Portfolio Optimization Of The Supply Chain Enterprise Credit Based On Copula-MKMV

With the development of supply chain, supply chain has broken through thetraditional boundaries, while the companies of the chain are still relativelyindependent interest entities. So the scope of supply chain management is gettingmore broad，therefore in the process of its organization and operation, also arise moreand more risk. It has been a further question for how to connect the credit status forthe risk proifle of the whole system. The current research is from the perspective ofqualitative risk to evaluate the risk，while there is little research focused on thequantify of risk. While the financial institutions need a certain figure or data toevaluate the risk and determine the proportion of the portfolio, so that they will get themaximum profit and minimum risk at the same time. So it is urgent and has animpressive practical significance to research credit risk from the perspective of thewhole chain.This paper builds a credit risk measurement system for supply chain portfolio, itprovides an qualitative reference for ifnancial institutions. This paper use KMVadjusted with a GARCH model evaluate the risk of supply chain, The results foundthat KMV model can fully reflect the enterprise’s risk level, and it is closely related tothe economic environment. This paper use multivariate normal-Copula, t-Copula^Gumbel-Copula, Clayton-Copula and Frank-Copula to measure the risk of the entiresupply chain, Then ifgure out the squared Euclidean distance between eachmul ti var iate-Copul a and empirical-Copula as a criteria, then choose the mininum ofthe ifgures, we get the optimum model t-Copula model. We make a full discussion onthe portfolio optimization of supply chain, we add the combination weights in theprocess of solving KMV, by random simulation we solve the loan weights, finally getthe optimal portfolio weights.