考虑风险规避的资金约束供应链最优信用契约设计

doi:10.16381/j.cnki.issn1003-207x.2018.01.004

摘要/Abstract

摘要： 本文针对零售商的资金约束问题，研究了风险规避的供应商如何通过设计信用契约影响零售商的融资结构。构建了包含供应商、零售商以及银行在内的供应链融资模型，给出了供应商的最优信用契约决策、零售商的最优库存决策以及银行的最优利率决策。进一步分析了供应商的风险规避程度对最优信用契约决策的影响。研究表明：当供应商的风险规避程度低于某个临界值时，供应商偏好提供全额信用，从而零售商的融资结构为单一的交易信用融资；而当供应商的风险规避程度高于该临界值时，供应商偏好提供部分信用，从而零售商的融资结构为组合融资。最后，通过数值算例验证了本文的结论。本研究一定程度上丰富了现有供应链金融的理论研究，为供应链核心企业与银行的决策提供了依据与参考。

关键词: 风险规避, 资金约束, 交易信用, 银行融资

Abstract: When facing capital constraints, a retailer fails to procure or order optimally, which not only significantly influences his own profitability, but also harms the competitiveness of the upstream supplier. Therefore, as a core firm of a supply chain, the supplier generally has an incentive to offer trade credit to alleviate the retailer's capital constraints problem. As a financing tool, trade credit has received extensive attention in supply chain finance area. However, the majority of extant literature focuses on the optimal trade credit contract decision by assuming that the credit-offer (i.e., supplier) is risk-neutral and the credit-receiver (i.e., retailer) only uses trade credit to finance inventory. In fact, the supplier may limit the retailer's credit line for the reason of controlling the potential loss risk. As a result, the capital-constrained retailer may adopt other financing tools such as bank credit besides trade credit to satisfy his financing need.
Based on the practical background, two interesting questions arise, that is, how a risk-averse supplier designs a trade credit contract to alleviate the retailer' capital constraints and how the retailer's financing structure is influenced by the supplier's risk aversion. To answer the two questions, a two-echelon supply chain consisting of one risk-averse supplier and one capital-constrained retailer is considered. Based on the classical supply chain finance model, the financing decision model consisting of a supplier, a retailer and a bank is built. By adopting backward induction and non-linear optimization method, the retailer's optimal order decision is first solved and then the supplier's optimal trade credit contract design is analyzed. In addition, the bank's optimal interest rate can be determined on basis of competitively priced principle.
The results show that:when the supplier's risk aversion is lower than a critical threshold value, he prefers to offer full credit to the retailer, and as a result, the retailer's financing structure is trade credit; however, when the supplier's risk aversion is higher than the threshold value, he prefers to offer partial credit to the retailer, and consequently, the retailer's financing structure is the portfolio of bank credit and trade credit. To examine the theoretical results, the data used in the existing literature is further used to simulate the corresponding conclusions. Our research can enrich the existing supply chain finance literature, and can provide decision support for the supply chain core enterprise and the bank.

Key words: risk aversion, capital constraints, trade credit, bank credit

中图分类号:

金伟, 骆建文. 考虑风险规避的资金约束供应链最优信用契约设计[J]. 中国管理科学, 2018, 26(1): 35-46.

JIN Wei, LUO Jian-wen. Optimal Credit Contract Design for a Capital-constrained Supply Chain Incorporating into Risk Aversion[J]. Chinese Journal of Management Science, 2018, 26(1): 35-46.

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