考虑物流企业金融属性的供应链金融风险监管研究

This paper intends to analyze multilateral business practice by such inventory financing-related bodies as commercial banks, logistical enterprises, and SMs, studying the characters of logistical enterprises, which are credited with "financial character" under standard security financing method, examine its various risks caused by external factors and the interaction between the risks. Besides, It introduces idea of integrated risk to measure and manage overall risk of inventory financing so as to establish a risk supervision system which can practice both micro- and macro-prudential supervision. This paper adopts EVT, EMD and VaR to dynamically set up indexes for daily risk supervision of logistical enterprises, measuring VaR of integrated risk caused by different factors through Mente Carlo s Simulation Technology and Copula. It also provides a model for bank capital distribution and a model for dynamic quota management based on risk limit management, analyzing the rule of changes in business practice caused by financial character of logistical companies, setting up a Bayesian network model between bank risk forecast and risk events and establishing a controlling mode and management system for integrated risk of inventory financing under the maximization of bank's expected dynamic utility.

本课题拟分析商业银行、物流企业、中小微企业等供应链金融关联系统的参与多方的交易行为，透析统一授信模式中被赋予"金融属性"的物流企业行为特质，剖析外部环境诱导下的"多方交易行为"导致的各种风险以及不同风险的相互影响与传导，提出基于集成风险的思路来测量和管理供应链金融的整体风险，构建宏观审慎和微观审慎相结合的供应链金融监管体系。研究采用极值理论（EVT）、经验模式分解（EMD）、双向期权度量单一业务风险变量的在险价值VaR、动态设定物流企业日常风险监管指标，选用蒙特卡罗仿真技术、Copula函数测度整体业务多维因子驱动下的集成风险VaR。基于风险限额管理给出供应链金融具体业务单元的银行经济资本配置模型和动态额度管理模型。分析物流企业金融属性引致的多方交易行为变迁规律，建立银行风险预期与风险事件之间的贝叶斯网络关联模型，构建银行动态期望效用最大化决策模式下的供应链金融集成风险管控和监管机制。

异于银行主导的传统物流金融业务，立足国内供应链金融的现实环境，本课题围绕考虑物流企业金融属性的供应链金融的风险管理问题进行了系统性深入研究。在理论研究部分，分析了业务产生的背景，理清了其发展脉络，提出了物流企业主导的供应链金融是将银行信贷资源以商业信用的形式在供应链内部的二次配置这一观点，其风险控制的关键在于真实贸易背景下，质物组合的长期价格风险测度为关键技术基础的研究框架。应用研究部分：首先进行了考虑物流企业金融属性的供应链金融长期风险测度及其关键技术研究。以此为基础，进一步研究了考虑物流企业金融属性的供应链金融的风险管理策略研究：风险分散策略（针对非系统性风险因素的组合优化问题）和风险对冲两大策略（针对宏观系统性风险因素引起的组合风险分散失灵问题）；最后拓展研究部分，展开了包括基于决策粗糙集的供应链金融信贷决策、基于期权的供应链金融柔性融资模式研究以及基于风险分散契约的供应链产能投资决策问题。.基于上述研究内容，课题组取得了较为丰硕的成果，共计13项。主要代表作包括：国际权威期刊《Complexity》、《Journal Of Mathematical Finance》各1篇；国内权威期刊《系统工程理论与实践》、《管理评论》各1篇，个人专著和教材各1部，高质量工作论文1篇已投向《Transportation Research Part E: Logistics and Transportation Review》接受评审中。