流动性风险的供应链存货质押率研究[J]. 管理评论, 2015, 27(4):197-208.Chen Y, Liu X, Yang Q. Pledge rate research of inventory financing in supply chain financing based on delayed liquidation and endogenous liquidity risk[J]. Management Review, 2015, 27(4):197-208. [2] He J, Wang J, Jiang X L, et al. The long-term extreme price risk measure of portfolio in inventory financing:An application to dynamic impawn rate interval[J]. Complexity, 2015, 20(5):17-34. [3] 于辉, 甄学平. 中小企业仓单质押业务的质押率模型[J]. 中国管理科学, 2010, 18(6):104-112.Yu H, Zhen X P. Loan-to-value ratios model of pledge by warehouse receipts for small and medium enterprises[J]. Chinese Journal of Management Science, 2010, 18(6):104-112. [4] 李毅学, 冯耕中, 张媛媛. 委托监管下存货质押融资的关键风险控制指标[J]. 系统工程理论与实践, 2011, 31(4):587-598.Li Y X, Feng G Z, Zhang Y Y. Key risk control indicator of inventory pledge financing under consigning supervision[J]. Systems Engineering-Theory & Practice, 2011, 31(4):587-598. [5] 白世贞, 徐娜. 基于存货质押融资的质押率决策研究[J]. 系统工程学报, 2013, 28(5):617-624.Bai S Z, Xu N. Study of loan-to-value ratios decisions on inventory financing[J]. Journal of Systems Engineering, 2013, 28(5):617-624. [6] Hu H Y, Zhang Z J, Zhou W L. Inventory financing under stochastic demand and order decisions[J]. Journal of Interdisciplinary Mathematics, 2015, 18(1-2):179-196. [7] 张钦红, 赵泉午. 需求随机时的存货质押贷款质押率决策研究[J]. 中国管理科学, 2010, 18(5):21-27.Zhang Q H, Zhao Q W. Research on loan to value ratio of inventory financing when demand is stochastic[J]. Chinese Journal of Management Science, 2010, 18(5):21-27. [8] 晏妮娜, 孙宝文. 考虑信用额度的仓单质押融资模式下供应链金融最优策略[J]. 系统工程理论与实践, 2011, 31(9):1674-1679.Yan N N, Sun B W. Optimal strategies for supply chain financing system based on warehouse receipts financing with credit line[J]. Systems Engineering-Theory & Practice, 2011, 31(9):1674-1679. [9] 徐鹏, 王勇. 存货质押融资业务下的经济订货批量模型[J]. 系统工程理论与实践, 2011, 31(11):2077-2087.Xu P, Wang Y. Economic ordering quantity model under inventory financing[J]. Systems Engineering-Theory & Practice, 2011, 31(11):2077-2087. [10] Frye J, Ashley L, Bliss R, et al. Collateral damage:A source of systematic credit risk[J]. Risk, 2000, 13(4):91-94. [11] Cossin D, Huang Z, Auron-Nerin D, et al. A framework for collateral risk control determination[R]. European Central Bank:Working Paper Series, 2003. [12] Damjanovic T, Girdenas S. Quantitative easing and the loan to collateral value ratio[J]. Journal of Economic Dynamic and Control, 2014(45):146-164. [13] 李毅学, 冯耕中, 徐渝. 价格随机波动下存货质押融资业务质押率研究[J]. 系统工程理论与实践, 2007, 27(1):42-48.Li Y X, Feng G Z, Xu Y. Research on loan-to-value ratio of inventory financing under randomly-fluctuant price[J]. Systems Engineering-Theory & Practice, 2007, 27(1):42-48. [14] 严飞, 汪传旭. 货价呈现布朗运动规律的海陆仓融资收支利率优化研究[J]. 复旦学报(自然科学版), 2011, 50(1):114-120. Yan F, Wang C X. Optimization on shipping company's income and withdrawal rates under the commodity finance cabin model for the products with Brownian motion process price[J]. Journal of Fudan University (Natural Science), 2011, 50(1):114-120. [15] 王功荣, 曾诚, 胡正伟. 航运企业在"海陆仓"融资方式中的法律风险及防范[J]. 中国海商法研究, 2013, 24(3):109-115.Wang G R, Zeng C, Hu Z W. On the risk prevention of the shipping enterprises in offshore/in-transit inventory financing[J]. Chinese Journal of Maritime Law, 2013, 24(3):109-115. [16] 廖鑫凯, 赵波, 许仲生. "出口海陆仓"供应链融资模式探析[J]. 青岛远洋船员职业学院学报, 2012, 33(1):30-34.Liao X K, Zhao B, Xu Z S. Feasibility study on offshore/in-transit inventory financing:A novel model of global supply chain finance[J]. Journal of Qingdao Ocean Shipping Mariners College, 2012, 33(1):30-34. [17] McCardle K F, Smith J E. Valuing oil properties:Integrating option pricing and decision analysis approaches[J]. Operations Research, 1998, 46(2):198-217. [18] Brennan M J, Schwartz E S. Evaluating natural resource investments[J]. Journal of Business, 1985, 58(2):135-157. [19] 杨智元. 证券价格按几何布朗运动变化的微观解释[J]. 数学的实践与认识, 2003, 33(3):52-55.Yang Z Y. A microeconomic explanation for the security price follows geometric Brown movement[J]. Mathematics in Practice and Theory, 2003, 33(3):52-55.