CN109685651A - The credit risk monitoring method and device of current assets mortgage - Google Patents
The credit risk monitoring method and device of current assets mortgage Download PDFInfo
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- CN109685651A CN109685651A CN201910028122.4A CN201910028122A CN109685651A CN 109685651 A CN109685651 A CN 109685651A CN 201910028122 A CN201910028122 A CN 201910028122A CN 109685651 A CN109685651 A CN 109685651A
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Abstract
The present invention provides the credit risk monitoring methods and device of a kind of current assets mortgage, wherein this method comprises: obtaining prediction distribution figure before borrowing according to historical price data, different credit risk control parameter values and current assets mortgage credit risk monitoring model；Or according to real time price data, different credit risk control parameter value and current assets mortgage credit risk monitoring model, borrowed in monitor distribution map；Prediction distribution figure and monitoring distribution map in loan include: the corresponding different credit evaluation index values of different credit risk control parameter values before the loan；It receives user and best credit risk control parameter value is predicted according to best credit evaluation index value by the best credit evaluation index value that prediction distribution figure before borrowing determines；Or according to distribution map is monitored in loan, risk monitoring and control processing operation is carried out to the credit transaction for implementing current assets mortgage.Above-mentioned technical proposal improves the accuracy rate and efficiency of the credit risk monitoring of current assets mortgage, greatly advances current assets mortgage financing business development.
Description
Technical field
The present invention relates to risk monitoring and control technical field, in particular to the credit risk monitoring method and dress of a kind of current assets mortgage
It sets.
Background technique
Current assets mortgage is a kind of mortgage set up using warehouse receipt as subject matter.Current assets mortgage is as a kind of novel financier
On the one hand formula carries out diversified economy for storage enterprise's extended theorem project and provides wide stage, be also on the other hand solution
Financing problem provides effective solution.
Pledge the two big elements that value of goods fluctuation and credit risk under warehouse receipt item are current assets mortgage financings.Currently, with
The popularization and application of supply chain financial business, each financial institution start to analyze for current assets mortgage Risk Modeling, establish current assets mortgage
Credit risk calculates monitoring system.However, current assets mortgage credit risk monitoring system scheme has the following problems mostly:
1, it mainly gives a discount for evaluation price by assessment spot price, stops the margin of safety of credit risk.In order to
It avoids pledging price of goods under warehouse receipt item to plummet, the 60% of the often estimated value of insufficient collateral security of actually offering loans,
So that current assets mortgage financing business model is difficult to promote.
2, the majority parameters of current assets mortgage risk monitoring and control index system are qualitative indexes, therefore generally require to pass through expert
The marking modes such as judge, increase the subjectivity of risk measurement, lead to risk monitoring and control low efficiency.
3, the monitoring appraisement system method of taking fuzzy mathematics quantifies index mostly, therefore, it is necessary to it is each because
Element carries out analysis and assessment, then on the basis of each index makes independent opinion, considers further that just all index systems are made
One comprehensive evaluation, so that appraisement system is complex, while it is low to also result in risk monitoring and control accuracy rate.
4, in addition, there are also the sides for establishing current assets mortgage risk indicator system model based on machine learning mode in the prior art
Case, however, the program cannot fully consider the current assets mortgages such as regional disparity, differences between industries, customer risk preference transaction scene
Business complexity.
To sum up, the credit risk monitoring scheme of existing current assets mortgage causes current assets mortgage to melt there are efficiency and accuracy rate are low
The problems such as money business is limited.
Summary of the invention
The embodiment of the invention provides a kind of credit risk monitoring methods of current assets mortgage, to improve the letter of current assets mortgage
The accuracy rate and efficiency of risk monitoring and control are borrowed, this method comprises:
Obtain the historical price data or real time price data for pledging cargo under warehouse receipt item；
Mould is monitored according to the historical price data, different credit risk control parameter values and current assets mortgage credit risk
Type obtains prediction distribution figure before borrowing；Or according to the real time price data, different credit risk control parameter values and warehouse receipt matter
Give as security credit risk monitoring model, borrowed in monitor distribution map；Wherein, distribution map is monitored in prediction distribution figure and loan before the loan
It include: the corresponding different credit evaluation index values of different credit risk control parameter values；
The best credit evaluation index value that user is determined by prediction distribution figure before the loan is received, according to the best letter
Evaluation index value is borrowed, predicts best credit risk control parameter value；Or distribution map is monitored according in the loan, to implementing storehouse
The credit transaction that simple substance is given as security carries out risk monitoring and control processing operation.
The embodiment of the invention also provides a kind of credit risk monitoring devices of current assets mortgage, to improve current assets mortgage
The accuracy rate and efficiency of credit risk monitoring, the device include:
Acquiring unit, for obtaining the historical price data or real time price data of pledging cargo under warehouse receipt item；
Distribution map generation unit, for according to the historical price data, different credit risk control parameter values and storehouse
Simple substance gives as security credit risk monitoring model, obtains prediction distribution figure before borrowing；Or according to the real time price data, different credit risks
Control parameter value and current assets mortgage credit risk monitoring model, borrowed in monitor distribution map；Wherein, prediction point before the loan
Monitoring distribution map includes: the corresponding different credit evaluation index values of different credit risk control parameter values in Butut and loan；
Monitoring unit, the best credit evaluation index value determined for receiving user by prediction distribution figure before the loan,
According to the best credit evaluation index value, best credit risk control parameter value is predicted；Or for being monitored according in the loan
Distribution map carries out risk monitoring and control processing operation to the credit transaction for implementing current assets mortgage.
The embodiment of the invention also provides a kind of computer equipments, including memory, processor and storage are on a memory
And the computer program that can be run on a processor, the processor execute the credit risk monitoring method of the current assets mortgage.
The embodiment of the invention also provides a kind of computer readable storage medium, the computer-readable recording medium storage
There is the computer program for the credit risk monitoring method for executing current assets mortgage.
