WO2020143345A1 - Method and apparatus for monitoring credit risk in warehouse receipt pledge - Google Patents

Abstract

A method and apparatus for monitoring a credit risk in a warehouse receipt pledge. The method comprises: obtaining a pre-loan prediction distribution map according to historical price data, different credit risk control parameter values, and a warehouse receipt pledge credit risk monitoring model; or obtaining an in-loan monitoring distribution map according to real-time price data, different credit risk control parameter values, and a warehouse receipt pledge credit risk monitoring model (102), the pre-loan prediction distribution map and the in-loan monitoring distribution map comprising: different credit evaluation index values corresponding to different credit risk control parameter values; receiving the optimal credit evaluation index value determined by a user by means of the pre-loan prediction distribution map, and predicting the optimal credit risk control parameter value according to the optimal credit evaluation index value; or performing, according to the in-loan monitoring distribution map, a risk monitoring and processing operation on a credit transaction of a warehouse receipt pledge that is being conducted (103). The technical solution improves the accuracy and efficiency of monitoring of the credit risk of a warehouse receipt pledge, thereby promoting the development of a warehouse receipt pledge financing business.

Description

Credit risk monitoring method and device for warehouse receipt pledge

This application requires the priority of the Chinese patent application with the application number 201910028122.4 and the invention titled "Credit Risk Monitoring Method and Device for Warehouse Receipt Pledge" filed on January 11, 2019, the entire content of which is incorporated by reference in this application.

Technical field

The invention relates to the technical field of risk monitoring, in particular to a credit risk monitoring method and device for warehouse receipt pledge.

Background technique

Warehouse receipt pledge is a kind of pledge established by warehouse receipt as the subject matter. Warehouse receipt pledge as a new type of financing method, on the one hand, provides a broad stage for warehousing enterprises to expand service projects and carry out a variety of operations, on the other hand, it also provides effective solutions for solving the financing problems of SMEs.

The fluctuation of the value of goods under the pledged warehouse receipt and credit risk are the two major elements of warehouse receipt pledge financing. At present, with the promotion and application of supply chain financial services, various financial institutions have begun to establish a warehouse receipt pledge credit risk measurement and monitoring system for warehouse receipt pledge risk modeling and analysis. However, most warehouse receipt pledge credit risk monitoring system programs have the following problems:

1. Mainly by evaluating the spot price, discounting the evaluation price, and keeping the margin of credit risk safe. In order to avoid a sharp drop in the price of goods under the pledged warehouse receipt, the actual loan is often less than 60% of the value of the pledge, making the warehouse receipt pledge financing business model difficult to promote.

2. Most of the indicators of the warehouse receipt pledge risk monitoring indicator system are qualitative indicators. Therefore, scoring methods such as expert judgment are often required to increase the subjectivity of risk measurement, resulting in low risk monitoring efficiency.

3. Most monitoring and evaluation systems use fuzzy mathematics to quantify the indicators. Therefore, each factor needs to be evaluated and analyzed, and then on the basis of the individual opinions of each indicator, consider to make a comprehensive Evaluation makes the evaluation system more complicated, and it also leads to a lower accuracy of risk monitoring.

4. In addition, in the prior art, there is also a scheme for establishing a warehouse receipt pledge risk index system model based on machine learning. However, this scheme cannot fully consider the complex business of warehouse receipt pledge transaction scenarios such as regional differences, industry differences, and customer risk preferences. Sex.

In summary, the existing credit risk monitoring scheme for warehouse receipt pledges has problems of low efficiency and accuracy, which has led to the limitation of warehouse receipt pledge financing business.

Summary of the invention

An embodiment of the present invention provides a credit risk monitoring method for warehouse receipt pledge to improve the accuracy and efficiency of credit risk monitoring for warehouse receipt pledge. The method includes:

Obtain the historical price data or real-time price data of the goods under the pledge warehouse receipt;

According to the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring model, obtain a pre-loan forecast distribution map; or based on the real-time price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring The model obtains the monitoring distribution map during the loan; wherein, the pre-loan prediction distribution map and the monitoring distribution map during the loan include: different credit evaluation index values corresponding to different credit risk control parameter values;

Receive the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, and predict the best credit risk control parameter value according to the best credit evaluation index value; or Perform credit monitoring and pledged credit transactions for risk monitoring and processing operations

The embodiment of the present invention also provides a credit risk monitoring device for warehouse receipt pledge to improve the accuracy and efficiency of credit risk monitoring for warehouse receipt pledge. The device includes:

Acquisition unit, used to acquire historical price data or real-time price data of goods under pledged warehouse receipts;

The distribution map generation unit is used to obtain a pre-loan forecast distribution map based on the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring models; or based on the real-time price data and different credit risk control parameter values And the warehouse receipt pledged credit risk monitoring model to obtain the monitoring distribution map during the loan; wherein the pre-loan forecast distribution map and the monitoring distribution map during the loan include: different credit evaluation index values corresponding to different credit risk control parameter values;

The monitoring unit is used to receive the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, and predict the best credit risk control parameter value based on the best credit evaluation index value; The distribution map of the monitoring system is used for risk monitoring and processing of credit transactions that are pledged by warehouse receipts.

An embodiment of the present invention also provides a computer device, including a memory, a processor, and a computer program stored on the memory and executable on the processor, and the processor executes the credit risk monitoring method of the warehouse receipt pledge.

An embodiment of the present invention also provides a computer-readable storage medium that stores a computer program that executes a credit risk monitoring method for warehouse receipt pledge.

