多重关联关系下供应链上关联信用风险的传染效应

doi:10.16381/j.cnki.issn1003-207x.2019.0177

中国管理科学 ›› 2021, Vol. 29 ›› Issue (9): 77-89.doi: 10.16381/j.cnki.issn1003-207x.2019.0177

多重关联关系下供应链上关联信用风险的传染效应

谢小凤¹, 杨扬², 张凤英¹, 胡秀英¹, 周宗放³

1. 四川大学华西护理学院/华西医院, 四川成都 610041;
2. 西南财经大学经济数学学院, 四川成都 611130;
3. 电子科技大学经济与管理学院, 四川成都 611731

收稿日期:2019-01-30 修回日期:2020-01-22 出版日期:2021-09-20 发布日期:2021-09-20
通讯作者: 杨扬(1987-),男(汉族),四川绵阳人,西南财经大学经济数学学院,博士,硕士生导师,研究方向:供应链管理、风险投资、信用风险管理,E-mail:yy@swufe.edu.cn. E-mail:yy@swufe.edu.cn
基金资助:
国家自然科学基金资助项目（71271043，71701166，71671144，71871147）；高等学校博士学科点专项科研基金资助项目（20110185110021）；四川省科技支撑计划资助项目（2012SZ0001）；四川大学华西护理学科发展专项基金（HXHL20013）

Contagion Effects of Associated Credit Risk in Supply Chain under Multiple Associated Relationships

XIE Xiao-feng¹, YANG Yang², ZHANG Feng-ying¹, HU Xiu-ying¹, ZHOU Zong-fang³

1. West China School of Nursing/West China Hospital, Sichuan University, Sichuan 610041, China;
2. School of Economics Mathematics, Southwestern University of Finance and Economics, Sichuan 611130, China;
3. School of Management and Economics, University of Electronic Science and Technology of China, Sichuan 611731, China

Received:2019-01-30 Revised:2020-01-22 Online:2021-09-20 Published:2021-09-20

摘要/Abstract

摘要： 供应链企业之间的多重关联关系导致其信用风险传染愈加复杂。本文基于供应链双渠道融资模式，针对供应链上同时存在交易关联、资产关联和人际关联等三重关联关系的情景，揭示了关联信用风险微观传染机理，构建了关联信用风险传染强度模型，分别探讨了三种关联关系以及链外市场对传染效应的影响。为研究关联信用风险传染的外溢效应，在银行未识别出供应链上关联关系时，探讨了银行面临的期望损失。结合仿真分析发现，相较于单一商业信用融资，双渠道融资模式下传染效应更弱；在最优交易关联强度下，商业信用额度和成本（反映了供应链上的一种资产关联关系）在不同方向上对传染效应产生影响，人际关联关系以及链外市场均负向影响传染效应；银行期望损失则与贷款利率和贷需比相关，人际关联关系将导致银行更大的潜在损失。

关键词: 供应链, 双渠道融资, 多重关联关系, 关联信用风险, 传染效应

Abstract: The multiple associated relationships between supply chain enterprises lead to the complexity of credit risk contagion. Based on the dual-channel financing mode in supply chain, aiming at the scenario of triple associated relationships in the supply chain:transaction associated relationship, asset associated relationship and interpersonal associated relationship, the associated credit risk contagion mechanism is revealed, the associated credit risk contagion intensity model is built, and the effects of three types of associated relationships and off-chain markets on contagion effects are discussed. In order to study the spillover effect of associated credit risk contagion, the expected losses faced by Banks are discussed when the Banks do not recognize the relationships in the supply chain. Combined with the simulation analysis, it is found that compared with the single commercial credit financing, the contagion effect is weaker under the dual-channel financing mode;under the optimal transaction associated relationship intensity, the commercial credit limits and costs (which reflect an asset associated relationship in the supply chain) have an impact on the contagion effect in different directions,interpersonal associated relationships and off-chain markets both negatively affect contagion effects; the bank's expected loss is related to the loan interest rates and the ratio of loans to demands, and the interpersonal associated relationship leads to the bank's larger potential loss.

Key words: supply chain, dual-channel financing, multiple associated relationships, associated credit risk, contagion effect

中图分类号:

F224

谢小凤, 杨扬, 张凤英, 胡秀英, 周宗放. 多重关联关系下供应链上关联信用风险的传染效应[J]. 中国管理科学, 2021, 29(9): 77-89.

XIE Xiao-feng, YANG Yang, ZHANG Feng-ying, HU Xiu-ying, ZHOU Zong-fang. Contagion Effects of Associated Credit Risk in Supply Chain under Multiple Associated Relationships[J]. Chinese Journal of Management Science, 2021, 29(9): 77-89.

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多重关联关系下供应链上关联信用风险的传染效应

Contagion Effects of Associated Credit Risk in Supply Chain under Multiple Associated Relationships

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