供应链上两类不同信用风险的关联及传染效应研究

Research on Two Kinds of Different Credit Risk in the Supply chain Relationship and Contagion Mechanism

在一个典型的存在资金约束的二级供应链上,通常存在两类不同的信用风险:一是供应商向银行信用贷款所形成的信贷信用风险;二是供应商为零售商提供商业信用而形成的商业信用风险。本文针对上述两类不同信用风险之间的关联性及传染问题展开研究,揭示了两类风险之间的传染机理,度量了风险的传染强度,并分析了传染强度的影响因素。研究表明:两类不同信用风险之间的关联性,导致供应链上存在由非同类信用风险构成的关联信用风险(Different types of associated credit risk),本文简称为供应链上的D类关联信用风险。结合数值分析发现:D类关联信用风险的传染强度与供应商的生产成本及无风险利率正相关,而与商品的市场价格负相关。特别地,当市场需求服从指数分布时,关联信用风险的传染强度与商业信用成本和零售商的特质有关,供应商通过调整商业信用成本和选择零售商类型可以降低D类关联信用风险的传染强度,进而降低自身的银行信贷风险。本文将同类型信用风险之间的关联和传染问题引申到不同类型的信用风险之间,进一步深化和拓展了关联信用风险的内涵。

In a typical capital-constrained two echelon supply chain,there are usually two different types of credit risk,one is the credit risk caused by suppliers’credit loans to banks;the other is the trade credit risk caused by suppliers’providing trade credit to retailers.In this paper,the relationship between the two types of credit risk are studied,the mechanism of contagion between the two types of risk is revealed,the intensity of contagion is measured,and the influencing factors of the intensity of contagion are analyzed.The results show the correlation between two different types of credit risk leads to the existence of different types of associated credit risk in the supply chain,which is referred to as D-type credit risk in the supply chain.In particular,when the market demand follows the exponential distribution,the intensity of the associated credit risk is associated with the trade credit cost and the retailer’s characteristics.By adjusting the cost of trade credit and choosing the type of retailer,suppliers can reduce the contagion intensity of D-type credit risk,and then reduce their own bank credit risk.This paper extends the relationship and contagion between the same type of credit risk to different types of credit risk,and further deepens and expands the connotation of associated credit risk.