Compared with the prior art, the technical solution provided by the embodiments of the present invention implements pre-loan prediction and mid-loan monitoring of warehouse receipt pledge credit:

Before the credit transaction occurs, first, obtain the historical price data of the goods under the pledged warehouse receipt; second, based on the historical price data, different credit risk control parameter values, and the warehouse receipt pledged credit risk monitoring model, obtain a pre-loan forecast distribution map; Among them, the pre-loan forecast distribution map includes different credit evaluation index values corresponding to different credit risk control parameter values; then, the best credit evaluation index value determined by the user through the pre-loan forecast distribution map is received, and then according to the best The credit evaluation index value predicts the best credit risk control parameter value, and realizes: through the pre-established warehouse receipt pledge credit risk monitoring model, before the credit transaction occurs, obtain the best credit risk control parameter value acceptable to both parties of the credit transaction And the best credit evaluation index value.

In the credit transaction process, first, obtain real-time price data of the goods under the pledged warehouse receipt; second, based on the real-time price data, different credit risk control parameter values, and the warehouse receipt pledge credit risk monitoring model, obtain the monitoring distribution map in the loan; Among them, the monitoring distribution map of the loan includes: different credit evaluation index values corresponding to different credit risk control parameter values; then, according to the monitoring distribution map of the loan, the risk monitoring processing operation of the credit transaction that is pledged by the warehouse receipt is performed, Realized: Through the pre-established warehouse receipt pledge credit risk monitoring model, before the credit transaction occurs, according to the real-time monitoring of the price data of the goods under the pledge warehouse receipt item, the real-time risk monitoring and processing operation is carried out on the credit transaction that is implementing the warehouse receipt pledge.

Through the technical solutions provided by the embodiments of the present invention, the following beneficial technical effects can be achieved:

(1) Compared with the prior art, before the credit transaction, it is impossible to reasonably determine the credit risk control parameter value and credit evaluation index value acceptable to both parties of the credit, the technical solution provided by the embodiment of the present invention is through pre-loan prediction The distribution chart intuitively reflects the different credit evaluation index values corresponding to different credit risk control parameter values, fully considering the complexity of warehouse receipt pledge transaction scenarios such as regional differences, industry differences, customer preferences, etc. Select the best credit evaluation index value according to the pre-loan forecast distribution map, and also find the corresponding best credit risk control parameter value according to the user-determined best credit evaluation index value, and finally determine the best acceptable to both parties The credit risk control parameter value and the best credit evaluation index value reduce the difficulty of warehouse receipt pledge transactions, improve the efficiency and accuracy of pre-loan forecasting, and thus greatly promote the development of warehouse receipt pledge financing business.

(2) Compared with the prior art, in the credit transaction process, it is inevitable to avoid the credit risk caused by the fluctuation of the pledge price. The technical solution provided by the embodiment of the present invention obtains real-time price data, based on the real-time price data, Different credit risk control parameter values and warehouse receipts pledged credit risk monitoring model, obtained the monitoring distribution map in the loan, according to the different credit evaluation index values corresponding to the different credit risk control parameter values directly reflected in the monitoring distribution map in the loan, the warehouse is being implemented. Single pledged credit transactions carry out risk monitoring and processing operations, improving the efficiency and accuracy of risk monitoring in loans.

(3) In addition, the technical solution provided by the embodiment of the present invention uses a unified warehouse receipt pledge credit risk monitoring model to obtain the pre-loan forecast distribution map for pre-loan parameter measurement, or obtain the in-loan monitoring distribution map for in-loan risk monitoring, which is not only effective It has effectively suppressed the credit risk of warehouse receipt pledges, and also guaranteed the accuracy, flexibility and timeliness of forecasting and monitoring.

In summary, the technical solution provided by the embodiments of the present invention realizes pre-loan prediction and mid-loan monitoring, improves the accuracy and efficiency of credit risk monitoring of warehouse receipt pledges, and greatly advances the development of the financing business of warehouse receipt pledges.

BRIEF DESCRIPTION

The drawings described herein are used to provide a further understanding of the present invention, form part of this application, and do not constitute a limitation of the present invention. In the drawings:

FIG. 1 is a schematic flowchart of a credit risk monitoring method of warehouse receipt pledge in an embodiment of the present invention;

2 is a schematic diagram of an interface for inputting data into a warehouse receipt pledge credit risk monitoring model in an embodiment of the present invention;

3 is a schematic diagram of a pre-loan prediction distribution map or a monitoring distribution map during loan in an embodiment of the present invention;

4 is a schematic diagram of a pre-loan prediction distribution map or a monitoring distribution map during loan in an embodiment of the present invention;

FIG. 5 is a schematic diagram of a pre-loan prediction distribution map or a mid-loan monitoring distribution map of the number of positions filled in the embodiment of the invention;

6 is a schematic diagram of a pre-loan prediction distribution map of credit efficiency or a monitoring distribution map of credit in an embodiment of the present invention;

7 is a schematic diagram of a pre-loan prediction distribution map or a mid-loan monitoring distribution map of a threshold for filling positions in an embodiment of the present invention;

8 is a schematic structural diagram of a credit risk monitoring device for warehouse receipt pledge in an embodiment of the present invention.

detailed description

In order to make the objectives, technical solutions and advantages of the present invention clearer, the present invention will be further described in detail in conjunction with the embodiments and the accompanying drawings. Here, the schematic embodiments of the present invention and the description thereof are used to explain the present invention, but are not intended to limit the present invention.

Before introducing the embodiments of the present invention, the warehouse receipt pledge financing business and its significance are first introduced.

(1) Carrying out warehouse receipt pledge loans is the internal demand for commercial banks to develop innovation and seek new profit growth points:

Carrying out a standard warehouse receipt pledge loan helps commercial banks avoid operating risks. The existence of financial risks will promote the development of pledged financing, provide a good opportunity for improving the structure of credit assets, and at the same time allow commercial banks to get rid of the shackles of credit granting loans to a single relying on the main body of the enterprise to a certain extent, thereby partially correcting the bank’s customers’ selection "Rich" inherent preferences.

