Study on the Credit Extension Ratio of Accounts Receivable Financing of the Supply Chain Finance Mode

Yong ZHANG¹, Yihong RU¹, Yongzhen GENG²

¹Department of Economics and Management, Beijing Jiaotong University, No.3 of Shangyuancun, Haidian District, Beijing, China, 100044

²Global Industrial Supply Co., LTD, NO.1 West Llake along the Armour, DeShengmen, Xicheng District, Beijing,China, 100035 Email: bjtuzhangyong@163.com, yhru@center.njtu.edu.cn, gengyz@bj-gis.com

Abstract: In the background of accounts receivable financing of supply chain finance mode, accounts receivable financing has more risk than the pledge of CDs and the key point to manage the risk successfully is to figure out the credit extension ratio. This paper uses KMV and VaR model to develop a new scientific method to calculate the credit extension ratio and do an empirical research proving that the model can help banking organizations to lower their risk effectively.

Keywords: Supply chain finance; accounts receivable financing; credit extension ratio; KMV model; VaR model

1 Introduction

Enterprises financing difficulty is one of bottlenecks that hinders the development and expansion of our business in China. One of the key reasons is that Chinese government only allow real estate, mechanical equipment or transportation etc. as mortgages to get bank loans in a very long term. Thus in financial practice, banks in China tend to receive land, buildings etc. as mortgages to offer loans to enterprises. But the implement of the PRC Property Law on October 1st, 2007 expanded the movables mortgages range, it provisions that accounts receivables, raw materials, finished products, semi-finished products etc. can be set as loan mortgages, the implementation of this law provided a legal basis for movable property secured financing.

In this paper, we talk about a form of accounts receivable financing between banks and enterprises. That is A enterprise applys mortgage loans from a bank while the mortgage will be the accounts receivable of the A enterprisersquo;s balance sheet^[1]. In this form of accounts receivable financing, the accounts receivable just act as a mortgage instead of selling the companys accounts receivable at a discount, we can also name this form of financing channel as pledge of accounts receivable financing.

Of course, in todayrsquo;s increasingly competitive financial world, successful risk management means too much for modern bankers. Among the risks that banks face, credit risk measurement has evolved dramatically over the last 20–30 years. As the rapid development of ac-counts receivable financing, we can realize that accounts receivable financing has more risk than the pledge of CDs. The key point to manage the risk successfully is to

资助信息：本研究受课题项目《中韩物流技术比较研究》及《京城 控股集团供应链协同咨询项目》资助。

figure out the credit extension ratio. In this paper, we developed a method to figure out the credit extension ratio based on KMV and VaR model, and we also handle an empirical research to apply this method.

2 Accounts receivable financing and credit ratio

Pledge of accounts receivable financing is one of the main varieties of credit to solve the financing problem of SMEs in the world. According to a survey handled by the World Bank which covers in 130 countries and regions, more than 83% of the countries and regions have developed the pledge of accounts receivable financing. In the USA, accounts receivable financing transactions account for a quarter of all commercial loans and its average annual growth rate is about 12%, up to the year of 2007, the total of accounts receivable financing reached to 545 billion. Another example, almost all banks in Australia support accounts receivable financing and the official government is actively preparing to bring the security interest into chattel security law to provide legal basis for the rapid development^[2].

The basic business process of accounts receivable financing in China is shown in the following figure2-1.

1. Sellers sign business contract with buyers.
2. Sellers deliver goods to buyers, after examining, the accounts receivable between two parties are established, buyers issue relevant documents to sellers.
3. Sellers offer dispatch bill and accounts receivable pledge documents to banking organization.
4. Buyers offer warehouse warrant accounts receivable confirmation documents and the commitment to pay to banking organization.
5. According to the qualified documents, banking organization offer loans to the sellers at the rate of 50% to

80% of the total of accounts receivable.

