本文選題：信用風險 + KMV模型�。� 參考：《上海師范大學》2014年碩士論文

【摘要】：隨著供應(yīng)鏈的不斷發(fā)展，供應(yīng)鏈突破了傳統(tǒng)企業(yè)的邊界，但供應(yīng)鏈企業(yè)仍是相對獨立的利益實體。所以供應(yīng)鏈的管理范圍變得更加廣闊，因此在其組織和運營的過程中，也伴隨著越來越多的風險。如何將各自的信用狀況聯(lián)系在一起獲得整個系統(tǒng)的風險狀況是進一步的問題。目前供應(yīng)鏈企業(yè)風險研究多是從定性的角度來對風險進行評估，而且對信用風險的定量研究不多。而金融機構(gòu)向供應(yīng)鏈企業(yè)提供融資時需要確定的指標和數(shù)據(jù)來判斷企業(yè)的投資風險、確定資產(chǎn)組合的比例，以保證收益最大化的同時風險最小。所以從整個系統(tǒng)的角度研宄供應(yīng)鏈企業(yè)的信用風險更加迫切并有很好的實際意義。 本文構(gòu)建了一個供應(yīng)鏈企業(yè)組合信用風險度量體系，，為商業(yè)銀行等金融機構(gòu)對供應(yīng)鏈企業(yè)融資提供定性的參考。在求解的過程中采用GARCH模型修正后的KMV模型對供應(yīng)鏈企業(yè)的風險進行度量，結(jié)果發(fā)現(xiàn)KMV模型可以充分地反映企業(yè)的風險水平，并且與經(jīng)濟環(huán)境密切相關(guān)。本文采用五元正態(tài)Copula函數(shù)、五元t-Copula函數(shù)、Gumbel-Copula函數(shù)、Clayton-Copula函數(shù)和Frank-Copula函數(shù)模型來度量整個供應(yīng)鏈的風險水平，即聯(lián)合違約距離。然后求山它們與經(jīng)驗Copula函數(shù)之間的平方歐式距離作為優(yōu)劣的指標，得到平方歐式距離最小的模型一一五元t-Copula模型來作為本文樣本的最優(yōu)模型。在研究供應(yīng)鏈貸款組合優(yōu)化的過程中進行了充分的探討，最終選擇將組合權(quán)重這一約束條件放在各家企業(yè)違約距離的求解過程中來進行約束，通過隨機數(shù)模擬產(chǎn)牛.大量的貸款權(quán)重組合進行求解，最終得到最優(yōu)的貸款組合權(quán)里。
[Abstract]:With the continuous development of supply chain, supply chain breaks through the boundary of traditional enterprise, but supply chain enterprise is still a relatively independent benefit entity. Therefore, the scope of supply chain management becomes broader, so in the process of organization and operation, there are more and more risks. How to get the risk of the whole system is a further problem. At present, supply chain enterprise risk research is mostly from the qualitative point of view to evaluate the risk, and the quantitative study of credit risk is rare. When providing financing to supply chain enterprises, financial institutions need to determine the index and data to judge the investment risk and determine the proportion of the portfolio, so as to ensure the maximum return at the same time the minimum risk. Therefore, it is more urgent and practical to study the credit risk of supply chain enterprises from the point of view of the whole system. In this paper, a supply chain portfolio credit risk measurement system is constructed to provide a qualitative reference for commercial banks and other financial institutions to supply chain enterprise financing. In the process of solving, the modified KMV model of GARCH model is used to measure the risk of supply chain enterprises. The results show that the KMV model can fully reflect the risk level of enterprises and is closely related to the economic environment. In this paper, quaternion normal Copula function, quaternion t-Copula function, Clayton-Copula function and Frank-Copula function model are used to measure the risk level of the whole supply chain, that is, the joint default distance. Then the square Euclidean distance between them and the empirical Copula function is obtained as the index of superiority and inferiority and the model with the least square Euclidean distance is obtained as the optimal model of the sample in this paper. In the course of studying the optimization of supply chain loan portfolio, this paper makes a full discussion, and finally chooses to put the constraint condition of portfolio weight in the process of solving the default distance of each enterprise, and then simulates cattle production by random number. A large number of loan weight combinations are solved, and finally the optimal loan portfolio weight is obtained.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F274;F224

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本文編號：1990783