基于博弈论的物流金融信用风险管理研究会计学专业.doc

基于博弈论的物流金融信用风险管理研究 摘 要 中小企业是我国国民经济和社会发展的重要力量。促进中小企业发展，是保持国民经济平稳较快发展的重要基础，是关系民生和社会稳定的重大战略任务。然而长期以来，超过半数以上的中小企业因融资难而制约了发展，特别是2008年的金融危机进一步加剧了该问题，很多中小型企业由于资金链断裂而面临着生存危机。如何帮助中小企业获得融资，已成为全社会共同关注的热点。物流金融业务的出现，有效的缓解了这一难题，得到业界与学术界的广泛认可。物流金融是指银行等金融机构与物流企业相互协作而推出的一系列金融产品，旨在解决供应链上中小企业融资困难的瓶颈，实现物流，资金流与信息流的有机统一，达到三方共赢的目的。 但物流金融作为一种尚在探索发展阶段的创新服务产品，还存在着许多问题，尤其是传统信贷业务中商业银行与中小企业两方主体之间的信贷风险，变为了物流金融业务中商业银行、中小企业、第三方物流企业三方主体之间的信用风险。能否有效地分析和控制信用风险是物流金融业务能否成功的关键之一。以往信用风险的管理研究，着重客观层面的评估与度量，而在实际上主观信用风险问题更以难控制，而后者产生的根源在于信息不对称而导致的道德风险。因此运用博弈论分析信用风险，能更深入挖掘信用风险产生的本质原因，从而更加有效地加以控制。 本文首先对物流金融业务进行了相关介绍与理论综述；其次，使用委托-代理理论深入探究物流金融业务中信用风险发生的内在动因，识别商业银行和第三方物流企业在物流金融业务中可能会面临的信用风险；然后，以广东发展银行的物流金融业务为例，借助传统信贷业务的两方博弈模型与物流金融业务的三方博弈模型进行实证分析。最后，提出结论并从政府及物流金融三个主体的角度，给出信用风险控制的建议，并指出研究的不足与下一步的研究方向。 通过量化博弈模型的实证研究，本文试图为物流金融的信用风险管理提出理论依据，为商业银行规避物流金融业务带来的信用风险提供一种新的思路，从而促进中小企业的顺利融资及我国物流金融的发展。 关键词：物流金融，信用风险，委托-代理，博弈论 I The Research of Logistics Finance Credit Risk Management Based on Game Theory ABSTRACT SMEs are an important force in China's economic and social development. Promote the development of SMEs is an important foundation to maintain stable and rapid economic development and a major strategic task of the people's livelihood and social stability. However, more than half of SME financing difficulties will restrict development for a long time. Especially the financial crisis of 2008 has further exacerbated the problem, many small and medium-sized enterprises facing a crisis of survival due to funding strand breaks. How to help SMEs access to finance, has become the focus of attention of the whole society. The emergence of the logistics and financial business, effectively alleviate this problem, widely recognized by the industry and academia. Logistics finance refers to the banks or other financial institutions and logistics companies work together to launch a range of financial products designed to address the financing difficulties of SMEs in the supply chain bottlenecks. It can achieve the organic unity of the logistics, capital flow and information flow to achieve the win among three parts. Logistics finance is still in exploration stage of development and innovative service offerings. There are still many problems, especially the credit risk between the commercial banks and SMEs which of the main body of the two parties in the traditional credit business that change into the credit risk among the three subjects: commercial banks, SMEs, the Third-party logistics enterprises in the logistics financial business. Ability to effectively analyze and control credit risk is one of the key to success of the logistics financial business. It focused on the objective level of assessment and measurement in the past studies of credit risk management. In fact, the subjective credit risk is more difficult to control. It rooted in the moral hazard caused by asymmetric information. Therefore, using game theory to analyze the credit risks can dig deeper into the reason of the nature of credit risk, then control the credit risk more effectively. First, this article reviewed the presentations and theoretical of the logistics financial. Second, explored the motivation of the credit risk in logistics finance by using the principal-agent theory and identified the credit risk that commercial banks and third- party logistics enterprises may face. Then, by using the game model for empirical analysis logistics finance business of the Guangdong Development Bank as example. Finally, concluded remarks and given advices which control the credit risk to the government departments and the three subjects of the logistics finance, and propose the lack of the research and the future research directions. The paper tries to present the theoretical basis by the empirical research of quantify the game model. Provide a new way of thinking and methods to the logistics finance, thus contributing to the development of China's logistics finance. Keywords: logistics finance, credit risk, principal-agency, game theory III 目 录 中文摘要 I 英文摘要 II 1 绪论 1 1.1选题背景和研究意义 1 1.1.1选题背景 1 1.1.2研究意义 1 1.2 文献综述 2 1.2.1国外研究现状述评 3 1.2.2国内研究现状述评 4 1.2.3文献述评 6 1.3 研究内容与创新 6 1.3.1研究内容 6 1.3.2研究框架 7 1.3.3研究方法 7 1.3.4 研究的创新点 8 2 相关理论综述 9 2.1物流金融的相关理论 9 2.1.1物流金融的内涵 9 2.1.2物流金融的特征 10 2.2物流金融的运作模式 10 2.2.1物流金融运作模式的分类 10 2.2.2物流金融资本流通模式 12 2.2.3物流金融资产流通模式 14 2.2.4物流金融综合模式 16 2.3委托—代理理论 16 2.4博弈论 16 2.5小结 17 3物流金融信用风险识别 18 3.1物流金融主体 18 3.1.1商业银行 18 3.1.2第三方物流企业 20 IV 3.1.3中小企业 21 3.2物流金融主体之间的委托代理关系 23 3.3物流金融主体的信用风险识别 25 3.3.1信用风险 25 3.3.2商业银行面临的信用风险 25 3.3.3第三方物流企业面临的信用风险 26 3.4小结 26 4物流金融信用风险的博弈模型与实证分析 27 4.1传统信贷业务中两方主体的博弈模型介绍 27 4.1.1模型的基本假设 27 4.1.2模型的均衡解 28 4.2物流金融业务中三方主体的博弈模型介绍 28 4.2.1模型的基本假设 28 4.2.2模型的均衡解 30 4.3广发银行物流金融业务开展现状 31 4.4广发银行物流金融信用风险博弈的实证分析 31 4.4.1案例背景：H钢管动产质押授信 31 4.4.2基于传统信贷两方主体博弈的实证分析 33 4.4.3物流金融三方主体博弈的实证分析 34 4.5小结 36 5研究结论与建议 37 5.1本文的主要结论 37 5.2政策建议 37 5.2.