Compared with prior art, technical solution provided in an embodiment of the present invention realizes pre- before the loan of current assets mortgage credit
It surveys and is monitored in borrowing:
Before credit transaction generation, firstly, obtaining the historical price data for pledging cargo under warehouse receipt item；Secondly, according to
The historical price data, different credit risk control parameter values and current assets mortgage credit risk monitoring model, before obtaining loan
Prediction distribution figure；It wherein, include that the corresponding different credits of different credit risk control parameter values are commented in prediction distribution figure before the loan
Valence index value；Then, the best credit evaluation index value that user is determined by prediction distribution figure before the loan is received, further according to this
Best credit evaluation index value, predicts best credit risk control parameter value, realizes: being believed by the current assets mortgage pre-established
Risk monitoring and control model is borrowed, before credit transaction generation, obtains the best credit risk control of the equal acceptable of credit transaction both sides
Parameter value processed and best credit evaluation index value.
During credit transaction, firstly, obtaining the real time price data for pledging cargo under warehouse receipt item；Secondly, according to institute
State real time price data, different credit risk control parameter value and current assets mortgage credit risk monitoring model, borrowed in supervise
Control distribution map；Wherein, it includes: that the corresponding different credit evaluations of different credit risk control parameter values refer to that distribution map is monitored in the loan
Scale value；Then, distribution map is monitored according in the loan, risk monitoring and control processing is carried out to the credit transaction for implementing current assets mortgage
Operation, realizes: by the current assets mortgage credit risk monitoring model pre-established, before credit transaction generation, according to reality
When the price data for pledging cargo under warehouse receipt item that monitors, real-time risk prison is carried out to the credit transaction for implementing current assets mortgage
Control processing operation.
The technical solution provided through the embodiment of the present invention can achieve following advantageous effects:
(1) and in the prior art before credit transaction, credit both sides' acceptable credit wind can not, be reasonably determined
The scheme of dangerous control parameter value and credit evaluation index value compares, and technical solution provided in an embodiment of the present invention passes through pre- before borrowing
It surveys distribution map intuitively to reflect the corresponding different credit evaluation index values of different credit risk control parameter values, fully
The complexity for considering the current assets mortgages such as regional disparity, differences between industries, customer priorities transaction scene, can allow user according to friendship
Easy scene selects best credit evaluation index value according to prediction distribution figure before the loan, and can also be determined most according to user
Good credit evaluation index value finds corresponding best credit risk control parameter value, may finally determine that credit both sides can connect
The best credit risk control parameter value received and best credit evaluation index value reduce current assets mortgage transaction difficulty, improve
The efficiency and accuracy rate predicted before borrowing, and then greatly advance the financing business development of current assets mortgage.
(2) and in the prior art, during credit transaction, it not can avoid collateral security price band and carry out credit risk
Scheme compares, technical solution provided in an embodiment of the present invention by obtain real time price data, according to the real time price data,
Different credit risk control parameter values and current assets mortgage credit risk monitoring model, borrowed in monitor distribution map, according to loan
The corresponding different credit evaluation index values of the different credit risk control parameter values that middle monitoring distribution map intuitively reflects, to just
Risk monitoring and control processing operation is carried out in the credit transaction for implementing current assets mortgage, improves the efficiency for borrowing risk monitoring and accurate
Rate.
(3) in addition, technical solution provided in an embodiment of the present invention uses unified current assets mortgage credit risk monitoring model
Prediction distribution figure carries out borrowing preceding parameter measurement before obtaining borrowing, or monitoring distribution map is carried out borrowing risk and monitored in being borrowed, not only
It restrained effectively the credit risk of current assets mortgage, it is ensured that accuracy, flexibility and the timeliness of prediction and monitoring.
To sum up, technical solution provided in an embodiment of the present invention is predicted and is monitored in borrowing before realizing loan, improves warehouse receipt matter
The credit risk monitoring accuracy rate and efficiency of signature, greatly advance the financing business development of current assets mortgage.
Detailed description of the invention
The drawings described herein are used to provide a further understanding of the present invention, constitutes part of this application, not
Constitute limitation of the invention.In the accompanying drawings:
Fig. 1 is the flow diagram of the credit risk monitoring method of current assets mortgage in the embodiment of the present invention；
Fig. 2 be in the embodiment of the present invention input data to the interface schematic diagram of current assets mortgage credit risk monitoring model；
Fig. 3 is the schematic diagram borrowed preceding prediction distribution figure in the embodiment of the present invention or monitor distribution map in borrowing；
Fig. 4 is to monitor distribution map schematic diagram in prediction distribution figure or loan before borrowing in the embodiment of the present invention；
Fig. 5 be in the embodiment of the present invention before the loan of variation call number prediction distribution figure or borrow in monitor distribution map schematic diagram；
Fig. 6 be in the embodiment of the present invention before the loan of credit efficiency prediction distribution figure or borrow in monitor distribution map schematic diagram；
Fig. 7 be in the embodiment of the present invention before the loan of variation call threshold value prediction distribution figure or borrow in monitor distribution map schematic diagram；
Fig. 8 is the structural schematic diagram of the credit risk monitoring device of current assets mortgage in the embodiment of the present invention.
Specific embodiment
To make the objectives, technical solutions, and advantages of the present invention clearer, right below with reference to embodiment and attached drawing
The present invention is described in further details.Here, exemplary embodiment and its explanation of the invention is used to explain the present invention, but simultaneously
It is not as a limitation of the invention.
Before introducing the embodiment of the present invention, current assets mortgage financing business and its meaning are introduced first.
(1) carrying out current assets mortgage loan is Development of Commercial Banks innovation, the domestic demand for seeking new profit growth point:
Development standard current assets mortgage loan is conducive to business bank and evades business risk.The presence of financial risks will promote matter
Give as security financing development, for improve Credit Assets structure good opportunity is provided, while allow business bank to a certain extent
It gets rid of and offers loans yoke to single support enterprise dominant credit, so that consolidating for bank client selection " despiseing the poor and curry favour with the rich " is corrected in part
There is preference.
(2) current assets mortgage financing is used widely during traditional storage enterprise makes the transition to modern resources-flow enterprises
Novel business:
Development standard current assets mortgage loan is conducive to traditional storage enterprise and makes the transition to modern resources-flow enterprises, expands new profit
Growth point promotes risk control ability under the help of goods and materials flow internet technology.The pipe of cargo physical aspect is only faced from tradition
Reason turns to and takes into account physics and the form of value, turns to the cross-cutting service of more industry situations such as finance, information from single logistic storage service,
It is managed from closing and turns to silver-colored phase cooperation and various open platform symbiosis, in the hope of grasping the opportunity in advance in horizontal competition.
