基于模糊DEA方法的供应链池融资信用风险评估

【作者】 李伟；

【导师】 李宏余；

【作者基本信息】 复旦大学 ， 物流与运营管理， 2011， 博士

【摘要】 融资难是一直困扰并阻碍中小企业发展的主要瓶颈,“十二五”规划(2011年至2015年)明确指出：建立健全中小企业金融服务和信用担保体系,提高中小企业贷款规模和比重,拓宽直接融资渠道。中小企业融资难的主要原因在于中小企业自身信用缺失和一直以来对中小企业的信用风险评估不够合理。本文提倡的基于供应链金融的池融资是深圳发展银行专门针对中小企业提出的融资业务,该融资模式下,中小企业可以借助供应链中核心企业的信用担保降低自身信用风险,增大融资机会；银行借助核心企业信用担保转移信贷风险；核心企业通过帮助供应链合作伙伴解决融资问题间接化解自身资金难题。对于池融资模式下中小企业的信用风险评估,本文提出将“1+N”池融资模式转换为“1+N+n”池融资模式的思维,并构建指标体系,建立了两阶段评估模型,采用模糊DEA方法进行评估。全文共分为7章：第1章为引言部分,从中小企融资难现状引出本文研究问题,指出中小企业可以借助供应链融资和池融资概念突破信用瓶颈,走出融资难的困境,并简单介绍了本文主要研究内容、方法及意义,同时总结了本文创新之处；第2章为理论基础知识介绍和文献综述,对供应链金融、池融资,以及数据包络分析做了简单介绍及文献回顾。同时,对于本文将采用的模糊DEA、PCA-DEA方法,以及中小企业信用评估现状也一一做了简要说明和文献综述,分析了采用DEA方法对池融资模式下中小企业信用风险进行评估的可行性。第3章通过分析基于供应链金融池融资模式下的中小企业信用风险成因,构建了池融资模式下中小企业信用风险评估指标体系,为下一章评估模型的构建确定了输入输出指标。该指标体系主要包括四个方面：经济与行业状况、中小企业自身状况、核心企业状况,以及供应链状况。第4章,根据上一章构建的评估指标体系,分两阶段对池融资模式下的中小企业信用风险进行评估。第一阶段,构建基于独立子系统的模糊DEA模型对中小企业分行业进行信用评估,选出优质企业作为第二阶段评估对象；第二阶段,将主成分分析法与模糊DEA方法有效结合,先利用主成分分析法对评估指标进行降维,然后在此基础之上对各优选融资对象进行信用评估。第5章,以房地产行业为实证对象,以A集团为核心企业对其合作中小企业池融资信用风险评估进行实证分析,分析结果对银行选择融资企业及核心企业选择合作伙伴皆具有参考意义,中小企业也可以根据分析结果改善自身信用状况。第6章,基于实证分析对池融资风险控制做简单介绍,重点参考实证结果。第7章,对全文进行总结并指出有待进一步研究的内容和方向。全文运用了运筹学的数学规划理论、数理统计和金融财务知识,结合了管理科学思维和计算机科学技术,采用了“提出问题—分析问题—创建模型进行求解—实证分析”的研究方法。论文的研究成果不仅在理论上创新了模糊DEA对整体系统效率的评估,以及池融资从“1+N"模式向“1+N+n"模式转换的思维,而且通过实证分析,对银行、核心企业及中小企业三方在实际操作中的角色扮演都提供了理论指导和参考依据。更多还原

【Abstract】 Limited access to financing has been for the bottleneck and constrained the development for Small and Medium Enterprises (SMEs) for a long time. It is clearly pointed out in the 12th five-year plan:we should establish solid finance service and credit assurance for the SMEs, improve the loan scale and proportion for SMEs, and broaden out direct financing channel for SMEs.The main reasons for SMEs’ limited access to financing are the deficiency of SMEs’ own credit and unreasonable credit risk evaluation for SMEs. The proposed Pool Financing based on Supply Chain Financing is a kind of financing business developed for SMEs specially by Shenzhen Developmeng Bank (SDB). Under such financing model, SMEs could reduce its credit risk with the credit assurance by Core Enterprise and increase its opportunity for financing;Banks could transfer its credit risk to Core Enterprises; Core Enterprises could solve its own difficult fund problems by extrict its supply chain partners from difficult financing position.It is suggested that banks transfer their pool financing style from positive to inniative, and change the 1+N model into 1+N+n model. Based on such suggestion, index system for credit risk evaluation under 1+N+n pool financing model and a two-stage model for evaluating the related SMEs’ credit risk level with fuzzy DEA are built.This paper is composed of 7 charpters:Charpterl introduces the problems to be researched by analyzing the present difficult financing status of SMEs, and points out that SMEs can break credit bottleneck with the help of Supply Chain Financing and Pool Financing and solve the financing problems. This charpter also explains the research content, research methods and significance briefly, and concludes the innovations be advanced.Charpter2 introduces basic knowledge and reviews literatures about Supply Chain Financing, Pool Financing, Data Envelopment Analysis (DEA), Fuzzy DEA, Principal Component Analysis (PCA), PCA-DEA and credit risk evaluation for SMEs, analyzes the feasibility of applying DEA method into SMEs’credit risk evaluation under Pool Financing.Charpter3 constructs the index system under Pool Financing for SMEs’ credit risk evaluation by analyzing the risk origins. Such index system is the basis of input and output variables for evaluation models in next charpter. The index system includes:the whole economy and industry situation, the condition of SMEs, the status of Core Enterprises and the state of the whole supply chain.In charpter4, we conduct credit risk evaluation by two-stage for SMEs under 1+N+n pool financing model on the basis of established index system in last charpter. First stage, build fuzzy DEA model based on independent Sub-Systems; second stage, combine PCA with DEA for reducing variables and simplifying the solution of evaluation problem.Charpter5 takes the real estate industry as research object, analyzes the real data mainly from Group A’s internal Information System for Suppliers. The results obtained could be the financing references for banks, and SMEs could improve their credit risk level according such results.Charpter6 briefly summarizes risk control method and process for Pool Financing based on the former charpter’s analysis results.Charpter7 is the conclusion for this paper. It summarizes the research conducted in this paper and point out the further research area and problems.More than one subjects such as mathematical programming theory in operation research, mathematical statistics, finance and banking are involved in this paper. It also combines the thought of management science with the technology of computer science, adopts the research method of "put forward problems- analyse problems-construct models for solving-positive annlysis". The research results not only contribute to the innovation of efficiency evaluation for independent Sub-Systems, but also help the banks, SMEs and Core Enterprises to avoid their risk respectively.更多还原