The Analysis Of Financing Risk Of Enterprises In Supply Chain Based On Copula Structure

In recent years, financing difficulties of enterprises has always been one of mainfactors hindering the economic development of China. And the government introducedmany policies and measures, trying to solve these problems, but the effect is still to beimproved. The root of them lies in the lack of financing credit qualification, high defaultprobability resulted from low default cost, and tough supervision and management.However, with the development and innovation of supply chain finance business, supplychain financing makes it possible to solve the problems. The most striking feature ofsupply chain lies in the closed property of enterprise finance on supply chain, namely thepartial closure derived from capital and goods flow within the supply chain. The smalland medium-sized enterprises occupy an crucial position in the upstream anddownstream of the supply chain, forming a close symbiotic relationship with coreenterprises, whose good operating performance and creditworthiness will be efficientlypassed on to them through the integrity of supply chain.In the supply chain financing, the financing default probability is low, in that bysupervising and managing the real rights and accounts, the bank can directly get businessdynamic information and effectively guard against and even evade the defaults. ForBanks the risk management is mainly focus on evaluating the risk before financing, so anobjective and accurate risk measurement can make the bank effectively evade financingdefaults. Therefore, to satisfy the needs of enterprises, meantime, considering thebusiness features of supply chain financing, providing a brand-new risk measurement andmonitoring system becomes a priority.Most people in domestic focus more on the operation, management and theories ofrisk types of supply chain and pay less attention on risk measuring. And more qualitativeanalysis methods, more summarily analyzing the types and features of risk， lessintuitively assessing methods and quantitative model; In terms of supply chain financingrisk measurement, more from the perspective of financing enterprises, measuringsingle-enterprise financing default risk, less from the perspective of financial institutionsto assess the risk of the whole supply chain, ignoring the integrity of the supply chainfinancing. However, the integrity is the most striking feature. Therefore, based on the integrity, we set up financing risk measurement model, andbuild warning and monitoring system of supply chain financing risk for banks, which isthe main research conclusions. The chapters’ overview is as follows:In chapter1we expound the topics, including the background, the present situation,purpose, content, significance and innovative points, and some others. In chapter2wearrange the basic theory of supply chain financing risk, preparing for the followingresearch.In chapter3we construct the relational structure among the enterprises.Archimedes’ copula function is used in our research to estimate the pertinence and thenconstruct the relational structure among the enterprises, in that the pertinence ofenterprise’s financing risk has dependency with each other, and the copula function canestimate it and then apply the results to the whole supply chain.In chapter4we evaluate the financial risk of the enterprises through informationentropy method, find the distribution probability of enterprises’ scores, and analyze theprobability of financial default risk. Then copula relational structure is constructed tocalculate the probability of financial risk of the supply chain.In chapter5we estimate the volatility of enterprise profitability by GARCH-Mmodel and calculate the credit default distance of enterprise by KMV model. Throughmodified KMV model we calculate the occurrence rate of credit default. Then we can usecopula connect dependent structure to measure the market default probability in thesupply chain.In chapter6by the confirmatory factor analysis (CFA) of the structural equation(SEM) we check the structural model of financial risk and get out to what extentindicator variables can explain the potential variables through factor loading from ourmodel. By second-order CFA, we find out to what extent the first-order potentialvariables will affect the financial risk and to what degree the potential variables dependon each other and the validity of the combination of the whole model.In chapter7we build up risk warning system, correct the ranking results of financialand credit risk of enterprise financing by circularly revised combination evaluation model,and get the ranking results of enterprise financing risk based on supply chain, then wecan build up colored risk level warning. Finally by CFA we build up enterprise financing risk indicator identifying system.Our main innovation:1. construct the relational structure among the enterprises byArchimedes copula function;2. measure the financing risk of the supply chain financingby the information entropy and copula connect structure;3. estimate earnings volatilityby GARCH-M model, combine KMV model and copulas connect structure to measurecredit risk of supply chain financing;4. analyze the influence factors of supply chainfinancing by SEM theory5. constantly correct the results of supply chain financing bycircularly revised combination evaluation model.