资金约束供应链混合融资的风险定价与运营决策研究

Under the background of the integration of industry and finance, the existing single credit financing may be unable to satisfy the need of supply chain parties, and such an insufficient financing problem may be more severe when the firms with financing need increase or the sources of financing risk grow. This research intends to combine the external bank credit and internal trade credit within a supply chain, and then builds a hybrid financing model characterized by the internalization of external financing. In the analysis of the hybrid financing, game theory, optimization and risk pricing theories are adopted，and market competition factor is considered. This research mainly includes three parts: (1) From the perspective of the bank, we analyze the interaction between external risk and internal risk in the hybrid financing, and then design an external risk pricing mechanism target for the whole supply chain; (2) After that, from the internal core firm, we study the joint decisions of internal risk pricing and operations based on the trade relation between supply chain parties, and reveal the impacts of factors, such as capital cost, transaction cost and risk relevance, etc., on the optimal decisions; (3) Furthermore, we extend the hybrid financing without competition by allowing the parties to compete, and decide the equilibrium risk pricing target for competing firms. The two-part risk pricing mechanism (i.e., internal and external risk pricing mechanism) proposed in this research is able to provide theoretical foundation and practices guidance for commercial banks and traditional core firms to carry out new business and initiate finance innovation.

在产业与金融跨界融合背景下，现有单一信用融资可能无法满足供应链成员企业的融资需求，尤其当融资企业数量增多或融资风险源增加时，这种融资不足问题更加突出。本项目将供应链的外部银行信用和内部交易信用相混合，以博弈论、优化理论、风险定价理论为主要工具，结合市场竞争环境，构建以外部融资内部化为特征的混合融资模型。主要内容包括：（1）从银行角度出发，剖析混合融资中外部风险与内部风险间的相关性，设计多重风险约束下面向整个供应链的外部风险定价机制；（2）在此基础上，从核心企业角度出发，研究基于交易关系的内部风险定价与运营决策，揭示资金成本、交易成本及风险相关性等因素对最优决策的影响；（3）进一步，将无竞争环境下的混合融资拓展到竞争环境，并借鉴组合投资的理念，决策面向中小成员企业的均衡风险定价。本项目提出的内外两部风险定价机制，能够为我国商业银行和传统核心企业开展新业务并实施金融创新提供理论依据和实践指导。

供应链金融作为一种促进金融脱虚向实和解决中小企业融资难问题的新型融资模式，正受到实体行业、金融机构及国家层面的广泛关注。本课题按照既定研究计划，结合中小企业在不同运营场景下的融资困境，围绕供应链融资模式优化和风险管理机制设计展开研究。首先，分别基于供应链上游企业和下游企业的资金约束困境，分析应收账款保理融资（供应链外部融资）和交易信用融资（供应链内部融资），探究企业属性和金融市场环境因素对融资价值的影响；在此基础上，将供应链外部融资模式从保理融资模式拓展到第三方平台融资模式，分析融资系统内中小成员企业、核心企业及第三方平台企业间的博弈关系，提出供应链内部协作及外部风险定价的契约形式；进一步，结合供应链融资信息不对称问题，探究区块链技术驱动的供应链融资方案设计。此外，除了关注供应链金融的经济效益，课题组在企业融资约束和节能减排背景下，聚焦近年来逐步实践的财政金融激励工具，探究最优绿色金融政策设计和供应链金融的社会环境价值。特别地，将环境风险嵌入到供应链融资模型，构建与绿色等级关联的风险定价模型。主要发现包括：其一，贷款人自身的风险容忍度、借款人在供应链中的谈判力，供应链所属行业性质以及银行对供应链融资企业信息的掌握程度均影响到最优融资契约的设计。其二，供应链第三方担保公司类型（保守型和激进型）会影响到融资后供应链的协调状态，激进型担保可以促进供应链协调而保守型担保不能。其三，融资担保和贴息等政策在企业融资规模、银行风险承担、环境绩效及激励成本方面存在差异。该课题研究可以丰富供应链融资及风险管理理论，有助于中小企业解决多场景下的资金短缺问题，也可为政府引导金融脱虚向实提供理论参考。截至目前，课题组已在国内外主流期刊发表论文6篇，其中European Journal of Operational Research期刊论文2篇，出版学术专著1部；另有多篇论文投稿到European Journal of Operational Research、International Journal of Production Economics等国际主流期刊并得到修改意见。