关键词: 出口海陆仓, 质押率, 信用额度, 外生违约概率, 优化

Abstract: The loan-to-value ratios optimization is one of the key issues in the decision-making of exporting offshore/in-transit inventory financing. In this paper, the issue of exporting offshore/in-transit inventory financing decisions concerning triple overlapped risks is addressed, including the exporter's credit risk, the exporter's and the importer's exogenous default risks, and the collateral value fluctuation risk. Based on the theory of double Stackelberg game, in the context of given exporter's credit line and given exogenous default probabilities of exporter and importer, the authors establish the linkage optimization models among the price of goods, the order quantity and the loan-to-value ratio. The objective of the models is to maximize the respective expected profit of the exporter, the importer and the shipping company under supply chain coordination and equilibrium. Differential and backward induction methods are designed to solve the models. The numerical example verifies the applicability and validity of the proposed models. The results of sensitivity analysis show that the loan-to-value ratio has a negative correlation with the exporter's credit line, and is insensitive to the exogenous default probabilities of exporters and importers. The findings would provide scientific guidance to the optimal decision-making of exporting offshore/in-transit inventory financing.

Key words: exporting offshore/in-transit inventory, loan-to-value ratios, credit line, exogenous default probability, optimization