Study On Credit Risk Measurement Of Supply Chain Finance Portfolio Under Risk Contagion

In recent years,supply chain finance has attracted widespread attention in the industry and academia because of its advantages in the mode of investment and financing.Supply chain finance is a new type of financial service provided by commercial banks for supply chain enterprises.Different from existing trade financing products,supply chain financial service products are based on the cooperation between banks and core enterprises in the supply chain and the provision of direct investment and financial consulting services.Provide quick payment income for its upstream suppliers and advance payment financing and inventory financing for its downstream dealers.In other words,supply chain finance,as a new financial business,provides a new financing facility for part or all members of the supply chain.At present,the measurement of credit risk of enterprises in supply chain finance is mainly based on the measurement and evaluation of credit risk of individual enterprises.For realistic factors,however,the supply chain of enterprises in the financial business links between more closely,there is a higher dependence of default and default contagion phenomenon,if ignore the particularity,straight into the traditional credit risk measurement method,not only affect the normal order of supply chain finance business development,also for enterprises in the supply chain and even the whole industry caused serious losses.From the perspective of commercial banks,this paper summarizes the theoretical basis and approaches of default contagion in supply chain finance,and puts forward an analytical framework of credit risk in supply chain finance,which lays a foundation for subsequent research.Research on the three-level industrial chain of supplier,core enterprise and dealer in the automotive industry chain,and select the financial data of sample companies as the research basis.With the help of Matlab(R2021a)calculation tool software,combined with KMV model and Copula function,the following exploration is carried out.First,KMV model is used to adjust KMV parameters according to the existing research experience,measure the asset volatility,asset value and other indicators of a single enterprise,so as to calculate the expected default probability of a single enterprise.Secondly,the Copula function is introduced to calculate the correlation coefficient,Euclidean distance and other evaluation factors,and the optimal Copula function is selected by comparison to measure the portfolio credit risk of enterprises in the supply chain.Thirdly,according to the selected optimal Copula function,the default dependence structure among supply chain finance companies is described,and the maximum possible default loss of a single firm and a portfolio of firms is compared to illustrate the asymmetry and infectivity of credit risk contagion.The research results show that,by measuring the probability of default of a single enterprise can better measure the same periodic transmission of macro environment,on the basis of using copulas connect function combination of enterprise credit risk measurement,to eliminate periodic transmission under the premise of more accurate calculation of enterprises in the supply chain finance combination default probability and maximum loss,In this way,financial institutions can accurately capture the target of supply chain financial services and provide supply chain financial services more efficiently.