(3) current assets mortgage loan advantageously accounts for Financing problem:
Financing difficulty has become the topic of whole society's extensive concern, fixed for a long time since scale is smaller
Assets are few, and most of medium-sized and small enterprises all have that loan is difficult and financing difficulties, root are that according to bank's main body credit
Assessment rule, medium-sized and small enterprises can be in a disadvantageous position always.Current assets mortgage, which is financed, gives medium-sized and small enterprises a kind of completely new selection and path,
Exploring current assets mortgage financing business has the medium-sized and small enterprises of product to be provided a loan help.
(4) carry out the lubricant that standard current assets mortgage loan is forward market fast development:
Standard warehouse receipt refers to: completing the examination of people library commodity, confirmation is qualified and is signing and issuing " cargo storage card in specified warehouse of completing a business transaction
It is bright " after, it is formulated by unified format and registers the document of title in kind that can be circulated in exchange through exchange.Exchange passes through
Computer such as handles the registration of standard warehouse receipt, completes a business transaction, trades, pledging, nullifying at the business.The form of expression of standard warehouse receipt is
" standard warehouse receipt holds voucher ", exchange is according to " cargo storage prove " on behalf of issuing.Standard warehouse receipt is held into optional one
Or multiple complete a business transaction that warehouse is different grades of to complete a business transaction commodity discharging of goods.Standard warehouse receipt has the characteristics that circulation is good, costly, because
And business bank entertains very big enthusiasm to forward market standard warehouse receipt.
However, it is found by the inventors that: current assets mortgage financing is not yet unfolded in China on a large scale at this stage, main reason is that storehouse
It is more that the credit risk that simple substance gives as security financing is related to factor, and scene is complicated, and warehouse receipt may be related to the set in futures, Options market simultaneously
It protects, collateral security price real-time fluctuations, the uncertain of collateral security disposition all proposes very the risk management of current assets mortgage financing
High requirement.
In typical current assets mortgage scene, for borrower by current assets mortgage to financial institution, financial institution is worth warehouse receipt
It is assessed, determines the parameters such as loan interest rate, time limit, amount according to assessment result, there are following difficult points:
1, warehouse receipt value is variation, and the price fluctuation of collateral security changes warehouse receipt value at any time, generates price fluctuation
Risk.In order to reduce price fluctuation risk, there are two types of common practices in practice: first is that for the warehouse receipt valence at modern assessment moment
Line of credit is appraised and decided in value, discounting；Second is that buying in futures expected to fall in forward market simultaneously and carrying out set guarantor, thereby produce more
Difficult point.
2, warehouse receipt discount is difficult to determine.If discount is too low, price fluctuation risk can not be resisted.But too high discount
Market is unbearable.Once, when selling off collateral security, having additional value-added tax expenditure, practice in view of event of default occurs
In, financial institution is often directed to 0 moment of warehouse receipt value and beats half discount and make loans, and loaning bill side is difficult to receive, so that current assets mortgage melts
It is less than normal always to provide market in general scale.
3, the complexity of futures exchange.If financial institution's selection carries out Futures hedging for collateral security, first is that futures are received
Benefit itself has uncertainty；Second is that Futures hedging itself wants occupied fund, and consider the margin trading transaction of forward market
System, the fund that Futures hedging occupies have uncertainty；Third is that Futures reward, warehouse receipt value fluctuation, the futures occupation of capital at
Sheet, credit funds cost of possession etc. can all have an impact the risk and return relationship between of credit algorithm, in the terms of trade of this complexity
In, how to determine most basic line of credit, interest and time limit.
Accordingly, it is considered to arrive above-mentioned technical problem, a kind of credit risk monitoring scheme of current assets mortgage is inventors herein proposed, is solved
The problem of current assets mortgage of having determined financing apoplexy keyholed back plate reason.The program utilizes a large amount of historical datas, and modern computer is relied on to emulate skill
Art traces back to one group of credit parameter (credit risk control parameter value) based on current assets mortgage in the real scene of history generation
Simulation test, credit calculates the core index of user's concern repeatedly, and gridding traverses various parameters value (credit risk control ginseng
Numerical value) combination, form credit both sides acceptable credit parameter combination (best credit risk control parameter value and best credit
Evaluation index value), facilitate transaction to reach.Meanwhile monitoring model scheme in calculating before unified loan and borrowing, construct real-time accurate storehouse
Simple substance gives as security credit risk monitoring model.It describes in detail below to the credit risk monitoring scheme of the current assets mortgage as follows.
Fig. 1 is the flow diagram of the credit risk monitoring method of current assets mortgage in the embodiment of the present invention, as shown in Figure 1,
This method comprises the following steps:
Step 101: obtaining the historical price data or real time price data for pledging cargo under warehouse receipt item；
Step 102: according to the historical price data, different credit risk control parameter values and current assets mortgage credit wind
Dangerous monitoring model obtains prediction distribution figure before borrowing；Or according to the real time price data, different credit risk control parameter value with
And current assets mortgage credit risk monitoring model, borrowed in monitor distribution map；Wherein, it is supervised in prediction distribution figure and loan before the loan
Control distribution map includes: the corresponding different credit evaluation index values of different credit risk control parameter values；
Step 103: the best credit evaluation index value that user is determined by prediction distribution figure before the loan is received, according to institute
Best credit evaluation index value is stated, predicts best credit risk control parameter value；Or distribution map is monitored according in the loan, to just
Risk monitoring and control processing operation is carried out in the credit transaction for implementing current assets mortgage.
Compared with prior art, technical solution provided in an embodiment of the present invention realizes pre- before the loan of current assets mortgage credit
It surveys and is monitored in borrowing:
Before credit transaction generation, firstly, obtaining the historical price data for pledging cargo under warehouse receipt item；Secondly, according to
The historical price data, different credit risk control parameter values and current assets mortgage credit risk monitoring model, before obtaining loan
Prediction distribution figure；It wherein, include that the corresponding different credits of different credit risk control parameter values are commented in prediction distribution figure before the loan
Valence index value；Then, the best credit evaluation index value that user is determined by prediction distribution figure before the loan is received, further according to this
Best credit evaluation index value, predicts best credit risk control parameter value, realizes: being believed by the current assets mortgage pre-established
Risk monitoring and control model is borrowed, before credit transaction generation, obtains the best credit risk control of the equal acceptable of credit transaction both sides
Parameter value processed and best credit evaluation index value.