(2) Warehouse receipt pledge financing is a new type of business that has been widely used in the transformation of traditional warehousing enterprises to modern logistics enterprises:

Carrying out a standard warehouse receipt pledge loan is conducive to the transformation of traditional warehousing enterprises to modern logistics enterprises, expanding new profit growth points, and improving the risk control capabilities with the help of logistics internet technology. From the traditional management that only faces the physical form of goods to the combination of physical and value forms, from a single logistics and warehousing service to multi-format and cross-disciplinary services such as finance and information, from closed operation to cooperation in silver futures, and symbiosis with various open platforms to Seeking to win opportunities in the same industry competition.

(3) The warehouse receipt pledge loan is beneficial to solve the financing problems of SMEs:

Difficulties in financing for SMEs have become a topic of widespread concern in the whole society. For a long time, due to the small scale and small fixed assets, most SMEs have difficulties in financing and financing. The root cause lies in Enterprises will always be at a disadvantage. Warehouse receipt pledge financing gives SMEs a brand new choice and path to explore the warehouse receipt pledge financing business to help SMEs with products obtain loans.

(4) Launching a standard warehouse receipt pledge loan is a lubricant for the rapid development of the futures market:

The standard warehouse receipt refers to the physical delivery certificate that the designated delivery warehouse formulates in accordance with a unified format and can be circulated on the exchange after being registered in the unified format after completing the acceptance of the goods in the warehouse, confirming the qualification and issuing the "Goods Storage Certificate". The exchange handles the registration, delivery, trading, pledge, and cancellation of standard warehouse receipts through computers. The standard warehouse receipt is in the form of "standard warehouse receipt holding certificate", and the exchange will issue it on the basis of "goods storage certificate". Standard warehouse receipts can be selected from one or more delivery warehouses with different levels of delivery commodities to collect goods. Standard warehouse receipts have the characteristics of good circulation and high value. Therefore, commercial banks have great enthusiasm for standard warehouse receipts in the futures market.

However, the inventor found that the warehouse receipt pledge financing has not been launched in China at this stage. The main reason is that the credit risk of warehouse receipt pledge financing involves many factors and complex scenarios. Warehouse receipts may also involve hedging in the futures and options markets. The price of pledges fluctuates in real time, and the uncertainty in the disposal of pledges places high demands on the risk management of warehouse receipt pledge financing.

In a typical warehouse receipt pledge scenario, the borrower pledges the warehouse receipt to a financial institution. The financial institution evaluates the value of the warehouse receipt and determines various parameters such as the loan interest rate, duration, and amount according to the evaluation results. The following difficulties exist:

1. The value of the warehouse receipt is variable. The price fluctuation of the pledge makes the value of the warehouse receipt change at any time, resulting in the risk of price fluctuation. In order to reduce the risk of price fluctuations, there are two common practices in practice: one is to discount the approved credit line for the value of warehouse receipts at the moment of modern evaluation; the other is to buy bearish futures for hedging at the same time in the futures market, resulting in more More difficult.

2. The warehouse receipt discount is difficult to determine. If the discount is too low, you cannot resist the risk of price fluctuations. But too high a discount market cannot bear it. Considering that once the default event occurs, there will be additional VAT expenses when the pledge is sold. In practice, financial institutions often discount half of the value of the warehouse receipt at time 0, which is difficult for the borrower to accept, making the warehouse receipt pledge financing market overall The scale has been small.

3. The complexity of futures trading. If a financial institution chooses to hedge futures against collateral, one is that the futures revenue itself is uncertain; the other is that the futures hedge itself will occupy funds, and considering the margin trading system in the futures market, the funds occupied by futures hedges will not Certainty; The third is that futures revenue, warehouse receipt value fluctuations, futures capital occupancy costs, credit capital occupancy costs, etc. all have an impact on the risks and returns of credit algorithms. In such complex trading conditions, how to determine the most basic credit limit , Interest and term.

Therefore, considering the above technical problems, the inventor has proposed a credit risk monitoring scheme for warehouse receipt pledge, which solves the problem of risk control management in warehouse receipt pledge financing. The program utilizes a large amount of historical data and relies on modern computer simulation technology to simulate a set of credit parameters (credit risk control parameter values) based on warehouse receipt pledges to historical scenes in real-world simulation tests, and repeatedly calculates the core indicators of user attention by credit measurement , Grid traverse the combination of various parameter values (credit risk control parameter values) to form a credit parameter combination (best credit risk control parameter value and best credit evaluation index value) acceptable to both parties of the credit, and facilitate the conclusion of the transaction. At the same time, unified pre-loan calculation and monitoring model solutions in the loan, build a real-time and accurate warehouse receipts pledge credit risk monitoring model. The credit risk monitoring plan for the warehouse receipt pledge is described in detail below.

FIG. 1 is a schematic flowchart of a credit risk monitoring method of warehouse receipt pledge in an embodiment of the present invention. As shown in FIG. 1, the method includes the following steps:

Step 101: Obtain the historical price data or real-time price data of the goods under the pledge warehouse receipt;

Step 102: Obtain a pre-loan forecast distribution map based on the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring model; or based on the real-time price data, different credit risk control parameter values and warehouse receipt pledge The credit risk monitoring model obtains the monitoring distribution map during the loan; wherein the pre-loan prediction distribution map and the monitoring distribution map during the loan include: different credit evaluation index values corresponding to different credit risk control parameter values;

Step 103: Receive the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, and predict the best credit risk control parameter value according to the best credit evaluation index value; or according to the monitoring distribution map in the loan , To carry out risk monitoring and processing operations on credit transactions that are implementing warehouse receipt pledges.

Compared with the prior art, the technical solution provided by the embodiments of the present invention implements pre-loan prediction and mid-loan monitoring of warehouse receipt pledge credit:

Before the credit transaction occurs, first, obtain the historical price data of the goods under the pledged warehouse receipt; second, based on the historical price data, different credit risk control parameter values, and the warehouse receipt pledged credit risk monitoring model, obtain a pre-loan forecast distribution map; Among them, the pre-loan forecast distribution map includes different credit evaluation index values corresponding to different credit risk control parameter values; then, the best credit evaluation index value determined by the user through the pre-loan forecast distribution map is received, and then according to the best The credit evaluation index value predicts the best credit risk control parameter value, and realizes: through the pre-established warehouse receipt pledge credit risk monitoring model, before the credit transaction occurs, obtain the best credit risk control parameter value acceptable to both parties of the credit transaction And the best credit evaluation index value.

