Research On The Pledge Ratio Of Inventory Financing Considering The Dual Risks Of Liquidity And Price

With the rise of cost and price of raw materials and labor,the problem of capital shortage of small and medium-sized enterprises becomes more and more prominent.The management model of supply chain finance emerged at the historic moment and provided a new path for SMEs to get out of this predicament.The inventory pledge financing business based on the concept of supply chain finance has made it easier for SMEs to obtain financing.However,due to the increasing risks of inventory pledge financing,scholars at home and abroad have begun to focus on the determination of key risk indicators such as the pledge rate.At present,the domestic theoretical and practical circles' pricing research on the pledge rate of inventory pledge financing is mostly based on single price risk or credit risk,which is only considered from a single risk perspective.This article attempts to construct a pricing model of inventory pledge financing pledge rate that takes into account both liquidity risk and price risk.Therefore,this paper uses the AR(1)-GARCH(1,1)-GED volatility model to characterize the autocorrelation,agglomeration,and thick-tail characteristics of return volatility.Introduce the concept of optimal liquidation time as an indicator of endogenous liquidity risk.Then,it gives the analytical formula of long-term price risk VaR considering the autocorrelation of yield,the time-varying of volatility and the risk window T.Later,the modified La-VaR method was used to adjust the liquidity of the long-term VaR value,which provided a more reasonable pledge rate model for the less liquid inventory.On this basis,taking the cotton price fluctuation data of zhengshangsuo as an example,the pledge rate is obtained based on AR(1)-GARCH(1,1)-La-VAR model.The rationality test is performed,and the results show that compared with the traditional Risk Metrics model,the exception ratio of the pledge rate obtained by the model that takes into account liquidity risk and price risk is significantly smaller and has a higher risk coverage.Other types of inventory were selected for comparative analysis,which further tested the applicability of the model in this paper.