物流服务供应链违约风险识别与度量
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摘要
现代物流强调以合作、集成等方式充分整合企业内外部物流资源,进而为物流用户提供系统化、集成化的物流服务。从服务运营的角度来看,现代物流服务体系可以看作是以物流资源所有者(包括功能型物流服务提供商和物流服务集成商)之间相互合作为纽带所建立起来的复杂契约网络,合作或交易需要契约加以约束,信用是合作的基础。然而,目前我国企业信用意识缺乏、国家信用管理体系不健全、社会信用环境较差以及对信用违规行为缺乏惩治机制等等,不仅增加了物流服务的交易成本,而且给物流服务交易各方带来了巨大的违约风险。同时,由于我国作为发展中的经济体,在市场成熟度、产业发展阶段以及信用环境建设等方面存在限制,供应链所处的外部市场环境具有更大的波动性,使违约风险管理也更具挑战性。
目前,与物流违约风险相关的研究多是立足于物流企业的独立视角和实体产品供应链的视角展开的。从科学研究的角度来看,前者缺乏对各相关主体之间关联性(业务关联、债务关联)的充分考量,从而忽略了企业之间关联性所引发的违约相关性(例如,共同外部环境能导致企业违约的因果传染,企业间的业务往来、借贷会引发违约传染)；后者由于受供应链系统复杂性的影响,违约风险涉及主体和因素众多、传染过程复杂、故很难准确识别与度量专属于物流服务系统的违约风险因素。鉴于此,本文选取复杂程度介于单个物流企业与实体供应链之间的物流服务供应链为对象,立足于物流服务供应链相关主体风险共担与利益共同化的视角,以成员企业间的违约相关性为主线,在构建一个新的物流服务供应链违约风险识别与度量框架的基础上,借助复杂科学理论与违约相关性理论等分析物流服务供应链违约风险的形成与传染机理；应用抽样调查与统计分析的方法帮助识别相关违约风险因素；采用信息经济学、计量经济学方法以及博弈论等方法建模违约相关以及违约传染的影响效应。最后,在此基础上构建基于“三阶段法”的违约风险度量框架体系。第一阶段：成员企业自身违约风险进行度量,先后根据传统模型(模糊综合评价法)和现代模型(KMV模型)思想建立物流企业自身违约风险度量模型；第二阶段,合作伙伴违约传染风险度量,借鉴信用组合风险度量的相关研究成果,分步揭示物流服务供应链因果传染和违约传染风险的大小；第三阶段,物流服务供应链整体违约风险度量,基于违约相关的角度,以成员企业的联合违约概率为建模目标,基于物流企业信用评级信息和Moody历史违约数据,构建基于组合Copula函数的物流服务供应链整体违约风险度量模型。
本论文选题来源于我国物流企业的管理实践和现代物流的发展需求,同时强调通过实证研究来更科学地识别物流服务供应链违约风险的关键风险因素、影响效应以及构建违约风险度量框架体系,不但能够弥补纯粹理论研究的不足,构建具有中国特色的物流风险管理理论与方法体系,而且能够大大提高研究成果的应用价值,帮助物流服务供应链相关组织更加准确有效地识别、评估和防范违约风险。
Modern Logistics Emphasis on providing a systematic&integrated Logistics services based on fully integrating the internal and external Logistics resources. From the perspective of service operations, Logistics service system can also be considered as networks of complex contracts among the owners of Logistics resources (including Functional LogisticsService Providers and Integrated Logistics Service provider). Cooperation or transaction need contracts to constraint, and credit is the basis for cooperation; However, lack of credit awareness, national credit management system not perfect, poor social credit environment, the lack of punishment mechanism to credit Conviction, which not only increases the transaction costs of logistics services, but also triggers an enormous of default risk to parties of logistics services transaction, and of default. Meanwhile, China is a developing economy, it imposes some restrictions on the market maturity, stage of industry development and credit environment construction, and there is greater volatility for external market environmenint, so default risk management is more challenging.