During credit transaction, firstly, obtaining the real time price data for pledging cargo under warehouse receipt item；Secondly, according to institute
State real time price data, different credit risk control parameter value and current assets mortgage credit risk monitoring model, borrowed in supervise
Control distribution map；Wherein, it includes: that the corresponding different credit evaluations of different credit risk control parameter values refer to that distribution map is monitored in the loan
Scale value；Then, distribution map is monitored according in the loan, risk monitoring and control processing is carried out to the credit transaction for implementing current assets mortgage
Operation, realizes: by the current assets mortgage credit risk monitoring model pre-established, before credit transaction generation, according to reality
When the price data for pledging cargo under warehouse receipt item that monitors, real-time risk prison is carried out to the credit transaction for implementing current assets mortgage
Control processing operation.
The technical solution provided through the embodiment of the present invention can achieve following advantageous effects:
(1) and in the prior art before credit transaction, credit both sides' acceptable credit wind can not, be reasonably determined
The scheme of dangerous control parameter value and credit evaluation index value compares, and technical solution provided in an embodiment of the present invention passes through pre- before borrowing
It surveys distribution map intuitively to reflect the corresponding different credit evaluation index values of different credit risk control parameter values, fully
The complexity for considering the current assets mortgages such as regional disparity, differences between industries, customer priorities transaction scene, can allow user according to friendship
Easy scene selects best credit evaluation index value according to prediction distribution figure before the loan, and can also be determined most according to user
Good credit evaluation index value finds corresponding best credit risk control parameter value, may finally determine that credit both sides can connect
The best credit risk control parameter value received and best credit evaluation index value reduce current assets mortgage transaction difficulty, improve
The efficiency and accuracy rate predicted before borrowing, and then greatly advance the financing business development of current assets mortgage.
(2) and in the prior art, during credit transaction, it not can avoid collateral security price band and carry out credit risk
Scheme compares, technical solution provided in an embodiment of the present invention by obtain real time price data, according to the real time price data,
Different credit risk control parameter values and current assets mortgage credit risk monitoring model, borrowed in monitor distribution map, according to loan
The corresponding different credit evaluation index values of the different credit risk control parameter values that middle monitoring distribution map intuitively reflects, to just
Risk monitoring and control processing operation is carried out in the credit transaction for implementing current assets mortgage, improves the efficiency for borrowing risk monitoring and accurate
Rate.
(3) in addition, technical solution provided in an embodiment of the present invention uses unified current assets mortgage credit risk monitoring model
Prediction distribution figure carries out borrowing preceding parameter measurement before obtaining borrowing, or monitoring distribution map is carried out borrowing risk and monitored in being borrowed, not only
It restrained effectively the credit risk of current assets mortgage, it is ensured that accuracy, flexibility and the timeliness of prediction and monitoring.
To sum up, technical solution provided in an embodiment of the present invention is predicted and is monitored in borrowing before realizing loan, improves warehouse receipt matter
The credit risk monitoring accuracy rate and efficiency of signature, greatly advance the financing business development of current assets mortgage.
Below in conjunction with Fig. 2 to Fig. 7, each step that technical solution is related to is provided to present example and is discussed in detail.
In one embodiment, the credit risk control parameter may include: credit ratio, period of credit, borrowing rate,
Variation call number and variation call threshold value；The credit evaluation index may include: illegal building, credit efficiency and credit true rate of interest
One of them or any combination；Wherein, the illegal building can according to warehouse receipt market value, principal and interest and tranaction costs and phase
The remaining sum that goods damage benefit determines, represents the safe coefficient of credit.
The meaning of the parameters such as credit risk control parameter, credit evaluation index is introduced below.
1, illegal building: each time point, warehouse receipt market value-principal and interest and the-tranaction costs-futures profit and loss-general expenses remaining sum,
Reflect the safe coefficient of loan, illegal building can calculate in real time, be that financial institution is the most after comprehensive every risk income factor
The index of concern.
2, credit ratio: the ratio that line of credit accounts for warehouse receipt present worth is provided, loaning bill side is partial to higher credit ratio, the side of making loans
It is then opposite.
3, variation call number and variation call threshold value: when illegal building be lower than the variation call threshold value moment, require supplementation with cargo, variation call mechanism
On the one hand it can increase the safe coefficient of warehouse receipt financing in the case where not reducing credit ratio.
4, credit efficiency: the index that loaning bill side is more paid close attention to, the practical financing limit obtained of per unit cargo.
5, credit true rate of interest: the index that loaning bill side is paid close attention to, the guarantee fund for comprehensively considering Futures hedging occupancy are appended
Guarantee fund, the actual loan of client can be occupied partially, so that true rate of interest is higher than norminal interest rate.
When it is implemented, as shown in Fig. 2, pledging cargo under warehouse receipt item may is that standard aluminum；Historical price data are real-time
Price data can be value-added tax, futures initial margin, price per ton etc.；Different credit risk control parameters can be with
It is: the data such as credit ratio, interest rate, variation call threshold value.
When it is implemented, as shown in figure 3, different credit evaluation indexes can be the amount of the loan, illegal building, credit effect
The data targets such as rate, credit actual rate.
When it is implemented, current assets mortgage credit risk monitoring model can be according to historical price data, different credit risks
Control parameter value determines the corresponding different credit evaluation index values of different credit risk control parameter values, and generates different credits
The distribution map of evaluation index value, the form which can be as shown in Figure 3 are presented, naturally it is also possible to be such as Fig. 4 to Fig. 7
The distribution map of shown form；Wherein, fig. 4 to fig. 6 is histogram, and in all histograms, the longitudinal axis is all frequency, histogram
Area integral is 1；Fig. 4 is credit distribution of results histogram, and the horizontal axis of credit result is final illegal building size；Fig. 5 is
Accumulative variation call distribution histogram, x-axis (horizontal axis) represent the accumulation variation call weight simulated each time；Fig. 6 is that credit efficiency distribution is straight
Fang Tu, x-axis (horizontal axis) represent the amount of the loan that per unit cargo actually obtains daily；Fig. 7 is sliding variation call threshold bubble figure, y
Axis (longitudinal axis) represents variation call number, and x-axis (horizontal axis) represents variation call threshold value, and bubble area represents final illegal building and (namely believes
Borrow result).
