摘要
出口海陆仓融资模式下,船公司作为融资服务与物流服务的提供方,面临质押率与物流服务努力水平的联合决策难题,由于存在诸多不确定因素,船公司很难实现完全理性。本文以有限理性假设为前提,在质押物市场需求不确定的条件下,引入混合CVaR测度方法,构建同时考虑三种不同风险态度的海陆仓融资决策模型,探讨船公司质押率与物流服务努力水平的双重决策。本文采用乘积型需求函数刻画物流服务努力水平对质押物市场需求的影响,以质押物的期末价值能否偿还贷款、海运服务费用为标准计算需求临界点,构建船公司收益的分段函数。进一步,运用混合CVaR风险模型,引入风险态度因子,构建体现不同风险偏好的目标函数,测算最优质押率与物流服务努力水平,弥补传统CVaR仅能体现风险规避特征、从而导致决策过于保守的不足,全面反映船公司“海运物流+融资服务”的综合职能。研究结果表明:质押率与物流服务努力水平正相关,二者存在互补效应。风险追逐下最优决策的值最高,风险规避下的值最低。船公司应利用自身对质押物信息的掌控优势,发挥海运物流职能对贷款业务的辅助作用,提供专业化、差异化的物流金融服务,制定灵活的风险应对策略。
The exporting offshore/in-transit inventory financing services transfer shipping firms into both funds provider and marine logistics services supplier,which gives rise to integrated decision-making problem of the loan-to-value ratios and logistics service level.It is difficult for shipping firms to remain completely rational due to multiple uncertainties,thus the decision-making results often deviate from the optimal.Under the assumption of bounded rationality,this paper introduces the mixture CVaR criterion to construct a decision model for exporting offshore/in-transit inventory financing and discuss the joint decisions of loan-to-value ratios and logistics service effort level considering three different risk attitudes at the same time.Considering the long time and high risk of maritime transport,this paper first elaborates a multiplicative stochastic demand function to reflect the negative relationship between the price of collaterals and market demand,and includes the influence of logistics service effort level on the liquidity of collaterals into the demand function.Then,a critical point of demand is calculated based on whether the end-of-term value of collaterals can repay the loan and shipping service fees.Based on this,the subsection function of shipping firm's income is constructed.Further,risk attitude factor in the mixed CVaR model is introduced to build objective function which can reflect different risk attitude of the shipping firm and calculate the optimal loan-to-value ratio and logistics services effort level.The dual tasks of logistics and financing service offered by shipping firms are reflected by considering the influence of logistics service level on the value of collaterals and the benefit of loan.The application of mixed CVaR model makes up for the inadequacy of existing literature that methods applied in logistics finance can only reflect characteristics of risk aversion.The results show that the loan-to-value ratio is positively correlated with logistics service effort level,the two have complementary effect.The optimal decision value under risk preference is the highest,while the decision value under risk aversion is the lowest.When the price elasticity of demand is at a low level,the optimal logistics service effort level is positively correlated with the price of collateral.When the price elasticity is higher than a certain threshold,the price of collaterals is negatively correlated with the optimal joint decision which demonstrates the decisions of loan and logistics service tend to be conservative.Shipping firms must utilize their control of collateral information and give play to the supplementary effect of maritime logistics services on loan business to provide specialized and differentiated logistics financial services as well as develop flexible risk management strategies.
作者
刁姝杰
匡海波
朱佳钰
孟斌
DIAO Shu-jie;KUANG Hai-bo;ZHU Jia-yu;MENG Bin(School of Digital Economics and Management,Wuxi University,Wuxi 214105,China;Institute of ChinaWuxiCrossBorder Electronic Commerce Comprehensive Pilot Zone,Wuxi University,Wuxi 214105,China;School of Maritime Economics and Management,Dalian Maritime University,Dalian 116026,China)
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2023年第5期93-103,共11页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71831002,72072018,71971034,72174035)
高等学校学科创新引智“111”计划资助项目(B20082)
辽宁省“兴辽英才计划”资助项目(XLYC2008030)
辽宁省自然科学基金资助项目(2020-HYLH-15)
大连市社科院(研究中心)项目(2022dlsky033)
大连市社科联重点项目(2022dlskzd241)。
关键词
出口海陆仓融资
混合CVaR
质押率
物流服务努力水平
exporting offshore/in-transit inventory financing
mixture CVaR criterion
loan-to-value ratios
logistics service effort level
