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论文编号：	7007
作者编号：	1120100750
上传时间：	2014/12/9 22:04:39
中文题目：	基于供应链关系的中小企业融资决策研究
英文题目：	Research on SME’s Financing Decision:Based on Supply Chain Relationship
指导老师：	李勇建
中文关键字：	供应链金融 中小企业融资 回购承诺 期权契约 信息更新
英文关键字：	Supply Chain Finance SME Financing Buy-Back Guarantee Option Contract Information Update
中文摘要：	随着供应链时代的来临，企业之间的竞争更多的表现为供应链间的竞争，当供应链内受资金约束的中小企业不能实施最优决策时，就不可避免地影响了整个供应链的竞争能力。本论文运用金融学、运筹学、经济学和库存理论等相关理论和方法，研究了中小企业融资额和融资成本问题。首先，研究了当零售商贷款违约时，供应商承诺回购的零售商存货质押融资决策，解决零售商融资额度问题。其次，研究供应商利用期权契约分担零售商需求风险情况下，有信息更新和没有信息更新时，零售商、供应商和银行各自的最优决策。最后，进一步研究了在供应链成员都受资金约束时，银行不同贷款决策对各方利润的影响，后两部分旨在解决中小企业融资成本问题。具体来讲，本文以由供应商和零售商组成的二级供应链系统为研究对象，其中零售商为受资金约束的中小企业。研究了以下四方面内容：（一）核心企业直接参与融资的中小企业融资决策研究在零售商贷款违约时，核心企业承诺固定比例回购的零售商存货质押融资决策，并引入主体不违约概率，刻画当零售商销售量低于违约决策点时，以一定概率利用其它收入偿还贷款情况。通过建模得到质押物有、无优先售出权两种情景下的各方最优决策表达式。并进一步，研究了零售商主体不违约概率、供应商的回购对各方决策的影响。结果表明：供应商的回购承诺提高了银行利润，在一定条件下提高了银行的质押率；并且，有回购承诺的融资决策在一定条件下可以有效缓解零售商的融资困境。（二）不考虑信息更新时，核心企业利用期权契约分担需求风险的中小企业融资决策零售商可以获得风险规避银行的无限额贷款，供应商向零售商提供看跌期权、看涨期权和双向期权三种期权契约购买方式。通过建模，得到三种期权契约下零售商的最优实物和期权购买量、供应链协调的批发价格、银行基于CVaR风险度量准则下的利润阈值和最优利率决策表达式。结果表明：三种期权契约下，零售商均存在唯一的最优实物订购量和期权购买量使得自身利润最大化，银行均存在最优的利率决策，供应商均可以通过调整批发价格实现供应链的协调。基于对三种期权契约下各方决策对比结果，零售商可以根据自身能够承担风险的程度和银行的风险规避程度，选择相应的期权契约。（三）考虑需求信息更新时，核心企业利用期权契约分担需求风险的中小企业融资决策与上一部分研究背景类似，此部分分析了需求信息更新条件下看涨期权的零售商和银行的融资决策。在初始订购阶段，零售商决策实物购买量和看涨期权购买量。在销售季节到来之前，根据新收集的市场信号更新需求信息，决策看涨实物期权的实施量。首先，通过建模，得到零售商实施全部期权、放弃全部期权、最优实物订购量、期权购买量及银行的最优利率决策一般表达式，并进一步得到了需求和市场信息服从均匀分布下各方决策解析式。结果表明：零售商最优实物订购量、放弃所有期权决策的分界点、零售商利润随利率的增加而减少，期权购买量、实施全部期权决策的分界点随利率的增加而增加。商品需求的波动影响零售商还款决策和银行利率决策。看涨期权契约只有在商品需求分布和需求信息分布满足一定条件时，才能发挥灵活购买契约的作用。（四）供应链成员都受资金约束的中小企业融资决策研究了同样受资金约束的供应商和零售商组成的二级供应链系统，零售商和供应商有唯一的采购和销售渠道。银行不了解商品的需求信息，只根据信用评级指标来决策贷款利率。供应链成员利用银行期望损失修正自身期望利润。通过建模，得到了零售商资本信息对称和资本信息不对称时，零售商和供应商的最优决策和各方利润表达式。结果表明：在资本信息对称时，银行的贷款风险只与零售商的违约率有关，银行偏向于向供应链上游企业提供资金；在资本信息不对称时，贷款对象的资金状况和违约率影响各方利润；联合贷款决策将贷款风险分摊给供应商和零售商，减少了银行的贷款风险，从而降低了银行对于企业独自贷款的违约率阈值，在一定程度上解决了中小企业融资困境。本文研究的是：核心企业直接参与中小企业融资模式、核心企业利用期权决策分担需求风险的中小企业融资模式和对供应链成员都受资金约束的融资模式，是对基于商业信用、应付和应收账款质押等传统融资模式的有效补充。同时，也为解决供应链内中小企业企业融资难题，提供确实可行的融资方式。
英文摘要：	With the coming era of supply chain, enterprises competition actually is supply chain competition. The Small and Medium Enterprises (SME) can’t perform the optimal decision due to capital constraint, which inevitably affects the competitive advantage. Using Finance Theory and Method, Operation Research, Economic Theory, Inventory Theory, this dissertation studies SME’s financing cost and financing amount problems. Firstly, in order to deal with the financing amount problem, once the retailer defaults, the supplier will buy back a fraction of unsold products; Secondly, considering the supplier can use option contract to share the demand risk the retailer faces, this paper characters the optimal decisions of three participators, i.e., the retailer, the supplier and the bank, under no information-updated/information-updated situation. Finally, the impact of bank decision on profits of different participators with capital constraint is studied. The last two parts aim on deal with financing cost problem. Specifically, this paper focuses on a supply chain system consisting of a supplier and a retailer who is a small and medium-sized enterprise with financial constraint. This dissertation mainly explores problems from four aspects: 1.SME’s financing decision when the core enterprise directly takes part in financing process This section studies the decision-making problem of the retailer borrowing money by inventory financing under the situation where the supplier guarantees to buy back a fixed ratio of unsold products if the retailer defaults. If demand quantity is less than one threshold point, the retailer uses other revenue to pay back the interest and principle with a certain probability. This section obtains the optimal decisions under two situations: with sold privileges and without sold privileges. Further, this part analyzes the impact of buy-back guarantee and subjective default probability on all participators’ decisions. The results show that: the supplier’s buy-back guarantee not only increases bank’s profit, but also raises the loan-to-value ratio in some cases; when the market conditions are optimistic, the retailer’s financing dilemma can be effectively alleviated by the supplier’s buy-back guarantee. 