基于CVaR风险测度的出口海陆仓质押融资决策  

Decision⁃making on exporting offshore/in⁃transit inventory financing based on CVaR risk measurement

作　　者：杨华龙 马爽 彭翀 YANG Hualong;MA Shuang;PENG Chong(Transportation Engineering College,Dalian Maritime University,Dalian 116026,China)

机构地区：[1]大连海事大学交通运输工程学院,辽宁大连116026

出　　处：《大连海事大学学报》2025年第1期120-129,共10页Journal of Dalian Maritime University

基　　金：国家自然科学基金资助项目(72071024)。

摘　　要：针对需求不确定性下的出口海陆仓质押融资风险问题,运用双重Stackelberg主从博弈原理,构造进口商、出口商、海运公司三方的利润函数,利用条件风险值(CVaR)风险测度方法,以供应链整体利润最大化为目标,建立风险测度下海陆仓融资优化模型,论证分析海运公司质押率、出口商交货提前期和进口商订货批量等最优决策结果。研究表明,进口商订货批量、出口商交货提前期随着海运物流公司质押率的增大而减小;海运公司最优质押率与出口商风险规避系数、海运公司质押服务费率及质押物市场售价均呈负相关,与进口商的风险规避系数、进口商进价均呈正相关。研究结论可为出口海陆仓质押融资各方提供有益的决策参考。In response to the risk of exporting offshore/in⁃tran⁃sit inventory financing under demand uncertainty,the double Stackelberg master⁃slave game principle was used to construct a profit functions of the importer,exporter,and shipping com⁃pany.The conditional value at risk(CVaR)measurement method was used to establish an optimization model of expor⁃ting offshore/in⁃transit inventory financing under risk meas⁃urement with the goal of maximizing the overall profit of the supply chain.The optimal decision results of the shipping company’s pledge rate,exporter’s delivery lead time,and importer’s order quantity were demonstrated and analyzed.Results show that the order quantity of importers and the de⁃livery lead time of exporters decrease with the increase of the pledge rate of maritime logistics companies.The optimal pledge rate of the shipping company is negatively related to the risk aversion coefficient of the exporter,the pledge service fee rate of the shipping company,and the market selling price of the pledged goods,while is positively related to the risk a⁃version coefficient of the importer and the import price of the importer.The findings can provide useful decision⁃making ref⁃erences for all parties involved in exporting offshore/in⁃transit inventory financing.

关 键 词：出口海陆仓 质押融资 双重Stackelberg博弈 条件风险值(CVaR) 风险测度 

分 类 号：F830.56[经济管理—金融学]