Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective
Credit risk is a major risk of supply chain finance business, and it has recently gained increasing attention. Due to the high dependence between enterprises, the assessment of the supply chain finance risk will be more complicated. In the current study, the research subjects are almost the single f...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2019-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/8824063/ |
| _version_ | 1829514675823312896 |
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| author | Min Zhang Jiantong Zhang Ruolin Ma Xiaodong Chen |
| author_facet | Min Zhang Jiantong Zhang Ruolin Ma Xiaodong Chen |
| author_sort | Min Zhang |
| collection | DOAJ |
| description | Credit risk is a major risk of supply chain finance business, and it has recently gained increasing attention. Due to the high dependence between enterprises, the assessment of the supply chain finance risk will be more complicated. In the current study, the research subjects are almost the single financing enterprises, and the credit risk of financing enterprise portfolio in supply chain finance has rarely been discussed. This study aims to establish a complete risk assessment model, which is based on modified KMV model and Copula function, to quantify the credit risk of enterprises in supply chain finance. Based on the model, we can measure the credit risk of the single financing enterprise and financing enterprise portfolio (up- and down-stream) in supply chain. The results indicate that default contagion does exist in supply chain and the intensity of default contagion between enterprises in the financing enterprise portfolio is asymmetrical. Moreover, the conclusions about the joint expected default frequency and conditional expected default frequency of financing enterprise portfolio in supply chain, are of great significance to commercial banks and other financial institutions. |
| first_indexed | 2024-12-16T13:21:48Z |
| format | Article |
| id | doaj.art-d4b76e9dc5f547eda393cadce12f4e0f |
| institution | Directory Open Access Journal |
| issn | 2169-3536 |
| language | English |
| last_indexed | 2024-12-16T13:21:48Z |
| publishDate | 2019-01-01 |
| publisher | IEEE |
| record_format | Article |
| series | IEEE Access |
| spelling | doaj.art-d4b76e9dc5f547eda393cadce12f4e0f2022-12-21T22:30:20ZengIEEEIEEE Access2169-35362019-01-01714426414427910.1109/ACCESS.2019.29392878824063Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain PerspectiveMin Zhang0https://orcid.org/0000-0001-5280-2062Jiantong Zhang1Ruolin Ma2Xiaodong Chen3School of Economics and Management, Tongji University, Shanghai, ChinaSchool of Economics and Management, Tongji University, Shanghai, ChinaCommercial College, Michigan State University, East Lansing, MI, USASchool of Economics and Management, Tongji University, Shanghai, ChinaCredit risk is a major risk of supply chain finance business, and it has recently gained increasing attention. Due to the high dependence between enterprises, the assessment of the supply chain finance risk will be more complicated. In the current study, the research subjects are almost the single financing enterprises, and the credit risk of financing enterprise portfolio in supply chain finance has rarely been discussed. This study aims to establish a complete risk assessment model, which is based on modified KMV model and Copula function, to quantify the credit risk of enterprises in supply chain finance. Based on the model, we can measure the credit risk of the single financing enterprise and financing enterprise portfolio (up- and down-stream) in supply chain. The results indicate that default contagion does exist in supply chain and the intensity of default contagion between enterprises in the financing enterprise portfolio is asymmetrical. Moreover, the conclusions about the joint expected default frequency and conditional expected default frequency of financing enterprise portfolio in supply chain, are of great significance to commercial banks and other financial institutions.https://ieeexplore.ieee.org/document/8824063/Supply chain financecredit riskdefault contagionfinancing enterprise portfolioChinese automobile supply chain |
| spellingShingle | Min Zhang Jiantong Zhang Ruolin Ma Xiaodong Chen Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective IEEE Access Supply chain finance credit risk default contagion financing enterprise portfolio Chinese automobile supply chain |
| title | Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective |
| title_full | Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective |
| title_fullStr | Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective |
| title_full_unstemmed | Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective |
| title_short | Quantifying Credit Risk of Supply Chain Finance: A Chinese Automobile Supply Chain Perspective |
| title_sort | quantifying credit risk of supply chain finance a chinese automobile supply chain perspective |
| topic | Supply chain finance credit risk default contagion financing enterprise portfolio Chinese automobile supply chain |
| url | https://ieeexplore.ieee.org/document/8824063/ |
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