供应链金融信用风险实证研究——基于MF-Logistic模型

An Empirical Study of Credit Risk of Supply Chain Finance——Based on MF-Logistic Model

供应链金融是传统商业银行授信模式的转变,带来了各参与主体共赢的局面。供应链金融在我国处于起步阶段,商业银行受收益驱动积极开拓供应链金融业务,但对供应链金融的信用风险管理还处于相对落后状态。本文选取宏观经济指标和微观企业信用风险评估指标,使用计量经济学方法构建出蕴含宏观经济因素和反映企业内部信用能力的财务指标的MF-Logistic模型,进而对2007年第一季度至2013年第三季度的27组样本数据进行实证研究,并通过实证和规范分析给出研究结论。通过对供应链金融信用风险的度量和预测,为商业银行提供供应链金融信用风险预警,并为制定相应的应对措施提供参考。

Supply chain finance, a transition from the traditional credit mode in commercial banks, has brought the participants into a win-win situation. In China, supply chain finance is still in the initial stage. Aiming to gain profits, the commercial banks actively develop their supply chain finance businesses, but their credit risk management of the supply chain finance is relatively backward. This paper chooses macroeconomic indicators and credit risk assessment indicators of enterprise at the micro level, and uses econometrics methods to build an MF-Logistic model containing macroeconomic factors and reflecting the financial index of enterprise credit capacity. And then we conduct an empirical study on 27 groups of sample data from the first quarter of 2007 to the third quarter of 2013, and come to conclusions by the empirical study and normative analysis. Through measurement and prediction of credit risk of supply chain finance, this paper offers pre-warning against credit risk of supply chain finance for commercial banks, and provides reference for formulating corresponding measures.