基于CVaR准则的保兑仓融资模式决策探究  

Research on the Decision Making of Confirmed Position Financing Mode Based on CVaR Criterion

作　　者：赵丹 刘虹 ZHAO Dan;LIU Hong(School of Economics and Management,Fuzhou University,Fuzhou Fujian 350108,China)

机构地区：[1]福州大学经济与管理学院,福建福州350108

出　　处：《莆田学院学报》2020年第4期57-65,71,共10页Journal of putian University

基　　金：国家社会科学基金资助项目(18BGL106)。

摘　　要：考虑风险厌恶的供应链资金约束问题,分别构建基于条件风险值(CVaR)准则的风险规避型保兑仓模型(NL)以及考虑零售商破产风险的风险规避型保兑仓模型(ML),研究供应链成员最优决策及制造商、零售商的风险规避程度对最优决策的影响。研究表明:制造商的回购比例随自身风险规避程度的增加而减少,较高的回购比例促进零售商订货,提高供应链利润。银行利润的变动受零售商破产概率影响。故银行在提供保兑仓融资时,关注贷款企业和担保企业偿债能力的同时,还应加强对贷款的资金监管,识别融资风险。The paper aims at the problem of supply chain capital constraint with risk aversion in mind.A risk-averse confirmed position model(NL)based on CVaR criterion and a risk-averse confirmed position model(ML)with bankruptcy risk in mind are constructed respectively to study the influence of supply chain members’optimal decision and the degree of risk aversion of manufacturers and retailers on the optimal decision.The research shows that the buyback ratio of manufacturers decreases with the increase of the degree of risk aversion,and the higher buyback ratio promotes the retailer’s order and improves the profit of supply chain.Changes in bank profits are influenced by the probability of a retailer going bust.Therefore,when providing confirmed position financing,banks should not only pay attention to the solvency of loan enterprises and guarantee enterprises,but also strengthen the supervision of loan funds and identify financing risks.

关 键 词：保兑仓融资 条件风险值 破产风险 

分 类 号：F832.4[经济管理—金融学]