From the scientific point of view, most researches about Logistics default risk are on the perspective of Logistics or physical Logistics supply chain. But the former often separate the correlation between companies (eg, business association, debt-related), and then ignore the default correlation triggered by enterprise relationship(for example, a common external environment can lead to cause and effect contagion of default, and the business transactions between enterprises would lead to default contagion); The latter, based on the physical Logistics supply chain, because the system itself involves the main ones, complex structure, a number of risk factors, it is difficult to accurately identify the specific risk factors of Logistics services. This article choosed Logistics Service Supply Chain, often called'LSSC' for short, complexity between a single Logisticsenterprise and the physical supply chain, as the object, and selected default relation as the main line, to studied default risk recognition and measurement. For that reason, this dissertation choosed Logistics Service Supply Chain, often called'LSSC' for short, complexity between a single Logistics enterprise and the physical supply chain, as the object, based on the perspective of risk-sharing and benefits socialization of relevant subject, and selected default correlation as the main line, built a new identification and measurement framework for logistics service supply chain risk default risk. Analysying the formation and transmission mechanism of default risk by complexity science and default correlation theory; identifying related factors of default risk by sample and statistical analysis method, and modeling default correlation and default contagion effects by information economics, game theory, and econometric methods. And then built default risk measurement framework system based on the "three-stage process" as follows:The first stage is to measure default risk of LSSC members, which are the basis and the key. In order to make the model become accurate, the article respectively established default risk models of LSSC members based on traditional models (Fuzzy Comprehensive Evaluation) and modern model (KMV model); The second stage is to measure the risk of members'default contagion, article drews lessons from related researches about credit portfolio risk, and measures the risk of cause contagion and default contagion step by step; The third stage, based on the contract relation, the article selects joint default probability as model target, China's Logistics business credit rating information and Moody's default data as parameters, build a measure overall model for LSSC default risk with Copula function.
The subject of this dissertation from the management of Logistics practices and the development of modern Logistics needs, while adopting a more scientific and empirical research to identify the key risk factors, effects and measurement framework of default risk in LSSC. This study can not only compensate for lack of pure theoretical research and built default risk management theory and methodology with Chinese characteristics, and also can greatly enhance the application value of research, as well as help relevant organizations more accurately and effectively identify, assess and guard against default risk.
目前,与物流违约风险相关的研究多是立足于物流企业的独立视角和实体产品供应链的视角展开的。从科学研究的角度来看,前者缺乏对各相关主体之间关联性(业务关联、债务关联)的充分考量,从而忽略了企业之间关联性所引发的违约相关性(例如,共同外部环境能导致企业违约的因果传染,企业间的业务往来、借贷会引发违约传染)；后者由于受供应链系统复杂性的影响,违约风险涉及主体和因素众多、传染过程复杂、故很难准确识别与度量专属于物流服务系统的违约风险因素。鉴于此,本文选取复杂程度介于单个物流企业与实体供应链之间的物流服务供应链为对象,立足于物流服务供应链相关主体风险共担与利益共同化的视角,以成员企业间的违约相关性为主线,在构建一个新的物流服务供应链违约风险识别与度量框架的基础上,借助复杂科学理论与违约相关性理论等分析物流服务供应链违约风险的形成与传染机理；应用抽样调查与统计分析的方法帮助识别相关违约风险因素；采用信息经济学、计量经济学方法以及博弈论等方法建模违约相关以及违约传染的影响效应。最后,在此基础上构建基于“三阶段法”的违约风险度量框架体系。第一阶段：成员企业自身违约风险进行度量,先后根据传统模型(模糊综合评价法)和现代模型(KMV模型)思想建立物流企业自身违约风险度量模型；第二阶段,合作伙伴违约传染风险度量,借鉴信用组合风险度量的相关研究成果,分步揭示物流服务供应链因果传染和违约传染风险的大小；第三阶段,物流服务供应链整体违约风险度量,基于违约相关的角度,以成员企业的联合违约概率为建模目标,基于物流企业信用评级信息和Moody历史违约数据,构建基于组合Copula函数的物流服务供应链整体违约风险度量模型。
本论文选题来源于我国物流企业的管理实践和现代物流的发展需求,同时强调通过实证研究来更科学地识别物流服务供应链违约风险的关键风险因素、影响效应以及构建违约风险度量框架体系,不但能够弥补纯粹理论研究的不足,构建具有中国特色的物流风险管理理论与方法体系,而且能够大大提高研究成果的应用价值,帮助物流服务供应链相关组织更加准确有效地识别、评估和防范违约风险。