6. After receiving the accounts receivable from buyers, sellers pay off the loans.

Accounts receivable financing is an innovation in the pledge of right and it has developed rapidly. But we can realize that accounts receivable financing has more risk than the pledge of CDs. The key point to manage the risk successfully is to figure out the credit extension ratio. In this following, we developed a scientific method to figure out the credit extension ratio based on KMV and VaR model.

Figure 2-1. Basic process of pledge of accounts receivable financing

3 The KMV model

3.1 The constructions of the KMV Model

The KMV model is based on option theory, it assumes that only when the asset value of a company under a point, the default will happen. Therefore, this point is defined as Default Point. At the same time, KMV model assumed that the investment portfolio is highly decentralized, the market rate and economic conditions can be predefined, and the debt structure is almost c

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供应链金融模式应收账款融资信用额度研究

Yong ZHANG¹, Yihong RU¹, Yongzhen GENG

北京交通大学经济管理学院，北京市海淀区上原村3号，

全球工业供应有限公司，北京市西城区德胜门1号西湖1号100035邮箱：bjtuzhangyong@163.com，yhru@center.njtu.edu.cn，gengyz @ bj-gis.com

摘要：在供应链金融模式的应收账款融资背景下，应收账款融资比CD承诺风险更大，成功管理风险的关键点是确定信贷扩张比例。 本文采用KMV和VaR模型开发一种新的科学方法来计算信用扩张比率，并进行实证研究，证明该模型可以帮助银行业组织有效降低风险。

关键词：供应链金融; 应收账款融资; 信用额度比率; KMV模型; VaR模型

1 引言

企业融资困难是阻碍我国企业发展壮大的瓶颈之一。 其中一个主要原因是中国政府只允许房地产，机械装备或运输等作为抵押贷款长期获得银行贷款。 因此，在金融实践中，中国的银行往往以土地，建筑物等作为抵押贷款向企业提供贷款。 但是，2007年10月1日“中华人民共和国财产法”的实施扩大了动产抵押的范围，规定应收账款，原材料，成品，半成品等可以设定为贷款抵押， 这项法律的实施为动产提供融资的法律依据。

在本文中，我们讨论了银行与企业之间的应收账款融资形式。 那是一家企业从银行申请抵押贷款，而抵押是A公司资产负债表的应收账款[1]。 以这种形式的应收账款融资，应收账款仅作为抵押贷款，而不是以折扣方式出售公司的账目，我们也可以将此形式的融资渠道称为应收账款融资承诺。

当然，在当今竞争日益激烈的金融世界中，成功的风险管理对现代银行家来说意义重大。 在银行面临的风险中，信贷风险测算在过去20-30年间急剧演变。 随着应收账款融资的快速发展，我们可以认识到应收账款融资风险高于CD的承诺风险。成功管理风险的关键在于计算出信用额度。 在本文中，我们开发了一种基于KMV和VaR模型计算信用扩展比率的方法，并且我们还应用这种方法进行实证研究。

2应收账款融资与信贷比率

应收账款融资是解决世界中小企业融资问题的主要信贷品种之一。 据世行处理的覆盖130个国家和地区的调查显示，超过83％的国家和地区开展了应收账款融资承诺。 在美国，应收账款融资交易占所有商业贷款的四分之一，其平均每年增长率约为12％，截至2007年，应收账款融资总额达到5450亿美元。 另一个例子，澳大利亚几乎所有的银行都支持应收账款融资，官方政府正在积极准备把担保权益带入动产安全法，为快速发展提供法律依据[2]。

中国应收账款融资基本业务流程如下图2-1所示。

1.卖家与买家签订业务合同。

2.卖方向买家交货，经审查后，双方之间的应收账款成立，买家向卖家发放相关文件。

3.卖方向银行机构提供发货单和应收账款质押文件。

4.买方提供仓单，应收账款确认凭证和承诺支付给银行机构。

5.根据合格文件，银行机构以50％的利率向卖方提供贷款应收账款总额的80％。

6.从买家收到应收账款后，卖家退还贷款。

应收账款融资是权利承诺的创新，发展迅速。 但是我们可以认识到，应收账款融资比CD的承诺风险更大。 成功管理风险的关键在于弄清信用额度。 在下文中，我们开发了一种科学的方法来计算基于KMV和VaR模型的信用额度比率。

