供应链金融风险预警与防控研究

发布时间：2018-08-21 12:55

【摘要】：供应链金融风险是银行等金融机构在提供供应链金融服务过程中发生损失的不确定性。由于面临的不确定因素较多，供应链金融风险具有较强的复杂性和隐蔽性，会利用供应链与金融系统的关联性和脆弱性，对供应链金融业务中各方参与者带来巨大损失和破坏，使得供应链融资业务的实际收益和预期收益产生较大的偏差。越来越复杂的金融风险已成为制约供应链金融发展的关键问题，如何对复杂的供应链金融风险准确辨识、科学监测、有效防控，是缓解中小企业融资难、拓展银行业务空间、培育第三产业竞争力的现实要求与紧迫任务。作为一个较新的研究领域，目前对供应链金融风险管理的文献研究大多集中在概念和价值的定性描述，理论研究上未形成供应链金融风险全面管理的理论体系支撑，实践应用上缺乏科学的定量预警测度模型工具和有效的风险管理技术与方法。有鉴于此，本文立足于当前供应链金融发展的时代与现实背景，按照全面风险管理的内在要求与研究逻辑，对供应链金融风险管理开展系统深入研究，并试图构建一个能够提供理论指导的供应链金融风险管理理论模型框架，设计一个涵盖供应链金融风险系统特征的风险预警指标体系，找到一个适合供应链金融风险测度要求的风险定量预警监测模型，引入一种切合供应链金融风险防控实际的现代风险管理的新思路与方法。基于以上系统研究，本文得到如下研究成果：（1）搭建了供应链金融风险管理的理论模型框架。从供应链管理理论、结构融资理论、风险管理理论和动态博弈理论出发，基于全面风险管理的思路，构建了供应链金融风险管理的理论模型框架，用于指导供应链金融风险的理论与实践应用。（2）设计了供应链金融风险预警综合指标体系。通过深入分析供应链金融风险的形成机理、传导机制与效应，对风险指标进行辨识分析，按照“主体+债项”的评级思路设计了较为系统全面的供应链金融风险预警综合指标体系，用于供应链金融风险的监测与预警评价。（3）建立了基于PCA-LOGIT的供应链金融风险监测预警模型。通过对国内外风险度量模型的适用性梳理分析，建立了适应供应链金融风险特征的二分类违约概率分布模型，并实证检验了模型的拟合优度与精确性。（4）提出了基于动态质押率决策的供应链金融风险防控思路与方法。分析不同风险偏好下的质押率决策差异，建立动态质押率决策模型，并实证分析了考虑质押物VaR值变化和市场收益率自相关的模型应用，，并引入套期保值修正模型以进一步拓展供应链金融风险防控的思路与方法。
[Abstract]:Supply chain financial risk is the uncertainty of loss caused by banks and other financial institutions in the process of providing supply chain financial services. Because there are many uncertain factors, the financial risk of supply chain has strong complexity and concealment, which will take advantage of the relevance and fragility of supply chain and financial system, and bring huge loss and destruction to all participants in supply chain financial business. It makes the actual income and expected income of the supply chain financing business to produce a big deviation. More and more complex financial risk has become a key problem restricting the development of supply chain finance. How to accurately identify the complex supply chain financial risk, scientific monitoring, effective prevention and control is to alleviate the financing difficulties of small and medium-sized enterprises and expand the banking business space. The realistic request and urgent task of cultivating the third industry competitive power. As a relatively new research field, the literature on supply chain financial risk management is mostly focused on the qualitative description of the concept and value, and the theoretical research has not formed a theoretical system support for the overall management of supply chain financial risk. In practice, there is a lack of scientific quantitative early warning model tools and effective risk management techniques and methods. In view of this, based on the current era and realistic background of supply chain finance development, according to the inherent requirements and research logic of overall risk management, this paper carries out a systematic and in-depth study on supply chain financial risk management. It also tries to construct a theoretical model framework of supply chain financial risk management which can provide theoretical guidance and design a risk early warning index system covering the characteristics of supply chain financial risk system. This paper finds a quantitative risk early warning and monitoring model suitable for the measurement of supply chain financial risk, and introduces a new idea and method of modern risk management, which is suitable for supply chain financial risk prevention and control. Based on the above systematic research, the following research results are obtained: (1) A theoretical model framework of supply chain financial risk management is established. Based on supply chain management theory, structure financing theory, risk management theory and dynamic game theory, the theoretical model framework of supply chain financial risk management is constructed based on the idea of overall risk management. It is used to guide the theory and practice of supply chain financial risk. (2) the comprehensive index system of supply chain financial risk warning is designed. Through in-depth analysis of the formation mechanism, transmission mechanism and effect of financial risk in supply chain, the risk indicators are identified and analyzed. According to the idea of "subject debt", a systematic and comprehensive index system of early warning of supply chain financial risk is designed. It is used for monitoring and early warning evaluation of supply chain financial risk. (3) A supply chain financial risk monitoring and early warning model based on PCA-LOGIT is established. Through combing and analyzing the applicability of domestic and foreign risk measurement models, a two-classification probability distribution model of default is established, which adapts to the characteristics of financial risk in supply chain. And empirical test of the model's goodness of fit and accuracy. (4) based on the dynamic pledge rate decision based on the supply chain financial risk prevention and control ideas and methods. This paper analyzes the differences of pledge rate decision under different risk preferences, establishes a dynamic pledge rate decision model, and empirically analyzes the application of the model considering the variation of pledge VaR value and the autocorrelation of market rate of return. The paper also introduces the modified hedging model to further expand the ideas and methods of financial risk prevention and control in supply chain.
【学位授予单位】：武汉理工大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832

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