供应链金融三方风险控制的CVaR决策分析——基于预付账款融资模式  

The Decision Analysis of CVaR Risk Control of the Three Parts in Supply Chain Finance——Based on the advance payments financing mode

作　　者：马树建[1,2] 赵成国[2] 芦宁[2] MA Shu-jian ZHAO Cheng-guo LU Ning(School of Physical and Mathematical Sciences, Nanjing Tech University, Nanjing 211816, China School of Economics and Management, Nanjing Tech University, Nanjing 211816, China)

机构地区：[1]南京工业大学数理科学学院,江苏南京211816 [2]南京工业大学经济与管理学院,江苏南京211816

出　　处：《数学的实践与认识》2016年第24期88-97,共10页Mathematics in Practice and Theory

基　　金：国家自然科学基金青年项目(41101509);国家社科基金(15BJY160);教育部人文社会科学研究青年基金(12YJC630290);江苏省高校哲学社会科学研究项目(2015SJB089);江苏省博士后科研资助计划(1501048A)

摘　　要：研究基于预付账款融资模式下的供应链金融三方决策问题,采用CVaR的风险度量准则作为决策标准,建立了随机需求下的单个风险规避零售商、单个风险规避制造商及单个风险规避银行组成的供应链金融风险模型.在权衡收益和风险的基础上,得出零售商的最优订购量、制造商的最优批发价格及银行的最优利率.研究以零售商是否存在违约为前提,通过对三方收益的分析,在考虑风险规避水平的同时,求解出最优订购量、批发价格和利率,并研究它们之间的关系.最后,通过Matlab数值仿真验证预付账款模式下CVaR模型的合理性.The paper is based on the deferred revenue financing mode of supply chain financial about the tripartite decision-making problem. It uses the risk measurement principles of CVaR as decision and sets up a risk mode of a single risk averse retailer, manufacturer and bank under the random demand. On the basis of the weigh the benefits and risks, the paper draws that the optimal order of retailer, the optimal wholesale price of manufacturer and the optimal rate of the bank. Through the tripartite earnings analysis, it draws a conclusion there is the Optimal solution on order quantity, wholesale prices and interest rates when considering the level of risk aversion. In addition, it also analyzes the relation about them. Finally, the paper verify the rationality of CVaR model by Matlab.

关 键 词：供应链金融 CVAR 最优利率 最优订购量 风险管理 

分 类 号：F274[经济管理—企业管理] F830.4[经济管理—国民经济]