Two aspects are monitored below for prediction before borrowing and in borrowing, scheme provided in an embodiment of the present invention are carried out respectively detailed
It is thin to introduce.
One, the scheme predicted before borrowing is introduced first.
In one embodiment, the credit risk monitoring method of the current assets mortgage can also include: to pledge storehouse to acquisition
The pretreatment that the historical price data of cargo are cleaned and/or arranged under individual event.
When it is implemented, after acquisition collateral security historical price data, and data are cleaned and arranged.Historical price number
According to generally will not being calculated day by day during measuring and calculating, to festivals or holidays data, take nearest day of trade data there are also festivals or holidays
Substitution.After getting historical price data, to acquisition pledge cargo under warehouse receipt item historical price data carry out cleaning and/or
The pretreatment of arrangement can be further improved the accuracy rate of the credit risk monitoring of subsequent current assets mortgage.
Inventor frequently involves two futures, stock market price fluctuations it is also found that: in current assets mortgage finance process,
And the fund cost that the measures means such as set guarantor occupy, lack unified risk monitoring and control core index and method at present, leads to storehouse
Simple substance signature Financing Mode application range is relatively limited, and credit risk calculates monitored results inaccuracy, and market scale is little always.Cause
This, inventors herein proposes the monitoring scheme of two futures considered below, stock market price fluctuations.
In one embodiment, according to the historical price data, different credit risk control parameter values and warehouse receipt matter
Credit risk monitoring model is given as security, prediction distribution figure before borrowing is obtained, may include:
According to borrowing rate data and period of credit data, the principal and interest and data of loan are determined；
According to the cost of disposal data and tax policies data for pledging cargo under warehouse receipt item, cargo under warehouse receipt item is pledged in determination
Cash realizable value data；
According to forward price data and incremental data, futures profit and loss data are determined；
According to the principal and interest and data, cash realizable value data and futures profit and loss data, the illegal building is determined；
According to the illegal building and preset threshold value of warning, quantity or weight to variation call cargo are determined；
According to futures initial prices data, quantity and margin data, futures initial margin data are determined；
According to futures initial margin data and remargin data, futures current margin data are determined；
According to futures current margin data and preset guarantee fund's threshold value, the amount of money of guarantee fund to be supplemented is determined；
According to the quantity or weight to variation call cargo, the credit efficiency is determined；
According to the amount of money of the guarantee fund to be supplemented, the credit true rate of interest is determined；
According to the illegal building, credit efficiency and credit true rate of interest, prediction distribution figure before borrowing is generated.
When it is implemented, the program may include steps of:
1, the historical data in ergodic data, every a line content includes history spot price and forward price, in history
Every day be a credit granting starting point, be that futures are bought in and day and make loans day using starting point, the day before yesterday goods account day ought be scheduled to last,
It is disposition day with current number of days+disposition period, simulates the generation scene of real scene in the length of maturity+Deal with Time；
2, it for every day in the length of maturity, figures interest, cargo cash realizable value, illegal building, futures margin chases after
The indexs such as add；
3, interest=capital * (current number of days-starting point number of days) interest rate/360 *；
4, cash realizable value=(first day quantity of goods+accumulative variation call quantity) * disposition day price * (1- value-added tax) * (1- pin
Sell cost)；
5, the futures profit and loss=(futures buying price i.e. first day price-futures present price) * futures buy in quantity；
6, illegal building=cash realizable value-principal and interest and the+futures profit and loss；
7, futures initial margin=the first day forward price * quantity * margin；
8, existing (current) guarantee fund=initial margin+remargin of futures；
9, guarantee fund=present price * quantity * margin that futures require；
10, it is directed to every day, judges whether illegal building is less than principal and interest and * threshold value of warning, if it is lower, additional cargo
It is (to variation call cargo) to equal than horizontal；
11, it is directed to every day, judges whether existing current futures margin is less than guarantee fund's (guarantee fund's threshold value) of requirement,
If it is less than then supplementing guarantee fund (guarantee fund to be supplemented) to equal than level；
12, circulation until the last day, at this point, being aware of supplemented with how many cargo and guarantee fund, calculates credit as a result, reality
Interest rate, credit efficiency；
13, credit result is exactly the illegal building of last day；
14, true rate of interest=norminal interest rate * (* number of days of making loans)/(* number of days of making loans-remargin * number of days)；
15, credit efficiency=* number of days of making loans/(initial cargo * number of days+addition cargo * number of days)；
16, variation call threshold value is the very low negative moment, is equal to not variation call；Futures quantity was 0 moment, and it is not right to be equal to
Punching；Credit was equal to and fully makes loans than 100% moment.
When it is implemented, the formula, judgment mode in above-mentioned steps 1 to 16 can be referred to as current assets mortgage credit risk prison
Control model.The embodiment predicted before above-mentioned loan is determining the corresponding different credit evaluations of different credit risk control parameter values
When index value, it is contemplated that the fluctuating factors such as spot price and forward price and disposition cash realizable value, to be more in line with
The best credit risk control parameter value and best credit evaluation index value that credit both sides require, and then further increase storehouse
The credit risk that simple substance is given as security monitors accuracy rate.
When it is implemented, the step of predicting before the loan is in the historic scenery of backtracking, it is assumed that different credit risk controls
Parameter value (such as credit ratio, interest rate and variation call threshold value in Fig. 2 etc.) processed, applicating history price data carry out risk backtracking and survey
Examination, is input to current assets mortgage credit risk monitoring model for historical price data, credit risk control parameter value, input interface can
As shown in Fig. 2, exogenous variable combination (such as different credit risk control parameter values), constantly weight can be traversed by gridding
Before multiple step is borrowed the step of prediction, prediction obtains prediction distribution figure before loan as shown in Figure 3, includes in prediction distribution figure before the loan
The corresponding different credit evaluation index values of different credit risk control parameter values.
