The research on supply chain portfolio default risk of financial enterprises based on archimedean no.12 copula

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外文摘要：In the view of supply chain finance， the default risk of the enterprise not only exists within the enterprise， but also gets along with between two enterprises， which makes it more essential to evaluate the default risk of the whole supply chain。 This paper addresses on the contagion of the risk between two enterprises， selecting the financing enterprises as the research object and taking two enterprises which in the same supply chain of Chinese auto industry as sample。 Then establish the Logit model based on the financial data of enterprises。 Taking the probability as basis， it is possible to get the enterprise combination default probability using Copula function。 Then compare it with single enterprise default probability to enhance the accuracy of supply chain financial default risk assessment。 At last， provide a basis for improving the accuracy of supply chain enterprise default risk assessment。

外文关键词：

CopulaPortfolio Default RiskSupply chain finance

作者：

Y. Teng、L. -G Zhou、J. -L Chen

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作者单位：

Bus. Sch., Central Univ. of Finance & Econ., Beijing, China

会议名称：

IEEE International Conference on Industrial Engineering and Engineering Management

会议地点：

Singapore(SG)

会议母体文献：

2015 IEEE International Conference on Industrial Engineering and Engineering Management

页码：

892-894

出版时间：

2015

DOI：

10.1109/IEEM.2015.7385776