基于收益共享-双向期权契约的供应链金融风险控制研究

Risk Control of Supply Chain Finance based on Revenuesharing-bidirectional Option Contract

通过核心企业的信用水平为中小企业获取贷款提供担保,使得整个供应链有效运行是实施供应链金融的重要意义。本文考虑分销商(核心企业)-零售商(贷款企业)组成的二级供应链,为了降低银行面临的零售商违约风险,在银行监督下,分销商与零售商引入收益共享—双向期权契约。本文计算得到了零售商的违约概率,在此基础上,深入分析了各方期望收益、零售商最优初始订货量与最优期权购买数量、分销商最优收益共享比例、银行下侧风险规避前提下可参考的收益共享比例范围。并构造了数值算例,探讨了期权执行价格、收益共享比例及银行质押率等关键参数对风险控制方面的影响。本文所得结果能够为银行及企业在供应链金融决策方面提供参考。

As the small and medium enterprises(SMEs)involved in supply chain,measuring their default risk becomes a critical issue for commercial bank to enhance their profitability in this fierce competition.Among the enterprises in supply chain,the core company plays an important role that could help SMEs obtain loans more successfully that can make supply chain finance operate more efficiently.A two-echelon supply chain consisting of a distributor(the core company)and a retailer(the small and medium enterprise)is investigated in this paper.According to the literature review,revenue sharingbidirectional option contract could coordinate supply chain and improve the income of the retailer and the distributor.Furthermore,it is straightforward that the retailer’s default risk will be reduced if the income of the retailer is improved.Hence,the distributor and the retailer would like to introduce revenue sharing-bidirectional option contract.Based on the classical newsvendor model,the probability of retailer’s default under the revenue sharing-bidirectional option contract is calculated.Then the optimal initial order quantity,the optimal quantity of option purchased by the retailer,the optimal revenue sharing ratio,the range of revenue sharing ratio,and the profit of each party are obtained respectively.Finally,some numerical examples are conducted and the impact of some key parameters is analyzed such as the option execution price,the profit sharing ratio,and the bank pledge rate.It can be found that the default probability will increase with the increase of the proportion coefficient of revenue sharing,the guarantee rate,and the purchase price of unit option,among which the proportion coefficient of revenue sharing has the largest impact on the default probability,followed by the guarantee rate and finally the purchase price of unit option.As the execution price of put option increases,the probability of the retailer’s default will decrease.This paper aims at illustrating how the proposed model can be applied to assess small enterprises default risk and exploring the risk control of supply chain finance based on revenue sharing-bidirectional option contract.The findings of the paper provide management insights for the bank and the enterprises.