At this point, user (credit both sides) can be selected by the distribution map according to the practical application scene that oneself is needed
The best credit evaluation index value of the equal acceptable of both sides can specifically allow user according to distribution map and the needs of actual scene,
Determine the optimal distribution section of credit evaluation index, for example, if variation call close to plant area, is not just afraid of often in warehouse, but very
It is smaller to be far desirable to this index.Receiving user's best credit evaluation index value determining by prediction distribution figure before borrowing
Afterwards, the corresponding credit risk control parameter of the best credit evaluation index value can be found according to the best credit evaluation index value
Value has reversely determined best loan risk control parameter value as best credit risk control parameter.When it is implemented, can also
To generate the best distribution map for borrowing risk control parameter value, such as shown in Fig. 5 or Fig. 7.
When it is implemented, credit both sides are due to position difference, receptible credit risk control parameter value, credit are commented
Valence index value is also different, for example, variation call threshold value, credit both sides are it is not desirable that too high, because of trouble, credit ratio, financial institution is wished
Hope height, client wishes lower.Therefore, pass through the embodiment above, all acceptable best loan of available credit both sides
Risk control parameter value and best credit evaluation index value, i.e. selection each side's acceptable credit transaction condition, reduce
Current assets mortgage transaction difficulty, facilitates the popularization of universal current assets mortgage business model.
Two, secondly, the scheme monitored in loan is introduced.
In one embodiment, according to the real time price data, different credit risk control parameter values and warehouse receipt matter
Give as security credit risk monitoring model, is borrowed in monitor distribution map, may include: according to the real time price data, difference credit
Risk control parameter value determines the real-time illegal building in borrowing, and generates in the loan about real-time illegal building and monitor distribution map；
The credit risk monitoring method of the current assets mortgage can also include:
According to the real-time illegal building, the real-time risk class of credit is determined；
When the real-time risk class for monitoring credit exceeds preset risk monitoring and control grade threshold, warning information is sent extremely
Lender.
When it is implemented, determining the real-time promise breaking in borrowing according to real time price data, different credit risk control parameter values
Distance, the city Ji Ding.According to the intuitive displaying for monitoring distribution map in the loan about real-time illegal building, manually also it is easy to judge wind
Danger.
When it is implemented, the warehouse receipt for implementing current assets mortgage loan is read from warehouse receipt system, database association inquiry
Cargo type (such as standard aluminum shown in Fig. 2), weight, the amount of the loan, the information such as repayment amount；According to price interface module
(current assets mortgage credit risk monitoring model), calculates spot price in real time, according to external interface or pre-enters calculating to gold-attempt
Melt instrumental value；The illegal building algorithm in backtracking test mentioned according to preceding embodiment, determines real-time illegal building, when
The threshold value of warning moment set is triggered, variation call operation early warning is triggered.The mode of specific early warning may is that
When illegal building/repayment amount is in > 20%, when > 10%, > 0 four different segment moment, mark can be passed through
The mode of different colours is infused, that is, is provided with different risk monitoring and control grade thresholds；
For 10% or less illegal building, warning information is pushed by email or wechat public platform, that is, is monitoring letter
When the real-time risk class borrowed exceeds preset risk monitoring and control grade threshold, warning information is sent to lender.
When it is implemented, the method for determining the real-time illegal building in borrowing may refer to before above-mentioned loan illegal building in test
Determination method.
Based on the same inventive concept, a kind of credit risk monitoring dress of current assets mortgage is additionally provided in the embodiment of the present invention
It sets, such as the following examples.The principle solved the problems, such as due to the credit risk monitoring device of current assets mortgage and above-mentioned current assets mortgage
Credit risk monitoring method it is similar, therefore the implementation of the credit risk monitoring device of current assets mortgage can refer to above-mentioned warehouse receipt matter
The implementation of the credit risk monitoring method of signature, overlaps will not be repeated.It is used below, term " module " or " unit "
The combination of the software and/or hardware of predetermined function may be implemented.Although device described in following embodiment is preferably with software
It realizes, but the realization of the combination of hardware or software and hardware is also that may and be contemplated.
Fig. 8 is the structural schematic diagram of the credit risk monitoring device of current assets mortgage in the embodiment of the present invention, as shown in figure 8,
The device includes:
Acquiring unit 02, for obtaining the historical price data or real time price data of pledging cargo under warehouse receipt item；
Distribution map generation unit 04, for according to the historical price data, different credit risk control parameter value and
Current assets mortgage credit risk monitoring model obtains prediction distribution figure before borrowing；Or according to the real time price data, different credit wind
Dangerous control parameter value and current assets mortgage credit risk monitoring model, borrowed in monitor distribution map；Wherein, it is predicted before the loan
Monitoring distribution map includes: the corresponding different credit evaluation index values of different credit risk control parameter values in distribution map and loan；
Monitoring unit 06, the best credit evaluation index determined for receiving user by prediction distribution figure before the loan
Value, according to the best credit evaluation index value, predicts best credit risk control parameter value；Or for being supervised according in the loan
Distribution map is controlled, risk monitoring and control processing operation is carried out to the credit transaction for implementing current assets mortgage.
When it is implemented, monitoring unit 06 can be divided into predicting unit before loan, pass through before the loan in advance for receiving user
It surveys the best credit evaluation index value that distribution map determines and best credit risk is predicted according to the best credit evaluation index value
Control parameter value；And monitoring unit in borrowing, for monitoring distribution map according in the loan, to the letter for implementing current assets mortgage
It borrows transaction and carries out risk monitoring and control processing operation.Monitoring before either borrowing in prediction and loan is the risk prison to current assets mortgage
Control.
In one embodiment, the distribution map generation unit specifically can be used for:
According to borrowing rate data and period of credit data, the principal and interest and data of loan are determined；
According to the cost of disposal data and tax policies data for pledging cargo under warehouse receipt item, cargo under warehouse receipt item is pledged in determination
Cash realizable value data；
According to forward price data and incremental data, futures profit and loss data are determined；
According to the principal and interest and data, cash realizable value data and futures profit and loss data, illegal building is determined；Wherein, institute
Stating illegal building is the remaining sum determined according to warehouse receipt market value, principal and interest and tranaction costs and the futures profit and loss, represents the safety of credit
Degree；
According to the illegal building and preset threshold value of warning, quantity or weight to variation call cargo are determined；
According to futures initial prices data, quantity and margin data, futures initial margin data are determined；
According to futures initial margin data and remargin data, futures current margin data are determined；
According to futures current margin data and preset guarantee fund's threshold value, the amount of money of guarantee fund to be supplemented is determined；
According to the quantity or weight to variation call cargo, the credit efficiency is determined；
According to the amount of money of the guarantee fund to be supplemented, the credit true rate of interest is determined；
According to the illegal building, credit efficiency and credit true rate of interest, prediction distribution figure before borrowing is generated.
