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©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:2006206209:(70472036):(19742),,,,;(19462),,,,,,,(,710049):,,,,,,:,,,:F830.56:A:100723221(2006)0620078205ResearchonLoan2to2valueRatiosofStandardInventoryFinancingLIYi2xue,XUYu,GENGZhong2feng,WANGFei(SchoolofManagement,XianJiaotongUniversity,Xian710049,China)Abstract:Determiningappropriateloan2to2valueratiosofcommoditycollateralcanmakebanksmitigatecreditriskofinventoryfinancingeffectively.Basedonreduced2formapproaches,thispaperestablishesabasicmodelonthedeterminationofloan2to2valueratios.Inthismodel,somefactors,suchasexogenousdefaultprobabili2ty,pricevolatilityofcommoditycollateral,markingtomarketfrequencyandmaturitytimeofloan,arecon2sideredsynthetically,sobanksmaydetermineappropriateloan2to2valueratiosofparticularinventoryfinancingoperationtokeeptheleveloftakenriskconsistent.Moreover,withtheextensionsforrealisticimplementa2tion,thispaperintroducestimetocapture,liquidityriskandnon2zerotriggerlevelintothebasicmodel.Keywords:finance;loan2to2valueratios;creditriskmanagement;inventoryfinancing0,,,[1][2],,,[3]:,,;,:,,,,,,,,,[4]©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[5],,,,,,,,Merton[6],Stulz&Johnson[7],Jokivuolle&Peura[8],,Cossin&Hricko[9],h(,1-h=),,,,,,,Cossin&Huang[10],Jarrow&Turnbull[11],Jarrow[12]Duffie&Singleton[13]Cossin&Huang[10],,,,,,,1,Smith&McCardle[14]Brennan&Schwartz[15],,a0B0,,,:(1),:i),ii),BB,iii),iv),lnB(t2)B(t1)NB-122B(t2-t1),2(t2-t1)(2)R,tvt=v0eRt(3),R,(4)T,,K,(K=T),0,,(=),(5)Q,Qk(k=1,2,3,,K),R,v0eR(k-1),ak-1,Bk-1,v0eR(k-1)=ak-1Bk-1,k,:(1)v0eRk=ak-1Bk-1,kk,976,:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2)v0eRkak-1Bk-1,,v0eRk=ak-1Bk-1,;(3)v0eRkak-1Bk-1,,v0eRk=ak-1Bk-1,,,,,v0eRk-ak-1Bk2k,v0eR(k-1)=ak-1Bk-1,ak-1=v0eR(k-1)/Bk-1,,lossk=e-rk(v0eRk-ak-1Bk)=e-rkv0eRk-v0eR(k-1)BkBk-1L,Lv0,L=lv0klosskL=lv0P(losskL)=Pv0eRk-v0er(k-1)BkBk-1lv0erk=P0BkBk-1(eR-le(rk-R(k-1)))=P-lnBkBk-1ln((eR-le(rk-R(k-1))))(1),D()=ln((eR-le(rk-R(k-1))))1,:lnBkBk-1NB-122B,2B(1)P(losskL)=ND()-B-122BB(2),,losskL5,Q,,kQ,,P(k)=QND()-B-122BB(3),k(1-Q)k-1,kL(1-Q)k-1P(k),,LP(lossL)=P(1)+(1-Q)P(2)++(1-Q)k-1P(k)=Kk=1P(k)(1-Q)k-1=Kk=1(1-Q)k-1QP(losskL)=Kk=1(1-Q)k-1QND()-B-122BB(4)P(lossL)P(lossL),Q,K,T(=T/K)R,,,,,,08200615©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(loss1=lv0),,[16]8%,PVaR=lv0=CaR+EL,CaR,8%v0,EL,,lv0,P(lossL=lv0),(4),,,,,,[17],RAROC,P(lossL=lv0)lv0VaR,RAROC=--ELCaRC%,ELC%,CaR,VaR=lv0=CaR+EL,lv0,P(lossL=lv0),(4)3.2,,k,(k+),,,,[18,19],,,,:k,v0eR(k-1)=ak-1Bk-1,ak-1=v0eR(k-1)/Bk-1,(k+),lossk=e-r(k+)(v0eR(k+)-ak-1Bk+(1-))=e-r(k+)v0eR(k+)-v0eR(k-1)Bk+Bk-1(1-)1,:lnBk+Bk-1NB-122B(1+),2B(1+),G()=lneR(1+)-le(r(k+)-R(k-1))1-,P(lossklv0)=P-lnBk+Bk-1G()=NG()-(1+)B-122BB(1+)P(k)=QNG()-(1+)B-122BB(1+)P(losslv0)=Kk=0(1-Q)k-1P(k),,,,,,,,,,,,186,:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1-d)v0eR(k-1),,k,ak-1Bk-1:[(1-d)v0eR(k-1),+],ak-1(1-d)v0eR(k-1)Bk-1k,lossk=e-rk(v0eRk-ak-1Bk)e-rkv0eRk-(1-d)v0eR(k-1)BkBk-10BkBk-1(eR-lerk-R(k-1))1-d,H()=ln(eR-lerk-R(k-1))1-d0P(losskL)NH()-B-122BB]0P(k)QNH()-B-122BB]0P(lossL)Kk=1(1-Q)k-1QNH()-B-122BB,Kk=1(1-Q)k-1QNH()-B-122BB,P(lossL)=Kk=1(1-Q)k-1QNH()-B-122BB4,,,,,,(99)28200615©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1].Eviews[M].:,2002.10:166,1732174.[2],.[M].:,2000.[3],.[J].,2006(4):44251.[4]PesaranMH,ShinY.Generalizedimpulseresponseanalysisinlinearmultivariatemodels[J].EconomicsLetters,1998,58(1):17229.[5]HasbrouckJ.Onesecurity,manymarkets:determiningthecontributionstopricediscovery[J].JournalofFinance,1995,50(4):117521199.[6]ShenCH,WangLR.Examiningthevalidityofatestoffuturesmarketefficiency:acomment[J].TheJournalofFuturesMarkets,1990,10(2):1952196.[7]JohansenS.Statisticalanalysisofcointegrationvectors[J].JournalofEconomicDynamicandControl,1988,12:2312254.[8]JohansenS.Estimationandhypothesistestingofcointegrationvectorsingaussianvectorautoregressivemodels[J].Econometrics,1991,59(6):199121580.[9]GarbadeKD,SilberWL.Pricemovementandpricediscoveryinthefuturesandcashmarkets[J].ReviewofEconomicsandStatistics,1983,65(2):2892297.[10]YoonB,BrorsedBW.Marketinversionincommodityfuturesprices[J].JournalofAgriculturalandAppliedEconomics,2002,34:4592476.[11]BrorsedBW,FofanaNF.Successandfailureofagriculturalfuturescontracts[J].JournalofAgribusiness,2001,19:1292145.(82):[1],,.[M].:,2006.[2],,.[J].,2004,23(5):68277.[3],.[J].,2005,2:24226.[4],.[J].,2003,15(9):45250.[5]Comptrolleroftheurrency,administratorofnationalbanks.accountsreceivableandinventoryfinancing[R].ControllersHandbook,2000,1275.[6]MertonR.Onthepricingofcorporatedebt:theriskstructureofinterestrates[J].TheJournalofFinance,1974,49:4492470.[7]StulzR,JohnsonH.Ananalysisofsecureddebt[J].JournalofFinancialEconomics.198