Abstract: The exporting offshore/in-transit inventory financing is a unified credit granted by banks to shipping logistics companies. While offering logistics services such as maritime transportation of export goods, warehousing and supervision, shipping logistics companies provide pledged loans to export enterprises with capital needs. Under this model, banks, exporters and shipping logistics companies can achieve a mutual benefit and win-win situation. The key problem for shipping logistics companies to issue loans to exporters is how to determine the reasonable loan-to-value ratio according to the market value of collaterals. Under the financing mode of exporting offshore/in-transit inventory, shipping logistics companies are faced with the risk of collateral price fluctuation when they make decisions on the loan-to-value ratio, and different attitude to risk will lead to different decision-making results.
   This paper introduces the mixture CVaR criterion to formulate a decision model for exporting offshore/in-transit inventory financing and discuss the decision of loan-to-value ratios considering three different kinds of risk attitude simultaneously. Compared with the existing research, the mixture CVaR risk measurement is used to explore the bounded rationality characteristics of shipping logistics companies, which makes up for the deficiency: traditional CVaR can only reflect the single psychology of risk avoidance. In the basic model constructed above, at the end of the pledge period, when the exporter defaults, the income of shipping logistics companies is determined by the market price of collaterals at the moment. However, there are many uncertain factors in the liquidation and realization of collaterals, such as a series of judicial procedures caused by exporter default, bargaining problems, etc. The realization time of collaterals is prone to delay, which aggravates loan risks. At the same time, shipping logistics companies need to pay a certain transaction cost when clearing collaterals, and there also exists a liquidity risk of collaterals due to the massive quantity, which needs to be realized on the basis of the market price according to a certain discount. In this regard, this paper considers the influence of a liquidation time delay and liquidity risk on the realization of collaterals, establishes an extended loan-to-value ratio decision model, and discusses the impact of price risk and liquidity risk on the pledge decision of shipping logistics companies by comparing with the basic model. The extended model introduces the factors of liquidation and liquidity risks, and solves the problems with high loan-to-value ratio and loan risk caused by the neglect of liquidation stage in the existing research.
   The results show that under the same risk attitude, the loan-to-value ratio calculated by the extended model is lower than that of the basic model. The delay of collateral settlement and insufficient market liquidity aggravate the loan risk, so the loan-to-value ratio should be lowered to control the risk. The optimal loan-to-value ratio under the risk-seeking psychology is the highest, followed by the risk-neutral and risk-averse. The more drastic the fluctuation of collateral’s price, the lower the loan-to-value ratio. The loan-to-value ratio is negatively correlated with the freight rate in the shipping market. When the shipping market is depressed and the freight rate falls, the profit margin will be reduced, and the promotion of loan services could be increased.
   When the traditional shipping service is in recession, shipping logistics companies could actively seek new growth points, accelerate the pace of logistics financial business expansion, and improve the comprehensive competitiveness via exporting offshore/in-transit inventory financing service. In this process, it is particularly important to establish the whole-process management mechanism of loan risk, which should cover all aspects such as pre-loan review, in-loan monitoring and post-loan tracking, so as to realize real-time monitoring and early warning of risks and ensure the steady operation of financing business. At the same time, shipping logistics companies also need to especially strengthen the risk control in the liquidation stage, improve relevant systems and procedures, so as to effectively reduce the bad debt rate, ensure the safety of funds, and thus extend the shipping logistics service chain and expand the profit space.

Key words: exporting offshore/in-transit inventory financing, mixture CVaR criterion, loan-to-value ratio, liquidation delay, liquidity risk

摘要： 出口海陆仓融资模式中,海运物流企业在制定质押率时面临质押货物价格波动风险,不同的风险态度会导致决策结果存在差异。本文在质押物价格不确定的条件下,引入混合CVaR风险度量准则,构建同时刻画三种不同风险态度的出口海陆仓质押融资决策模型,讨论海运物流企业的最优质押率。进一步拓展基础模型,考虑清算延迟与流动性风险对质押物价值变现的影响。结果表明:质押物清算延迟与不充足的市场流动性加剧了贷款风险,需下调质押率以管控风险。海运物流企业在风险追逐偏好下的质押率水平最高,其次是风险中性,风险规避下数值最低。质押物价格的波动程度越剧烈,质押率水平越低。质押率与运价呈负相关,当传统海运市场不景气时,海运物流企业会加大物流金融业务的拓展力度。海运物流企业应建立全程、实时的质押贷款风险监测与预警机制,强化贷款清偿阶段的风险管理。

关键词: 出口海陆仓融资, 混合CVaR, 质押率, 清算延迟, 流动性风险