In the credit transaction process, first, obtain real-time price data of the goods under the pledged warehouse receipt; second, based on the real-time price data, different credit risk control parameter values, and the warehouse receipt pledge credit risk monitoring model, obtain the monitoring distribution map in the loan; Among them, the monitoring distribution map of the loan includes: different credit evaluation index values corresponding to different credit risk control parameter values; then, according to the monitoring distribution map of the loan, the risk monitoring processing operation of the credit transaction that is pledged by the warehouse receipt is performed, Realized: Through the pre-established warehouse receipt pledge credit risk monitoring model, before the credit transaction occurs, according to the real-time monitoring of the price data of the goods under the pledge warehouse receipt item, the real-time risk monitoring and processing operation is carried out on the credit transaction that is implementing the warehouse receipt pledge.

Through the technical solutions provided by the embodiments of the present invention, the following beneficial technical effects can be achieved:

(1) Compared with the prior art, before the credit transaction, it is impossible to reasonably determine the credit risk control parameter value and credit evaluation index value acceptable to both parties of the credit, the technical solution provided by the embodiment of the present invention is through pre-loan prediction The distribution chart intuitively reflects the different credit evaluation index values corresponding to different credit risk control parameter values, fully considering the complexity of warehouse receipt pledge transaction scenarios such as regional differences, industry differences, customer preferences, etc. Select the best credit evaluation index value according to the pre-loan forecast distribution map, and also find the corresponding best credit risk control parameter value according to the user-determined best credit evaluation index value, and finally determine the best acceptable to both parties The credit risk control parameter value and the best credit evaluation index value reduce the difficulty of warehouse receipt pledge transactions, improve the efficiency and accuracy of pre-loan forecasting, and thus greatly promote the development of warehouse receipt pledge financing business.

(2) Compared with the prior art, in the credit transaction process, it is inevitable to avoid the credit risk caused by the fluctuation of the pledge price. The technical solution provided by the embodiment of the present invention obtains real-time price data, based on the real-time price data, Different credit risk control parameter values and warehouse receipts pledged credit risk monitoring model, get the monitoring distribution map in the loan, according to the different credit risk control parameter values directly reflected by the different credit risk control parameter values reflected in the monitoring distribution map in the loan, the warehouse is being implemented. Single pledged credit transactions carry out risk monitoring and processing operations, improving the efficiency and accuracy of risk monitoring in loans.

(3) In addition, the technical solution provided by the embodiment of the present invention uses a unified warehouse receipt pledge credit risk monitoring model to obtain the pre-loan forecast distribution map for pre-loan parameter measurement, or obtain the in-loan monitoring distribution map for in-loan risk monitoring, which is not only effective It has effectively suppressed the credit risk of warehouse receipt pledges, and also guaranteed the accuracy, flexibility and timeliness of forecasting and monitoring.

In summary, the technical solution provided by the embodiments of the present invention realizes pre-loan prediction and mid-loan monitoring, improves the accuracy and efficiency of credit risk monitoring of warehouse receipt pledges, and greatly advances the development of the financing business of warehouse receipt pledges.

In the following, in conjunction with FIG. 2 to FIG. 7, each step involved in providing a technical solution of the example of the present invention will be described in detail.

In one embodiment, the credit risk control parameters may include: credit ratio, credit term, borrowing interest rate, number of times to fill positions, and threshold for covering positions; the credit evaluation indicators may include: one of the default distance, credit efficiency, and credit actual interest rate One or any combination; wherein, the default distance may be a balance determined based on the market value of the warehouse receipt, principal and interest, transaction costs, and futures profit and loss, representing the degree of credit security.

The meaning of parameters such as credit risk control parameters and credit evaluation indicators is introduced below.

1. The default distance: at each time point, the balance of the warehouse receipt market value-principal and interest and-transaction costs-futures profit and loss-the balance of various costs, reflecting the security of the loan, the default distance can be calculated in real time, which is a combination of various risk and return factors. The indicator that the organization is most concerned about.

2. Credit ratio: The ratio of the credit line issued to the present value of the warehouse receipt. The borrower prefers a higher credit ratio, while the lenders do the opposite.

3. Replenishment positions and replenishment threshold: When the default distance is lower than the replenishment threshold, goods need to be replenished. On the one hand, the replenishment mechanism can increase the safety of warehouse receipt financing without reducing the credit ratio.

4. Credit efficiency: the indicator that the borrower pays more attention to, the amount of financing actually obtained per unit of goods.

5. The actual interest rate of credit: the indicator that the borrower pays attention to, taking into account the margin used by futures hedging has been added to the margin, the actual loan of the customer will be partially occupied, so that the actual interest rate is higher than the nominal interest rate.

During specific implementation, as shown in Figure 2, the goods under the pledged warehouse receipt can be: standard aluminum; historical price data or real-time price data can be value-added tax, futures initial margin, price per ton, etc.; different credit risk control parameters can be Yes: data such as credit ratio, interest rate, threshold for covering positions.

During specific implementation, as shown in Figure 3, different credit evaluation indicators may be data indicators such as loan amount, default distance, credit efficiency, and credit actual rate.