2.SEM’s financing decision without information update when the core enterprise offers option contract to share demand risk. The risk neutral retailer can obtain boundless loan from the risk-averse bank. The supplier provides three types of option to the retailer, that is, call option, put option or bidirectional option. After model establishment and analysis, this part obtains the retailer’s optimal goods and option quantity, supplier’s wholesale price and bank’s optimal interest rate and profit threshold under CVaR risk measurement standards. The results show that, under the three option contracts, the retailer has a unique optimal goods and option ordered maximizing profit. The bank has an optimal interest rate. By adjusting the wholesale price, the supplier can coordinate the supply chain. Moreover, the results of theoretical analysis and numerical simulation show that: under the bidirectional option, the retailer can get the largest order quantity and the biggest revenue. However, the retailer is very vulnerable to go into bankruptcy. Based on comparing the results of these options, considering the risk degree and bank’s risk averse, the retailer can choose a better contract. 3.SME’s optimal financing decision with information update when the core enterprise offers option contract to share demand risk Similar to the background of part 2, this section studies the decisions of the bank and retailer under the call option with demand information update. In the first stage, the retailer makes decision of the quantity of goods and option purchased, and in the second stage, i.e., before the sales season, according to the updated demand information, the retailer exercises option. This part obtain the optimal purchased quantity, the threshold point of abandonment option, the threshold point of exercised all option and profit of the retailer. The results show that: the optimal ordered quantity, the cutoff point of abandonment option, and profit of the retailer decrease in the interest rate. The optimal ordered option quantity and the cutoff point of exercising all option increase in the interest rate. The interest rate is affected by the demand fluctuations. Meanwhile, only if the demand and market information distributions are satisfied a certain condition, can the flexible contracting purchase model avoid the part of demand risk, and can the call option contract affect the decisions of retailer and bank. 4. SME’s optimal financing decision based on the whole supply chain with financial constraint This section studies a two-echelon supply chain consisting of a supplier and a retailer, with financial constraint. This is the only marketing channel between supplier and retailer. Without the demand information, the bank makes the interest rate decision by the credit evaluation indexes. In the cases of capital information sharing and capital information asymmetry, every member in the supply chain can modify their own expected gain by the bank’s expected loss. The results show that: in the case of capital information sharing, the risk of loan is only related to the retailer’s loan-default rate, the bank tends to provide loan to the upstream firm. In the case of capital information asymmetry, everyone’s profits are influenced by the initial capital and loan-default rates. With syndicated loans, the supplier and the retailer share the loan risk with each other, the bank reduces the threshold of loan-default, and the retailer’s financing dilemma can be effectively alleviated. This paper focuses on the situations where the core enterprise is directly involved in SME’s financing pattern, the core enterprise offers option contract to share demand risk in the SME’s financing pattern, and all participators are capital constrain. These results will provide feasible financing pattern to small and medium-sized enterprises.
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