Research On The Credit Risk Of Supply Chain Finance Of Listed Companies In The Automobile Manufacturing Industry

In recent years,the supply-side reform is one of the important works in China in recent years,and the supply-side reform in the financial field is also the key direction.The combination of industry and finance is an important measure to solve the supply side problems in the financial field.Therefore,supply chain finance,which can promote the orderly operation of the industrial chain and supply chain,is particularly important.The investigation of credit risk of supply chain finance is different from that of traditional credit business,which needs to be combined with the whole supply chain.At the same time,the credit risk of enterprises on the chain and the credit risk of the whole supply chain should be referred.Considering the integrity of the data,the tremendous amount of chain enterprise and supply chain core enterprise financial situation,this paper chose the Jianghuai auto and supply chain as an example,analysis of Jianghuai automobile enterprise’s credit risk and its chain and supply chain risk spillover effects,to provide reference for the automobile manufacturing enterprise to carry out the supply chain finance business.In terms of models,this paper analyzes the risks of JAC’s supply chain finance through KMV model and GARCH-COVAR model.First,Camel Group and Quanchai Power were selected as the upstream supply chain,and Zhongtong Bus and Ankai Automobile were selected as the downstream supply chain to establish the core supply chain of Jianghuai Automobile.Secondly,the GARCH model is used to fit the corrected stock price volatility,and the KMV model is used to measure the default risk of the five enterprises.Then,by GARCH fitting the daily return rate series,the % COVAR between enterprises is calculated to measure the risk spillover effect.The main spillover direction is the upstream and downstream spillover of core enterprises and the reverse spillover of upstream and downstream enterprises to core enterprises.Finally,combined with the results of KMV and GARCH-COVAR models,the possibility of default of JAC and its core supply chain enterprises and the risk of default to the whole supply chain are analyzed.It can be seen from the results of KMV model that the default distance of JAC is related to its upstream and downstream enterprises to some extent,and both reach the maximum value at the same time.Moreover,among the five enterprises in the supply chain,the ranking of default risk is downstream enterprises.Upstream enterprise >;Core automobile manufacturing enterprises and downstream enterprises not only have higher default risk,but also higher volatility.According to the results of GARCH-COVAR model,the risk spillover effect of core enterprises in the supply chain is greater than that of upstream and downstream enterprises,and JAC is more inclined to spillover to the upstream after default risk,which is consistent with the bullwhine theory.And the downstream enterprise defaults after the impact on JAC is greater.Specifically,from the perspective of the trend of risk spillover value of JAC,the risk spillover effect of JAC is related to its operating conditions to a certain extent.When it is in the stage of rapid development,its risk spillover effect is more likely to increase.Based on theoretical basis and model results,this paper gives the following suggestions: First,the development of supply chain finance business,the core enterprise as well as to control its risk of default to as far as possible and credit is in good condition,a larger body supplier(especially the upstream suppliers),to work for partners need careful risk of default to the upriver,either through higher loan requirements,improve the supply chain financial platform measure such as barriers to entry;Second,the analysis of the downstream suppliers,should focus on the downstream enterprises and the relevance of the core enterprise,shall ensure that the core enterprise of the downstream enterprise widely enough,downstream of the core enterprise marketing channel does not depend on a few suppliers,it would spread as far as possible the mortgaged property depreciation risk,reduce the downstream suppliers default event’s influence on the core enterprise.