Modern Logistics Emphasis on providing a systematic&integrated Logistics services based on fully integrating the internal and external Logistics resources. From the perspective of service operations, Logistics service system can also be considered as networks of complex contracts among the owners of Logistics resources (including Functional LogisticsService Providers and Integrated Logistics Service provider). Cooperation or transaction need contracts to constraint, and credit is the basis for cooperation; However, lack of credit awareness, national credit management system not perfect, poor social credit environment, the lack of punishment mechanism to credit Conviction, which not only increases the transaction costs of logistics services, but also triggers an enormous of default risk to parties of logistics services transaction, and of default. Meanwhile, China is a developing economy, it imposes some restrictions on the market maturity, stage of industry development and credit environment construction, and there is greater volatility for external market environmenint, so default risk management is more challenging.
From the scientific point of view, most researches about Logistics default risk are on the perspective of Logistics or physical Logistics supply chain. But the former often separate the correlation between companies (eg, business association, debt-related), and then ignore the default correlation triggered by enterprise relationship(for example, a common external environment can lead to cause and effect contagion of default, and the business transactions between enterprises would lead to default contagion); The latter, based on the physical Logistics supply chain, because the system itself involves the main ones, complex structure, a number of risk factors, it is difficult to accurately identify the specific risk factors of Logistics services. This article choosed Logistics Service Supply Chain, often called'LSSC' for short, complexity between a single Logisticsenterprise and the physical supply chain, as the object, and selected default relation as the main line, to studied default risk recognition and measurement. For that reason, this dissertation choosed Logistics Service Supply Chain, often called'LSSC' for short, complexity between a single Logistics enterprise and the physical supply chain, as the object, based on the perspective of risk-sharing and benefits socialization of relevant subject, and selected default correlation as the main line, built a new identification and measurement framework for logistics service supply chain risk default risk. Analysying the formation and transmission mechanism of default risk by complexity science and default correlation theory; identifying related factors of default risk by sample and statistical analysis method, and modeling default correlation and default contagion effects by information economics, game theory, and econometric methods. And then built default risk measurement framework system based on the "three-stage process" as follows:The first stage is to measure default risk of LSSC members, which are the basis and the key. In order to make the model become accurate, the article respectively established default risk models of LSSC members based on traditional models (Fuzzy Comprehensive Evaluation) and modern model (KMV model); The second stage is to measure the risk of members'default contagion, article drews lessons from related researches about credit portfolio risk, and measures the risk of cause contagion and default contagion step by step; The third stage, based on the contract relation, the article selects joint default probability as model target, China's Logistics business credit rating information and Moody's default data as parameters, build a measure overall model for LSSC default risk with Copula function.
The subject of this dissertation from the management of Logistics practices and the development of modern Logistics needs, while adopting a more scientific and empirical research to identify the key risk factors, effects and measurement framework of default risk in LSSC. This study can not only compensate for lack of pure theoretical research and built default risk management theory and methodology with Chinese characteristics, and also can greatly enhance the application value of research, as well as help relevant organizations more accurately and effectively identify, assess and guard against default risk.
引文
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