系统管理学报

系统管理学报 ›› 2024, Vol. 33 ›› Issue (1): 137-149.DOI: 10.3969/j.issn.1005-2542.2024.01.010

• 数字经济与金融工程 • 上一篇    下一篇

供应链信用风险传染、银行策略与风险控制

黄苒1，冯小钰1,2   

  1. 1.华中师范大学经济与工商管理学院，武汉 430079；2.中国工商银行六安分行，安徽 六安 237008
  • 收稿日期:2022-08-25 修回日期:2023-01-28 出版日期:2024-01-28 发布日期:2024-01-26
  • 基金资助:

    国家自然科学基金面上项目（72171100）；教育部人文社会科学研究规划基金资助项目（18YJA790037）

Supply Chain Credit Risk Contagion, Banking Strategy, and Risk Control

HUANG Ran1, FENG Xiaoyu1,2   

  1. 1.School of Economics and Business Administration, Central China Normal University, Wuhan 430079, China; 2. Lu’an Branch, Industrial and Commercial Bank of China, Lu’an 237008, Anhui, China
  • Received:2022-08-25 Revised:2023-01-28 Online:2024-01-28 Published:2024-01-26

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摘要：

在供应链断裂、新冠疫情等突发事件冲击下，供应链企业间的信用风险传染问题日益凸显。制定有效的风险遏制措施，已成为供应链风险管理领域亟待解决的重要问题。通过对供应链关联关系与信用风险传染路径进行剖析，构建了供应商、零售商、银行三方博弈模型，探究了银行策略选择对供应链信用风险传染的遏制作用。研究结果显示：虽然产品价格和生产成本等因素的变化对信用风险传染强度有显著影响，但银行可以通过选择最优授信比率，将传染强度控制在较低水平并实现其自身收益的局部最优化。若进一步采取贷款利率与授信比率相配合的双重授信策略，银行有可能将传染强度控制在适度水平并同时实现收益的全局最优化。

关键词: 供应链, 信用风险, 传染强度, 三方博弈, 银行策略

Abstract:

Under the impact of sudden events such as supply chain disruption and the novel coronavirus epidemic, the problem of credit risk contagion in supply chain firms has become increasingly prominent. Developing effective measures to control risk contagion among supply chain has become one of the most urgent issues in supply-chain risk management. Therefore, this paper analyzes the associated relationship of supply chain and the credit risk contagion path by constructing a tripartite game model with a supplier, a retailer, and a bank. It also studies the impact of related factors on the decisions of three players which could further affect the intensity of credit risk contagion. Moreover, it explores the role that the bank could play in restraining credit risk contagion. The results show that changes in the product price and the production cost have a significant effect on the decisions of the retailer and the supplier and the contagion intensity. However, the bank could keep the contagion intensity at a low level and obtain the locally optimal profit by setting the credit limit. Furthermore, the bank could realize global optimization and maintain a relatively lower contagion intensity if it adopts the dual-credit strategy of setting both the credit limit and the loan interest rate.

Key words: supply chain, credit risk, contagion intensity, tripartite game, banking strategy

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