In specific implementation, the warehouse receipt pledge credit risk monitoring model can determine different credit evaluation index values corresponding to different credit risk control parameter values based on historical price data and different credit risk control parameter values, and generate a distribution map of different credit evaluation index values. The distribution diagram can be presented in the form of a table as shown in FIG. 3, and of course, can also be a distribution diagram in the form of a form as shown in FIGS. 4 to 7; wherein, FIGS. 4 to 6 are histograms. In all histograms, the vertical The axes are all frequencies, and the area integral of the histogram is 1. Figure 4 is the credit result distribution histogram. The horizontal axis of the credit result is the final default distance. Figure 5 is the cumulative fill position distribution histogram. The x axis (horizontal axis) represents Cumulative replenishment weight for each simulation; Figure 6 is a histogram of credit efficiency distribution, the x-axis (horizontal axis) represents the actual loan amount obtained per unit of goods per day; Figure 7 is a sliding bubble chart of the position replenishment threshold, and y-axis (vertical axis) The number of fill positions, the x-axis (horizontal axis) represents the threshold for fill positions, and the bubble area represents the final default distance (that is, the credit result).

In the following, the solutions provided by the embodiments of the present invention will be described in detail with respect to the two aspects of pre-loan prediction and mid-loan monitoring.

1. First introduce the pre-loan forecasting plan.

In one embodiment, the credit risk monitoring method of warehouse receipt pledge may further include: pre-processing of cleaning and/or sorting the historical price data of the goods under the pledge warehouse receipt.

In specific implementation, after collecting historical price data of pledges, the data will be cleaned and sorted. Historical price data will generally not have holidays, and will be calculated day by day during the calculation process. For the holiday data, the data of the latest trading day will be substituted. After the historical price data is obtained, the pre-processing of cleaning and/or sorting the historical price data of the goods under the pledged warehouse receipt item can further improve the accuracy of credit risk monitoring of subsequent warehouse receipt pledges.

The inventor also found that: in the process of warehouse receipt pledge financing, it often involves the price fluctuations of the futures and spot markets, and the cost of funds occupied by measures such as hedging. At present, there is a lack of unified risk monitoring core indicators and methods, resulting in warehouse receipt pledge The application scope of the financing model is relatively limited, the results of credit risk measurement and monitoring are inaccurate, and the market size has not been large. Therefore, the inventor proposes the following monitoring scheme that considers price fluctuations in the futures and spot markets.

In one embodiment, according to the historical price data, different credit risk control parameter values, and a warehouse receipt pledge credit risk monitoring model, obtaining a pre-loan forecast distribution map may include:

Determine the principal and interest of loans and data based on the loan interest rate data and credit term data;

Determine the realizable value data of the goods under the pledge warehouse receipt based on the data on the disposal costs and tax costs of the goods under the pledge warehouse receipt;

Determine futures profit and loss data based on futures price data and quantity data;

Determine the default distance based on the principal and interest and data, realizable value data, and futures profit and loss data;

According to the default distance and the preset warning threshold, determine the quantity or weight of the goods to be filled;

According to the initial price data, quantity and margin ratio data of futures, determine the initial margin data of futures;

Determine the current margin data of the futures based on the initial margin data and the additional margin data of the futures;

Determine the amount of margin to be supplemented according to the current margin data of the futures and the preset margin threshold;

Determine the credit efficiency according to the quantity or weight of the goods to be filled;

Determine the actual interest rate of the credit based on the amount of the margin to be supplemented;

According to the default distance, credit efficiency and credit actual interest rate, a pre-loan forecast distribution map is generated.

During specific implementation, the solution may include the following steps:

1. Traverse the historical data in the data, each line contains the historical spot price and futures price, with each day in history as a starting point for credit issuance, with the starting point as the futures purchase date and loan date, and the current day as the futures settlement Day, using the current number of days + the disposal period as the disposal day, to simulate the loan period + the real scenario occurrence time within the disposal time;

2. For each day within the loan period, calculate the interest, the realizable value of the goods, the default distance, the futures margin increase and other indicators;

3. Interest = principal X (current days-starting days) X interest rate/360;

4. Realized value = (quantity of goods on the first day + cumulative quantity of supplementary warehouses) X price on disposal day X (1-VAT) X (1-cost of sales);

5. Futures profit and loss = (futures purchase price is the price of the first day-current price of futures) X futures purchase quantity;

6. Default distance = realizable value-principal and interest and + futures profit and loss;

7. Initial margin of futures = futures price on the first day X quantity X margin ratio;

8. The current (current) margin of futures = initial margin + additional margin;

9. Margin required by futures = current price X quantity X margin ratio;

10. For each day, determine whether the default distance is less than the principal and interest and the X warning threshold. If it is less, add the goods (goods to be restocked) to the level;

11. For each day, determine whether the current current futures margin is less than the required margin (margin threshold), if it is less than the supplementary margin (margin to be supplemented) to a level equal to;

12. Circulate to the last day, at this time, know how much goods and security deposits are added, calculate the credit result, real interest rate, credit efficiency;

13. The credit result is the default distance on the last day;

14. Effective interest rate = nominal interest rate X (loan X days)/(loan X days-additional margin X days);

15. Credit efficiency = Loan X days / (initial goods X days + additional goods X days);

16. When the threshold for covering positions is very low, it is equivalent to not covering positions; when the number of futures is 0, it is equivalent to not hedging; when the credit ratio is 100%, it is equivalent to full lending.

During specific implementation, the formulas and judgment methods in steps 1 to 16 above can be called warehouse receipt pledge credit risk monitoring model. In the implementation of the above pre-loan forecast, when determining the value of different credit evaluation indicators corresponding to different credit risk control parameter values, the fluctuation factors such as spot price and futures price and the realizable value of disposal are taken into consideration, so as to obtain the most The best credit risk control parameter value and the best credit evaluation index value further improve the accuracy of credit risk monitoring of warehouse receipt pledge.