In one embodiment, the distribution map generation unit specifically can be used for:
According to the real time price data, different credit risk control parameter values, the real-time illegal building in borrowing is determined, and
It generates in the loan about real-time illegal building and monitors distribution map；Wherein, the illegal building be according to warehouse receipt market value, principal and interest and
The remaining sum that tranaction costs and the futures profit and loss determine, represents the safe coefficient of credit；
The credit risk monitoring method of the current assets mortgage can also include:
According to the real-time illegal building, the real-time risk class of credit is determined；
When the real-time risk class for monitoring credit exceeds preset risk monitoring and control grade threshold, warning information is sent extremely
Lender.
In one embodiment, the credit risk monitoring device of above-mentioned current assets mortgage can also include: pretreatment unit, use
In pledging the pretreatment that the historical price data of cargo under warehouse receipt item are cleaned and/or arranged to acquisition.
The embodiment of the invention also provides a kind of computer equipments, including memory, processor and storage are on a memory
And the computer program that can be run on a processor, the processor execute the credit risk monitoring method of the current assets mortgage.
The embodiment of the invention also provides a kind of computer readable storage medium, the computer-readable recording medium storage
There is the computer program for the credit risk monitoring method for executing current assets mortgage.
Compared with prior art, technical solution provided in an embodiment of the present invention can achieve following advantageous effects:
First is that while significantly promoting current assets mortgage credit ratio, while inhibiting credit risk.By being supervised in borrowing
The variation call system of control avoids financial institution and drops just for the sake of the spot price that may occur, warehouse receipt matter is greatly lowered
Give as security credit ratio.Meanwhile implementing measuring and calculating illegal building, it ensure that the smooth implementation of variation call.
Second is that constructing current assets mortgage credit risk monitoring model.By stock futures data, calculates loaning bill side and make loans
Every risk income that Fang Shiji faces, eventually by credit ratio, illegal building, variation call number, credit efficiency, practical loaning bill
The index systems such as interest rate clearly reflect.It is only monitored compared with spot market with existing current assets mortgage air control technology,
The technical solution of the embodiment of the present invention considers the linkage in two market of futures and stock simultaneously, acquires futures spot price,
The key factors such as cost of disposal, the tax policies of stock are considered, the result index of both parties' concern is presented.
Third is that unified borrow monitoring model in preceding measuring and calculating and loan, the present invention can apply the parameter survey before current assets mortgage is borrowed simultaneously
Monitor stages in calculation stage and loan.Compared with big multi-risk System measuring and calculating in the prior art and monitoring, with computer simulation emulation technology
Current assets mortgage credit risk monitoring model is established, credit parameter measurement is consistent with credit risk monitoring height in loan before borrowing, and guarantees
Accuracy, flexibility and the timeliness of prediction and monitoring.
Finally, this model fills compared with the pure credit risk Calculating model based on frames such as machine learning in the prior art
Divide the business complexity in view of the transaction of the current assets mortgages such as regional disparity, differences between industries, customer risk preference, emulation measuring and calculating is tied
Fruit is presented to professional in the form of distribution map, and by professional and credit participant combination actual conditions, selection respectively can
With the terms of trade of receiving, current assets mortgage transaction difficulty is reduced, the popularization of universal current assets mortgage business model is facilitated.
To sum up, the embodiment of the present invention is based on stock, forward market data, by computer simulation technique, has unified before borrowing
Parameter measurement model and loan risk monitoring model restrained effectively letter while improving current assets mortgage credit ratio
Risk is borrowed, while in view of the complexity of current assets mortgage transaction artificial subjective factor, passing through the core of instantiation Trading parties concern
Heart index generates distribution map, in conjunction with subjective factor, selects terms of trade, finally greatly improves reaching for current assets mortgage transaction
Possibility reduces transaction difficulty, facilitates the popularization of this business model of current assets mortgage.
Obviously, those skilled in the art should be understood that each module of the above-mentioned embodiment of the present invention or each step can be with
It is realized with general computing device, they can be concentrated on a single computing device, or be distributed in multiple computing devices
On composed network, optionally, they can be realized with the program code that computing device can perform, it is thus possible to by it
Store and be performed by computing device in the storage device, and in some cases, can be held with the sequence for being different from herein
The shown or described step of row, perhaps they are fabricated to each integrated circuit modules or will be multiple in them
Module or step are fabricated to single integrated circuit module to realize.In this way, the embodiment of the present invention be not limited to it is any specific hard
Part and software combine.
The foregoing is only a preferred embodiment of the present invention, is not intended to restrict the invention, for the skill of this field
For art personnel, the embodiment of the present invention can have various modifications and variations.All within the spirits and principles of the present invention, made
Any modification, equivalent substitution, improvement and etc. should all be included in the protection scope of the present invention.
Claims (10)
1. a kind of credit risk monitoring method of current assets mortgage characterized by comprising
Obtain the historical price data or real time price data for pledging cargo under warehouse receipt item；
According to the historical price data, different credit risk control parameter value and current assets mortgage credit risk monitoring model,
Obtain prediction distribution figure before borrowing；Or according to the real time price data, different credit risk control parameter values and current assets mortgage
Credit risk monitoring model, borrowed in monitor distribution map；Wherein, distribution map packet is monitored in prediction distribution figure and loan before the loan
It includes: the corresponding different credit evaluation index values of different credit risk control parameter values；
The best credit evaluation index value that user is determined by prediction distribution figure before the loan is received, is commented according to the best credit
Valence index value predicts best credit risk control parameter value；Or distribution map is monitored according in the loan, to implementing warehouse receipt matter
The credit transaction of signature carries out risk monitoring and control processing operation.
