A Study on Measurement and Management of the Risk of Supply Chain Finance-Based on the Bank Transaction Data in China
分析了中国商业银行供应链融资的风险特征，基于CreditMetrics模型设计风险度量方法，利用2008-2011年S银行汽车行业数据计算风险转移矩阵和VaR，比较三条供应链并提出风险管理建议。
Supply chain financing is an innovative financial business of China's commercial banks in the area of trade financing.This paper analyzes the characteristics of the risk of China's commercial banks' supply chain financing,and measures its risk using a designed model based on the frame of CreditMetrics model.This paper uses the data of S Bank's supply chain financing business in automotive industry during 2008 -2011 to analyze the characteristics of the risk of China's commercial banks' supply chain financing,and measures the risk transition matrix.Using the risk measurement model,the paper presents the process of VaR measurement of supply chain financing portfolio,analyzes the result and makes comparison between three different supply chains.Finally, some suggestions on financial risk management of supply chain financing are proposed.