In specific implementation, the pre-loan forecasting step is to assume historical credit data in the historical scenario of retrospective, assuming different credit risk control parameter values (such as the credit ratio, interest rate, and threshold for covering positions in Figure 2), and apply historical price data to carry out risk retrospective For testing, input historical price data and credit risk control parameter values to the warehouse receipt pledge credit risk monitoring model. The input interface can be as shown in Figure 2. It can traverse the combination of exogenous variables through gridding (such as different credit risk control parameter values) , Repeating the step of pre-loan forecasting continuously, the forecast obtains the pre-loan forecast distribution map shown in Figure 3, which includes different credit evaluation index values corresponding to different credit risk control parameter values.

At this time, the user (both credit parties) can use the distribution map to select the best credit evaluation index value acceptable to both parties according to the actual application scenario that they need. Specifically, the user can be based on the distribution map and the needs of the actual scenario. Determine the optimal distribution interval for credit evaluation indicators. For example, if the warehouse is close to the factory area, you are not afraid of making more positions, but you want this indicator to be far away. After receiving the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, the credit risk control parameter value corresponding to the best credit evaluation index value can be found according to the best credit evaluation index value as the best credit risk The control parameters, that is, the reverse determination of the optimal loan risk control parameter value. During specific implementation, a distribution map of optimal loan risk control parameter values may also be generated, for example, as shown in FIG. 5 or FIG. 7.

In the specific implementation, due to different positions of the credit parties, the acceptable credit risk control parameter values and credit evaluation index values are also different. For example, the threshold for covering positions, the credit parties do not want to be too high, because of trouble, the credit ratio, and the financial institutions want to be high Some customers want lower. Therefore, through the above implementation scheme, the best loan risk control parameter values and the best credit evaluation index values that are easily acceptable to both parties of the credit can be obtained, that is, the selection of acceptable credit transaction conditions by all parties can reduce the difficulty of warehouse receipt pledge transactions. Help to popularize the promotion of warehouse receipt pledge business model.

Secondly, introduce the monitoring plan in the loan.

In one embodiment, according to the real-time price data, different credit risk control parameter values, and warehouse receipts pledged credit risk monitoring model, obtaining a monitoring distribution map in the loan may include: according to the real-time price data, different credit risk control parameters Value, determine the real-time default distance in the loan, and generate a monitoring distribution map of the real-time default distance;

The credit risk monitoring method of warehouse receipt pledge may also include:

According to the real-time default distance, determine the real-time risk level of credit;

When it is detected that the real-time risk level of the credit exceeds the preset risk monitoring level threshold, an early warning message is sent to the lender.

During specific implementation, the real-time default distance in the loan is determined based on real-time price data and different credit risk control parameter values, that is, mark-to-market. According to the visual display of the real-time default distance of the loan monitoring distribution map, it is easy to judge the risk manually.

In the specific implementation, read the warehouse receipt of the warehouse receipt pledge loan from the warehouse receipt system, and query the database for the type of goods (such as the standard aluminum shown in Figure 2), weight, loan amount, repayment amount and other information; according to the price Interface module (warehouse receipt pledge credit risk monitoring model), real-time calculation of spot prices, calculation of the value of hedging financial instruments according to external interfaces or pre-entry; according to the default distance algorithm in the backtest mentioned in the previous embodiment, determine the real-time default distance, When the pre-set warning threshold is triggered, the early warning of position replenishment will be triggered. Specific warning methods can be:

When the default distance/repayment amount is >20%, >10%, >0 at four different intervals, you can set different risk monitoring level thresholds by marking different colors;

For the default distance of less than 10%, the early warning information is pushed by email or WeChat public account, that is, when the real-time risk level of the credit exceeds the preset risk monitoring level threshold, the early warning information is sent to the lender.

For specific implementation, for the method of determining the real-time default distance in the loan, please refer to the method for determining the default distance in the above pre-loan test.

Based on the same inventive concept, an embodiment of the present invention also provides a credit risk monitoring device for warehouse receipt pledge, as in the following embodiment. Since the principle of the credit risk monitoring device for warehouse receipt pledge is similar to the above credit risk monitoring method for warehouse receipt pledge, the implementation of the credit risk monitoring device for warehouse receipt pledge can refer to the implementation of the credit risk monitoring method for warehouse receipt pledge, The repetition is not repeated here. As used below, the term "module" or "unit" may implement a combination of software and/or hardware that implements a predetermined function. Although the devices described in the following embodiments are preferably implemented in software, implementation of hardware or a combination of software and hardware is also possible and conceived.

8 is a schematic structural diagram of a credit risk monitoring device for warehouse receipt pledge in an embodiment of the present invention. As shown in FIG. 8, the device includes:

Acquisition unit 02, used to acquire historical price data or real-time price data of goods under the pledge warehouse receipt;

The distribution map generation unit 04 is used to obtain a pre-loan forecast distribution map based on the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring models; or based on the real-time price data and different credit risk control parameters Value and warehouse receipts pledged credit risk monitoring model to obtain the monitoring distribution map during the loan; wherein, the pre-loan forecast distribution map and the monitoring distribution map during the loan include: different credit evaluation index values corresponding to different credit risk control parameter values;

The monitoring unit 06 is used to receive the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, and predict the best credit risk control parameter value according to the best credit evaluation index value; or The distribution map of the monitoring in the loan, and the risk monitoring and processing operation of the credit transaction that is pledged by the warehouse receipt.

During specific implementation, the monitoring unit 06 can be divided into a pre-loan prediction unit, which is used to receive the best credit evaluation index value determined by the user through the pre-loan prediction distribution map, and predict the best credit based on the best credit evaluation index value Risk control parameter values; and a loan-to-loan monitoring unit, which are used to perform risk monitoring and processing operations on credit transactions that are pledged warehouse receipts according to the monitoring-to-loan monitoring distribution map. Both the pre-loan forecast and the monitoring in the loan are the risk monitoring of the warehouse receipt pledge.

