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Associated Credit Risk Contagion and Spillover Effect Based on Supply Chain Buy-Back Guarantee Contract

机译：基于供应链回购保证合同的相关信用风险传染和溢出效应

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摘要

We take the supply chain with a supplier and a retailer as the research objects and study the contagion and spillover effect of the associated credit risk in the supply chain under the scenario of the buy-back guarantee contract. The associated credit risk in the supply chain refers to the phenomenon that the credit default of the retailer causes the credit default of the supplier or increases the probability of default. The buy-back guarantee in the supply chain refers to the assumption by the retailer of the supplier's buy-back contract as a financing mechanism. At present, the buy-back guarantee has become a new channel of contagion for the associated credit risk in the supply chain. Under the dual Stackelberg game analysis framework of the lending institutions, suppliers, and retailers, this paper clarifies the contagion mechanism of associated credit risk in the supply chain under the condition of the buy-back guarantee and constructs mathematical models to explore the contagion and spillover effect of the associated credit risk in the supply chain. The results show that, under the condition of the buy-back guarantee, the contagion effect of the associated credit risk in the supply chain has trigger thresholds, and the probability of triggering the contagion effect is related to the retailer's order quantity, supplier's wholesale price, and product's market price. The contagion effect is positively affected by the buy-back rate, production costs, and loan interest rates and negatively affected by the product's market price. In contrast, the degree of buy-back guarantee aggravates the negative spillover effect of the associated credit risk and raises the risk level of lending institutions.
机译：我们将供应链与供应商和零售商作为研究对象，并在回购担保合同的情况下，研究供应链中相关信用风险的传感和溢出效应。供应链中的相关信贷风险是指零售商的信贷违约的现象导致供应商的信贷违约或增加违约可能性。供应链中的回购担保是指供应商回购合同作为融资机制的零售商的假设。目前，回购担保已成为供应链中相关信贷风险的新渠道。根据贷款机构，供应商和零售商的双层玻璃博弈分析框架，阐明了在回购保证条件下供应链中相关信贷风险的传染机制，并构建数学模型来探索传染和溢出相关信贷风险对供应链的影响。结果表明，在回购保证条件下，供应链中相关信贷风险的传染效应具有触发阈值，触发传染效果的概率与零售商的订单数量有关，供应商的批发价格有关和产品的市场价格。传染效应受到回购率，生产成本和贷款利率的积极影响，并受产品的市场价格负面影响。相比之下，回购担保程度加剧了相关信贷风险的负溢出效应，提高了贷款机构的风险水平。

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  • 来源
    《Mathematical Problems in Engineering》 |2019年第13期|4292589.1-4292589.17|共17页
  • 作者

    Xie Xiaofeng; Yang Yang; Xu Kai; Zhou Zongfang;

  • 作者单位

    Univ Elect Sci & Technol China Sch Management & Econ Chengdu Sichuan Peoples R China|Chengdu Neusoft Univ Gen Educ Dept Chengdu Sichuan Peoples R China;

    Southwestern Univ Finance & Econ Sch Econ Math Chengdu Sichuan Peoples R China;

    Univ Elect Sci & Technol China Sch Management & Econ Chengdu Sichuan Peoples R China|Chengdu Univ Sch Tourism & Econ Management Chengdu Sichuan Peoples R China;

    Univ Elect Sci & Technol China Sch Management & Econ Chengdu Sichuan Peoples R China;

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