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  本文關鍵詞：跨國供應鏈中訂單融資的風險度量研究　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 供應鏈金融 訂單融資 風險 Credit Risk+

【摘要】：供應鏈金融從本世紀初真正獨立的業(yè)務概念的提出到現(xiàn)今長足的發(fā)展也只有十年左右的時間,但是其發(fā)展速度之快,特別是金融危機以來的幾年,已經(jīng)成為銀行業(yè)務最具活力的業(yè)務之一。在如今經(jīng)濟全球化的大環(huán)境中,供應鏈上的各個環(huán)節(jié)環(huán)環(huán)相扣,而作為此鏈中不可或缺的上游的原料廠商或者生產(chǎn)廠商多為中小企業(yè),他們是整個供應鏈能夠高效運作提供了實現(xiàn)的基礎。但是我國中小企業(yè),特別是在我國現(xiàn)階段外向型經(jīng)濟中起著舉足輕重作用的中小企業(yè),目前并未能獲得與之相應的金融待遇。供應鏈金融能為解決此矛盾提供一個全新的視角。然而在供應鏈金融及與之對應的金融風險的分析,度量以及管控方面,我們在理論上的研究似乎跟不上業(yè)務實踐的需求,特別是現(xiàn)在應用比較普遍的供應鏈金融的一種業(yè)務模式——訂單融資,目前我們對其風險識別及度量的研究還遠遠落后于其業(yè)務的發(fā)展,本人將引入現(xiàn)代的金融工程的風險度量工具,對供應鏈金融,特別是訂單融資業(yè)務中的金融風險進行風險度量。具體來說,本文將結(jié)合供應鏈金融以及跨國供應鏈的特點,著重分析訂單融資業(yè)務模式的特點及內(nèi)涵,從銀行等金融機構(gòu)的視角對訂單融資的風險進行分析,利用基于保險精算原理的Credit Risk+模型對基于外幣結(jié)算的訂單融資業(yè)務中的信用風險管理進行算例研究,來對訂單融資應用于跨國供應鏈中的業(yè)務提供一種風險度量的方法。本文共分為四章,第一章闡明了選題的背景以及意義,主要通過研究國內(nèi)外對于供應鏈金融的理論,結(jié)合供應鏈金融的發(fā)展歷程,以及訂單金融在現(xiàn)代供應鏈金融實務中的應用情況,從總體上給出供應鏈金融以及訂單融資的現(xiàn)實意義以及研究價值。第二章詳細介紹何為供應鏈金融,現(xiàn)行的主流業(yè)務模式,特別是訂單融資的業(yè)務模式,闡述其不同于傳統(tǒng)供應鏈金融模式的的內(nèi)涵特點。第三章著重分析在銀行等金融機構(gòu)開展供應鏈金融業(yè)務中的金融風險。運用最新的巴塞爾協(xié)議中商業(yè)銀行的風險計量的理論以及方法,介紹Credit Risk+模型在信用風險中的實際度量,對訂單融資業(yè)務給銀行融資所帶來的金融風險進行界定和分析。第四章通過設定典型的訂單融資的業(yè)務案例,通過二叉樹模型的方式用逆歸分析法給出金融機構(gòu)的風險計量路徑,結(jié)合Credit Risk+的模型算法,通過算例分析在進行融資不同的環(huán)節(jié),通過調(diào)整各風險的發(fā)生概率,得出銀行收益的分布頻率的直方圖,并通過此得出由供應鏈的業(yè)務流程中的某個風險概率的變化與融資銀行收益分布的關系。本文通過對供應鏈金融的各業(yè)務模式的介紹,并結(jié)合當前我國外向性經(jīng)濟的大背景,將供應鏈金融的應用延伸至跨國供應鏈中討論,詳細地對在跨國供應鏈中銀行在對中小企業(yè)進行訂單融資所面臨的風險進行了界定,最后重點通過基于外幣結(jié)算的訂單融資的具體算例,綜合評估了融資過程中信用風險,操作風險,以及市場風險對銀行回收貸款的影響程度。本文主要創(chuàng)新是將跨國供應鏈中的市場風險,主要指匯率風險,納入了銀行風險評估的體系,依照巴塞爾新資本協(xié)議的最新技術(shù),結(jié)合Credit Risk+信用風險模型算法,討論了違約損失率以及違約概率,并定性的通過BS模型分析了銀行所面臨風險敝口的分布。
[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.

【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F274;F832.4

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本文編號：1413593