In one embodiment, the distribution map generating unit may be specifically used to:

Determine the principal and interest of loans and data based on the loan interest rate data and credit term data;

Determine the realizable value data of the goods under the pledge warehouse receipt based on the data on the disposal costs and tax costs of the goods under the pledge warehouse receipt;

Determine futures profit and loss data based on futures price data and quantity data;

Determine the default distance based on the principal and interest and data, realizable value data, and futures profit and loss data; where the default distance is the balance determined based on the market value of the warehouse receipt, principal and interest, transaction costs, and futures profit and loss, representing the degree of credit security;

According to the default distance and the preset warning threshold, determine the quantity or weight of the goods to be filled;

According to the initial price data, quantity and margin ratio data of futures, determine the initial margin data of futures;

Determine the current margin data of the futures based on the initial margin data and the additional margin data of the futures;

Determine the amount of margin to be supplemented according to the current margin data of the futures and the preset margin threshold;

Determine the credit efficiency according to the quantity or weight of the goods to be filled;

Determine the actual interest rate of the credit based on the amount of the margin to be supplemented;

According to the default distance, credit efficiency and credit actual interest rate, a pre-loan forecast distribution map is generated.

In one embodiment, the distribution map generating unit may be specifically used to:

According to the real-time price data and different credit risk control parameter values, determine the real-time default distance in the loan, and generate a real-time default distance monitoring distribution map; wherein, the default distance is based on the warehouse receipt market value, principal and interest, The transaction fee and the balance determined by the futures profit and loss represent the degree of credit security;

The credit risk monitoring method of warehouse receipt pledge may also include:

According to the real-time default distance, determine the real-time risk level of credit;

When it is detected that the real-time risk level of the credit exceeds the preset risk monitoring level threshold, an early warning message is sent to the lender.

In one embodiment, the credit risk monitoring device for warehouse receipt pledge may further include: a preprocessing unit, which is used for preprocessing of cleaning and/or sorting the historical price data of the goods under the pledge warehouse receipt.

An embodiment of the present invention also provides a computer device, including a memory, a processor, and a computer program stored on the memory and executable on the processor. The processor executes the credit risk monitoring method for the warehouse receipt pledge.

An embodiment of the present invention also provides a computer-readable storage medium that stores a computer program that executes a credit risk monitoring method for warehouse receipt pledge.

Compared with the prior art, the technical solutions provided by the embodiments of the present invention can achieve the following beneficial technical effects:

First, while significantly increasing the pledge credit ratio of warehouse receipts, it also suppressed credit risk. Through the lending position monitoring system in the loan, financial institutions are avoided only for possible spot price decline, and the warehouse receipt pledge credit ratio is greatly reduced. At the same time, the implementation of the calculation of the default distance has ensured the smooth implementation of replenishment.

The second is to build a warehouse risk monitoring model of pledge credit. Through the spot futures data, the various risks and benefits actually faced by the borrower and the lender are calculated, and finally reflected clearly through the index system such as the credit ratio, default distance, number of positions filled, credit efficiency, and actual borrowing interest rate. Compared with the existing warehouse receipt pledge risk control technology, which only monitors the spot market, the technical solution of the embodiment of the present invention simultaneously considers the linkage between the futures and spot markets, collects the futures spot prices, and considers the disposal costs and taxes of the spot The key factors such as cost present the outcome indicators that both parties of the transaction are concerned about.

The third is a unified pre-loan calculation and mid-loan monitoring model. The present invention can be applied to both the pre-loan parameter pre-loan parameter calculation stage and the mid-loan monitoring stage. Compared with most of the risk measurement and monitoring in the existing technology, the computer-based simulation technology is used to establish the warehouse receipt pledge credit risk monitoring model. The pre-loan credit parameter calculation and the loan-to-loan credit risk monitoring are highly consistent, ensuring the accuracy and flexibility of forecasting and monitoring. Sex and timeliness.

Finally, compared with the credit risk measurement model based on the framework of pure machine learning in the prior art, this model fully considers the business complexity of warehouse receipt pledge transactions such as regional differences, industry differences, customer risk preferences, etc., and distributes the simulation measurement results by distribution The form of the diagram is presented to professionals. The professionals and credit participants choose the transaction conditions acceptable to all parties according to the actual situation, which reduces the difficulty of warehouse receipt pledge transactions and helps popularize the promotion of warehouse receipt pledge business models.

In summary, based on the data of spot and futures markets, the embodiments of the present invention unify the pre-loan parameter measurement model and the in-loan risk monitoring model through computer simulation technology, which effectively reduces the credit risk while increasing the warehouse receipt pledge credit ratio At the same time, considering the complexity of the subjective factors of the warehouse receipt pledge trader, by instantiating the core indicators of the parties involved in the transaction, generating a distribution map, combining the subjective factors, and selecting the trading conditions, ultimately greatly improving the possibility of the warehouse receipt pledge transaction To reduce the difficulty of transactions, it helps to promote the business model of warehouse receipt pledge.

Obviously, those skilled in the art should understand that the modules or steps of the embodiments of the present invention described above can be implemented by a general-purpose computing device, and they can be concentrated on a single computing device or distributed among multiple computing devices. On the Internet, optionally, they can be implemented with program code executable by the computing device, so that they can be stored in the storage device to be executed by the computing device, and in some cases, can be different from here The steps shown or described are executed in the order of, or they are made into individual integrated circuit modules separately, or multiple modules or steps among them are made into a single integrated circuit module for implementation. In this way, the embodiments of the present invention are not limited to any specific combination of hardware and software.

The above are only the preferred embodiments of the present invention and are not intended to limit the present invention. For those skilled in the art, the embodiments of the present invention may have various modifications and changes. Any modification, equivalent replacement, improvement, etc. made within the spirit and principle of the present invention shall be included in the protection scope of the present invention.