2. the credit risk monitoring method of current assets mortgage as described in claim 1, which is characterized in that the credit risk control
Parameter include: credit than, period of credit, borrowing rate, any combination of variation call number and variation call threshold value；The credit evaluation refers to
Mark includes: one of illegal building, credit efficiency and credit true rate of interest or any combination；Wherein, the illegal building
For the remaining sum determined according to warehouse receipt market value, principal and interest and tranaction costs and the futures profit and loss, the safe coefficient of credit is represented.
3. the credit risk monitoring method of current assets mortgage as claimed in claim 2, which is characterized in that according to the historical price
Data, different credit risk control parameter values and current assets mortgage credit risk monitoring model, obtain prediction distribution figure before borrowing, packet
It includes:
According to borrowing rate data and period of credit data, the principal and interest and data of loan are determined；
According to the cost of disposal data and tax policies data for pledging cargo under warehouse receipt item, the change for pledging cargo under warehouse receipt item is determined
Present price Value Data；
According to forward price data and incremental data, futures profit and loss data are determined；
According to the principal and interest and data, cash realizable value data and futures profit and loss data, the illegal building is determined；
According to the illegal building and preset threshold value of warning, quantity or weight to variation call cargo are determined；
According to futures initial prices data, quantity and margin data, futures initial margin data are determined；
According to futures initial margin data and remargin data, futures current margin data are determined；
According to futures current margin data and preset guarantee fund's threshold value, the amount of money of guarantee fund to be supplemented is determined；
According to the quantity or weight to variation call cargo, the credit efficiency is determined；
According to the amount of money of the guarantee fund to be supplemented, the credit true rate of interest is determined；
According to the illegal building, credit efficiency and credit true rate of interest, prediction distribution figure before borrowing is generated.
4. the credit risk monitoring method of current assets mortgage as claimed in claim 2, which is characterized in that according to the real time price
Data, different credit risk control parameter value and current assets mortgage credit risk monitoring model, is borrowed in monitor distribution map, packet
It includes: according to the real time price data, different credit risk control parameter values, determining the real-time illegal building in borrowing, and generate
Distribution map is monitored in loan about real-time illegal building；
The credit risk monitoring method of the current assets mortgage further include:
According to the real-time illegal building, the real-time risk class of credit is determined；
When the real-time risk class for monitoring credit exceeds preset risk monitoring and control grade threshold, warning information is sent to loan
Side.
5. the credit risk monitoring method of current assets mortgage as described in claim 1, which is characterized in that further include: to acquisition matter
Give as security the pretreatment that the historical price data of cargo under warehouse receipt item are cleaned and/or arranged.
6. a kind of credit risk monitoring device of current assets mortgage characterized by comprising
Acquiring unit, for obtaining the historical price data or real time price data of pledging cargo under warehouse receipt item；
Distribution map generation unit, for according to the historical price data, different credit risk control parameter values and warehouse receipt matter
Credit risk monitoring model is given as security, prediction distribution figure before borrowing is obtained；Or according to the real time price data, different credit risk controls
Parameter value and current assets mortgage credit risk monitoring model, borrowed in monitor distribution map；Wherein, prediction distribution figure before the loan
It include: the corresponding different credit evaluation index values of different credit risk control parameter values with distribution map is monitored in loan；
Monitoring unit, the best credit evaluation index value determined for receiving user by prediction distribution figure before the loan, according to
The best credit evaluation index value, predicts best credit risk control parameter value；Or for being distributed according to monitoring in the loan
Figure carries out risk monitoring and control processing operation to the credit transaction for implementing current assets mortgage.
7. the credit risk monitoring device of current assets mortgage as claimed in claim 6, which is characterized in that the distribution map generates single
Member is specifically used for:
According to borrowing rate data and period of credit data, the principal and interest and data of loan are determined；
According to the cost of disposal data and tax policies data for pledging cargo under warehouse receipt item, the change for pledging cargo under warehouse receipt item is determined
Present price Value Data；
According to forward price data and incremental data, futures profit and loss data are determined；
According to the principal and interest and data, cash realizable value data and futures profit and loss data, illegal building is determined；Wherein, described to disobey
About distance is the remaining sum determined according to warehouse receipt market value, principal and interest and tranaction costs and the futures profit and loss, represents the safe journey of credit
Degree；
According to the illegal building and preset threshold value of warning, quantity or weight to variation call cargo are determined；
According to futures initial prices data, quantity and margin data, futures initial margin data are determined；
According to futures initial margin data and remargin data, futures current margin data are determined；
According to futures current margin data and preset guarantee fund's threshold value, the amount of money of guarantee fund to be supplemented is determined；
According to the quantity or weight to variation call cargo, the credit efficiency is determined；
According to the amount of money of the guarantee fund to be supplemented, the credit true rate of interest is determined；
According to the illegal building, credit efficiency and credit true rate of interest, prediction distribution figure before borrowing is generated.
8. the credit risk monitoring device of current assets mortgage as claimed in claim 6, which is characterized in that the distribution map generates single
Member is specifically used for:
According to the real time price data, different credit risk control parameter values, the real-time illegal building in borrowing is determined, and generate
Distribution map is monitored in loan about real-time illegal building；Wherein, the illegal building is according to warehouse receipt market value, principal and interest and transaction
The remaining sum that expense and the futures profit and loss determine, represents the safe coefficient of credit；
The credit risk monitoring method of the current assets mortgage further include:
According to the real-time illegal building, the real-time risk class of credit is determined；
When the real-time risk class for monitoring credit exceeds preset risk monitoring and control grade threshold, warning information is sent to loan
Side.
9. a kind of computer equipment including memory, processor and stores the meter that can be run on a memory and on a processor
Calculation machine program, which is characterized in that the processor realizes any side of claim 1 to 5 when executing the computer program
Method.
10. a kind of computer readable storage medium, which is characterized in that the computer-readable recording medium storage has perform claim
It is required that the computer program of 1 to 5 any the method.
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| CN201910028122.4A CN109685651A (en) | 2019-01-11 | 2019-01-11 | The credit risk monitoring method and device of current assets mortgage |
| PCT/CN2019/120621 WO2020143345A1 (en) | 2019-01-11 | 2019-11-25 | Method and apparatus for monitoring credit risk in warehouse receipt pledge |
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