跨国供应链中订单融资的风险度量研究

发布时间：2018-01-12 09:09

本文关键词：跨国供应链中订单融资的风险度量研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 供应链金融 订单融资 风险 Credit Risk+

【摘要】：供应链金融从本世纪初真正独立的业务概念的提出到现今长足的发展也只有十年左右的时间,但是其发展速度之快,特别是金融危机以来的几年,已经成为银行业务最具活力的业务之一。在如今经济全球化的大环境中,供应链上的各个环节环环相扣,而作为此链中不可或缺的上游的原料厂商或者生产厂商多为中小企业,他们是整个供应链能够高效运作提供了实现的基础。但是我国中小企业,特别是在我国现阶段外向型经济中起着举足轻重作用的中小企业,目前并未能获得与之相应的金融待遇。供应链金融能为解决此矛盾提供一个全新的视角。然而在供应链金融及与之对应的金融风险的分析,度量以及管控方面,我们在理论上的研究似乎跟不上业务实践的需求,特别是现在应用比较普遍的供应链金融的一种业务模式——订单融资,目前我们对其风险识别及度量的研究还远远落后于其业务的发展,本人将引入现代的金融工程的风险度量工具,对供应链金融,特别是订单融资业务中的金融风险进行风险度量。具体来说,本文将结合供应链金融以及跨国供应链的特点,着重分析订单融资业务模式的特点及内涵,从银行等金融机构的视角对订单融资的风险进行分析,利用基于保险精算原理的Credit Risk+模型对基于外币结算的订单融资业务中的信用风险管理进行算例研究,来对订单融资应用于跨国供应链中的业务提供一种风险度量的方法。本文共分为四章,第一章阐明了选题的背景以及意义,主要通过研究国内外对于供应链金融的理论,结合供应链金融的发展历程,以及订单金融在现代供应链金融实务中的应用情况,从总体上给出供应链金融以及订单融资的现实意义以及研究价值。第二章详细介绍何为供应链金融,现行的主流业务模式,特别是订单融资的业务模式,阐述其不同于传统供应链金融模式的的内涵特点。第三章着重分析在银行等金融机构开展供应链金融业务中的金融风险。运用最新的巴塞尔协议中商业银行的风险计量的理论以及方法,介绍Credit Risk+模型在信用风险中的实际度量,对订单融资业务给银行融资所带来的金融风险进行界定和分析。第四章通过设定典型的订单融资的业务案例,通过二叉树模型的方式用逆归分析法给出金融机构的风险计量路径,结合Credit Risk+的模型算法,通过算例分析在进行融资不同的环节,通过调整各风险的发生概率,得出银行收益的分布频率的直方图,并通过此得出由供应链的业务流程中的某个风险概率的变化与融资银行收益分布的关系。本文通过对供应链金融的各业务模式的介绍,并结合当前我国外向性经济的大背景,将供应链金融的应用延伸至跨国供应链中讨论,详细地对在跨国供应链中银行在对中小企业进行订单融资所面临的风险进行了界定,最后重点通过基于外币结算的订单融资的具体算例,综合评估了融资过程中信用风险,操作风险,以及市场风险对银行回收贷款的影响程度。本文主要创新是将跨国供应链中的市场风险,主要指汇率风险,纳入了银行风险评估的体系,依照巴塞尔新资本协议的最新技术,结合Credit Risk+信用风险模型算法,讨论了违约损失率以及违约概率,并定性的通过BS模型分析了银行所面临风险敝口的分布。
[Abstract]:Supply chain finance from the beginning of this century a truly independent business concept to today's rapid development is only ten years, but the speed of its development, especially since the financial crisis in recent years, the banking business has become one of the most dynamic business. In today's economic globalization environment, interlocking each link in the supply chain, as the upstream chain indispensable raw material vendors or manufacturers for many small and medium enterprises, they are the whole supply chain can provide the basis for the realization of efficient operation. But China's small and medium enterprises, especially small and medium-sized enterprises play an important role in the present stage of China's export-oriented economy at present, and failed to obtain the corresponding financial benefits. Supply chain finance can provide a new perspective to resolve this contradiction. However, in the financial supply chain and the corresponding financial Risk analysis, measurement and control, we theoretically study seemed to keep up with the demand of the practice of business, especially now the common application of supply chain finance a business model - order financing, development at present our research on the risk identification and measurement is far behind the business risk, I the introduction of modern financial engineering measurement tool, the supply chain finance, especially risk measurement of financial risk in the order financing business. Specifically, this paper will combine the characteristics of supply chain finance and supply chain, analyzes the features and connotation of the order financing business model, to analyze the financing risk from orders banks and other financial institutions from the perspective of the use of actuarial principle Credit Risk+ model of foreign currency settlement orders financing business credit risk management is based on. Case study, provides a method to measure the risk of financing order used in the international supply chain business. This paper is divided into four chapters, the first chapter expounds the background and significance of topics, mainly through research at home and abroad for the supply chain finance theory, combined with the development of supply chain finance, and application of orders in the modern financial supply chain finance practice, from a given supply chain finance and financing order and the practical significance of study overall value. The second chapter introduces the supply chain finance, the current mainstream business model, especially the order financing business model, elaborates its characteristics different from traditional mode of supply chain finance. The third chapter focuses on the analysis of development of supply chain finance business in the financial risk in banks and other financial institutions. The risk measurement of commercial bank's new Basel agreement in theory to And introduces the practical method, Credit Risk+ model in credit risk measurement, the order financing business to bank financing, financial risks are defined and analyzed. The fourth chapter by setting the order financing business case typical, by two fork tree model with inverse risk measurement path regression analysis method are financial institutions. The Risk+ model combined with Credit algorithm, through the example analysis on the different aspects of financing, through adjusting the probability of occurrence of the risk, the frequency distribution of the histogram of that bank earnings, and the relationship is obtained by a change in the probability of risk of supply chain business process and financing bank based on income distribution. Supply chain finance business model is introduced, and combined with the background of the current economy to our country, the supply chain finance application extends to the global supply chain is discussed, in detail Fine to the banks in the international supply chain risk in order financing facing to small and medium-sized enterprises are defined, finally focuses on the foreign currency settlement financing order based on specific examples, a comprehensive assessment of the credit risk, operational risk in the process of financing, and the extent of the market risk of the bank loan recovery. The main innovation of this paper is the global supply chain in the market risk, mainly refers to the exchange rate risk, into the system of bank risk assessment, in accordance with the latest technology of the new Basel Capital Accord, combined with Credit Risk+ credit risk model algorithm, discusses the LGD and default probability, and qualitatively analyzed by BS model banks facing our risk distribution export.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F274;F832.4

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