图2-1。 应收账款融资基本过程

3 The KMV model

3.1 KMV模型的结构

KMV模型是基于期权理论，它假设只有当某个公司的资产价值在一个点上时，默认会发生。 因此，这一点被定义为默认点。 同时，KMV模型假设投资组合高度分散，市场利率和经济状况可以预先确定，债务结构几乎不变。 计算EDF（预期默认频率）的步骤如下：

（1）计算资产值（VA）和波动率

基于Black-Scholes-Merton模型的ROA（A）。

（2）根据公司的负债计算违约点和违约距离（DD）。 它可以定义为：

DP =短期负债 1/2期长期负债。 默认的可能性也可以定义为其总资产的价值小于其默认值的可能性，我们可以将DD（默认距离）定义为：在风险期间，值的相对距离 的资产从目前的水平下调至默认值。它可以计算为：

_{DD } ^V A ^{ DP}

V_A _A

（3）计算出预期的默认频率（EDF）。

理论上，EDF假设VA受到正态分布的影响。 我们可以基于EDF估算VA和A。

因此，我们应该计算VA和A。

根据伊藤的引理，可以看出，公司及其股本的波动与以下因素有关：

 _E  ^VA  _A (1)

V

E

其中被定义为套期保值比率或N（d 1）。 VE是公司股权的市场价值。 由于我国上市公司股权与不可转让股份之间存在差异，股权可以计算为股权=流通股 每股净资产*（股本 - 可交易股）。

与此同时，



其中n是交易的总天数，ū是个平均值返回系列, 存在我们的收盘价。最重要的是我们可以计算出DD，然后设置时间默认点如等式（3）

EDF =(1-N(DD)) 100 (3)

其中N（DD）是累积标准正态分布函数。

3.2信用额度的计算

3.2.1风险价值的定义和计算

我们可以根据一家公司的风险，确定应收账款百分比的信用额度账户的数量。 本文使用风险价值模型来计算贷款质押率，即信用额度比率。

在正态分布的假设下，资产的风险价值可以计算为

VaR  Pt  t

(4)

在上述计算中，alpha;是对应于所选置信度的Z的值;Delta;t是观察期（本文假设为120天）;delta;是资产收益率的标准差观察期;Pt是目前的市场价值时一个资产，我们设置Pt为方程（5）:

Pt

 P  1 EDF 

(5)

3.2.2计算信用额度的步骤

根据资产价格，可以分为三个步骤来计算信贷扩张比率：首先计算收益率，然后计算VaR，第三，信用增长率。我们已经完成了收益率和风险价值的计算。 抵押资产的价值可以设定为^{SV  Pt VaR t 。因此，贷款质押率（信贷扩张比率）可以定义为方程（6）}

t	SV	100% 		Pt VaR t 		100%
	Pt				Pt
P  1  EDF  VaR			t 		100%	(6)
P  1  EDF 

4 实证方法和数据特征

4.1数据的选择和描述

本文选择了三家2010年获得特殊待遇的公司（ST），其他三家正式对应的公司。 我们在2010年全年的这6家公司中获得了财务数据。 相关的两家公司在同一证券交易所上市，属于同一证券监督管理委员会（SRC），而且资本规模相似。具体数据如表4-1所示：

表4-1。 样本的基本信息和财务数据

lt;

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			-		t
			过渡份额			长期负债
股票 代码	股票名称	总股数		资产净值	流动负债
		Million	Million	per share	（Yuan）	（Yuan）
		Share	Share	（Yuan）
00069	*STY	323.24	268.48	0.439	312156000	0
1	T
00070	HNZH	282.80	266.61	1.51	468682500