Claims (10)

1. A credit risk monitoring method for warehouse receipt pledge, which is characterized by:

   Obtain the historical price data or real-time price data of the goods under the pledge warehouse receipt;

   According to the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring model, obtain a pre-loan forecast distribution map; or based on the real-time price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring The model obtains the monitoring distribution map during the loan; wherein the pre-loan prediction distribution map and the monitoring distribution map during the loan include: different credit evaluation index values corresponding to different credit risk control parameter values;

   Receive the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, and predict the best credit risk control parameter value according to the best credit evaluation index value; or Perform credit monitoring and pledged credit transactions for risk monitoring and processing operations.
2. The credit risk monitoring method of warehouse receipt pledge according to claim 1, characterized in that the credit risk control parameters include: any combination of credit ratio, credit term, borrowing interest rate, number of replenishment positions and replenishment threshold; the credit evaluation The indicators include: one or any combination of default distance, credit efficiency, and credit effective interest rate; where the default distance is the balance determined based on the market value of the warehouse receipt, principal and interest, transaction costs, and futures profit and loss, and represents the degree of credit security.
3. The credit risk monitoring method of warehouse receipt pledge according to claim 2, characterized in that, according to the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring model, a pre-loan forecast distribution map is obtained, including :

   Determine the principal and interest of loans and data based on the loan interest rate data and credit term data;

   Determine the realizable value data of the goods under the pledge warehouse receipt based on the data on the disposal costs and tax costs of the goods under the pledge warehouse receipt;

   Determine futures profit and loss data based on futures price data and quantity data;

   Determine the default distance based on the principal and interest and data, realizable value data, and futures profit and loss data;

   According to the default distance and the preset warning threshold, determine the quantity or weight of the goods to be filled;

   According to the initial price data, quantity and margin ratio data of futures, determine the initial margin data of futures;

   Determine the current margin data of the futures based on the initial margin data and the additional margin data of the futures;

   Determine the amount of margin to be supplemented according to the current margin data of the futures and the preset margin threshold;

   Determine the credit efficiency according to the quantity or weight of the goods to be filled;

   Determine the actual interest rate of the credit based on the amount of the margin to be supplemented;

   According to the default distance, credit efficiency and credit actual interest rate, a pre-loan forecast distribution map is generated.
4. The credit risk monitoring method of warehouse receipt pledge according to claim 2, characterized in that, based on the real-time price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring model, a monitoring distribution map in the loan is obtained, including : According to the real-time price data and different credit risk control parameter values, determine the real-time default distance in the loan, and generate a real-time default distance monitoring distribution map;

   The credit risk monitoring method of warehouse receipt pledge also includes:

   According to the real-time default distance, determine the real-time risk level of credit;

   When it is detected that the real-time risk level of the credit exceeds the preset risk monitoring level threshold, an early warning message is sent to the lender.
5. The credit risk monitoring method of warehouse receipt pledge as claimed in claim 1, further comprising: pre-processing for cleaning and/or sorting the historical price data of the goods under the pledge warehouse receipt.
6. A credit risk monitoring device for warehouse receipt pledge is characterized by including:

   Acquisition unit, used to acquire historical price data or real-time price data of goods under pledged warehouse receipts;

   The distribution map generation unit is used to obtain a pre-loan forecast distribution map based on the historical price data, different credit risk control parameter values and warehouse receipt pledge credit risk monitoring models; or based on the real-time price data and different credit risk control parameter values And the warehouse receipt pledged credit risk monitoring model to obtain the monitoring distribution map during the loan; wherein the pre-loan forecast distribution map and the monitoring distribution map during the loan include: different credit evaluation index values corresponding to different credit risk control parameter values;

   The monitoring unit is used to receive the best credit evaluation index value determined by the user through the pre-loan forecast distribution map, and predict the best credit risk control parameter value based on the best credit evaluation index value; The distribution map of the monitoring system is used for risk monitoring and processing of credit transactions that are pledged by warehouse receipts.
7. The credit risk monitoring device for warehouse receipt pledge according to claim 6, wherein the distribution map generating unit is specifically used for:

   Determine the principal and interest of loans and data based on the loan interest rate data and credit term data;

   Determine the realizable value data of the goods under the pledge warehouse receipt based on the data on the disposal costs and tax costs of the goods under the pledge warehouse receipt;

   Determine futures profit and loss data based on futures price data and quantity data;

   Determine the default distance based on the principal and interest and data, realizable value data, and futures profit and loss data; where the default distance is the balance determined based on the market value of the warehouse receipt, principal and interest, transaction costs, and futures profit and loss, representing the degree of credit security;

   According to the default distance and the preset warning threshold, determine the quantity or weight of the goods to be filled;

   According to the initial price data, quantity and margin ratio data of futures, determine the initial margin data of futures;

   Determine the current margin data of the futures based on the initial margin data and the additional margin data of the futures;

   Determine the amount of margin to be supplemented according to the current margin data of the futures and the preset margin threshold;

   Determine the credit efficiency according to the quantity or weight of the goods to be filled;

   Determine the actual interest rate of the credit based on the amount of the margin to be supplemented;

   According to the default distance, credit efficiency and credit actual interest rate, a pre-loan forecast distribution map is generated.
8. The credit risk monitoring device for warehouse receipt pledge according to claim 6, wherein the distribution map generating unit is specifically used for:

   According to the real-time price data and different credit risk control parameter values, determine the real-time default distance in the loan, and generate a real-time default distance monitoring distribution map; wherein, the default distance is based on the warehouse receipt market value, principal and interest, The transaction fee and the balance determined by the futures profit and loss represent the degree of credit security;

   The credit risk monitoring method of warehouse receipt pledge also includes:

   According to the real-time default distance, determine the real-time risk level of credit;

   When it is detected that the real-time risk level of the credit exceeds the preset risk monitoring level threshold, an early warning message is sent to the lender.
9. A computer device, including a memory, a processor, and a computer program stored on the memory and executable on the processor, characterized in that, when the processor executes the computer program, any one of claims 1 to 5 is realized method.
10. A computer-readable storage medium, characterized in that the computer-readable storage medium stores a computer program for performing the method according to any one of claims 1 to 5.

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