基于多主体的供应链金融信用风险博弈仿真研究

发布时间：2018-06-03 09:10

本文选题：供应链金融 + 信用风险　；参考：《华南理工大学》2012年硕士论文

【摘要】：供应链金融为解决中小企业融资难的问题提供了一条新思路，近年来成为我国商业银行纷纷开展的业务模式。其最大的创新在于授信模式的改变，要求银行打破原来孤立考察单一企业静态信用的思维模式，改为关注对整个供应链及其交易的信用状况。供应链金融中参与主体众多、关系繁复，运用计算机仿真有助于我们把复杂现象直观化。首先，本文对供应链金融的特点、供应链金融信用风险的表现形式及产生原因进行了分析，运用博弈论，为供应链金融的三种融资模式（应收账款融资模式、预付账款融资模式和存货融资模式）及中小企业贷款联盟分别建立了信用风险博弈模型。然后，基于有限理性思想，得出了供应链金融参与主体的两类活动规则：基于最优反应的“预定策略”规则和基于强化学习与模仿学习的“复制者动态”规则。在此基础上，构建出四个博弈仿真模型：供应链金融银企两人博弈仿真模型、银企仓三人博弈仿真模型、中小企业贷款联盟内多人博弈仿真模型以及银企两个群体多人博弈仿真模型。最后，运用多主体仿真方法，实现仿真模拟。仿真过程中，解决了以下问题：第一，，设计出两种Agent系统中主体行为策略的组合配置方式；第二，用随机数实现对第三种Agent（仓储公司）不确定性行为的描述；第三，完成对单群体及多群体复制者动态系统的稳定性分析；第四，基于布朗运动改进复制者动态模型，把确定性动态系统转变为随机动态系统；第五，借用“突变”思想更新复制者动态系统，探讨第三方（仓储公司）信用问题对系统稳定性的影响。总的来说，本文把博弈论和多主体仿真理论结合到供应链金融信用风险的研究中，为银行信贷业务风险管理提供了新视角；仿真结果则对银行供应链金融业务实践具有现实指导意义。
[Abstract]:Supply chain finance has provided a new way of thinking to solve the problem of financing difficulty for small and medium-sized enterprises. In recent years, supply chain finance has become the business model of commercial banks in our country one after another. The biggest innovation lies in the change of credit mode, which requires banks to break the original thinking mode of isolated inspection of static credit of a single enterprise and focus instead on the credit situation of the whole supply chain and its transactions. In supply chain finance, there are many participants and complicated relationships. Computer simulation is helpful to visualize complex phenomena. First of all, this paper analyzes the characteristics of supply chain finance, the forms of credit risk of supply chain finance and its causes, and applies game theory to analyze the three financing modes (accounts receivable financing mode) of supply chain finance. The credit risk game model is established by prepaid account financing model and inventory financing model and SME loan alliance respectively. Then, based on the idea of limited rationality, two kinds of activity rules of the financial participants in the supply chain are obtained: the "predetermined strategy" rule based on optimal response and the "replicator dynamic" rule based on reinforcement learning and imitation learning. On this basis, four game simulation models are constructed: supply chain banking and enterprise two-person game simulation model, banking and enterprise warehouse three-person game simulation model. The simulation model of multi-player game in SME loan alliance and the simulation model of multi-player game in two groups of banks and enterprises. Finally, multi-agent simulation method is used to realize simulation. In the process of simulation, the following problems are solved: first, the combination configuration of agent behavior strategy in Agent system is designed; second, the uncertainty behavior of the third kind of agent is described by random number; third, The stability analysis of single colony and multi-group replicator dynamic system is completed. Fourthly, based on Brownian motion, the replicator dynamic model is improved to transform deterministic dynamic system into stochastic dynamic system. By using the idea of "mutation" to update the replicator dynamic system, this paper discusses the influence of the third party (warehousing company) credit problem on the system stability. In general, this paper combines game theory and multi-agent simulation theory into the study of credit risk in supply chain finance, which provides a new perspective for the risk management of bank credit business. The simulation results are of practical significance to the banking supply chain financial business practice.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224.32;F832.4;F274

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