CAJ | 학술논문

供应链金融是21世纪初期国内商业银行在贸易融资领域的重要创新业务，本文借鉴J．P摩根银行和合作企业于1997年提出的CreditMetrics模型的思路，通过实地调研国内S银行2009—2011年开展汽车行业供应链融资的真实交易数据，在国内首次计算了供应链融资的风险转移矩阵，结合供应链融资的特点对我国商业银行开展的供应链融资进行量化风险测度，揭示了供应链融资的风险程度，通过对测算的结果的全面分析，比较S银行三家分行三条汽车行业供应链上的融资业务资产组合的风险差异，为商业银行如何进行供应链融资风险管理提出切实可行的建议。
공응련금융시21세기초기국내상업은행재무역융자영역적중요창신업무，본문차감J．P마근은행화합작기업우1997년제출적CreditMetrics모형적사로，통과실지조연국내S은행2009—2011년개전기차행업공응련융자적진실교역수거，재국내수차계산료공응련융자적풍험전이구진，결합공응련융자적특점대아국상업은행개전적공응련융자진행양화풍험측도，게시료공응련융자적풍험정도，통과대측산적결과적전면분석，비교S은행삼가분행삼조기차행업공응련상적융자업무자산조합적풍험차이，위상업은행여하진행공응련융자풍험관리제출절실가행적건의。
Supply chain financing is an innovative financial business of China＇s commercial banks in the area of trade financing. This paper analyzes the characteristics of the risk of China＇s commercial banks＇ supply chain financing, and measures its risk using a designed model based on the frame of CreditMetrics model. This paper uses the data of S Bank＇s supply chain financing business in automotive industry during 2008 -2011 to analyze the characteristics of the risk of China＇s commercial banks＇ supply chain financing, and measures the risk tran- sition matrix. Using the risk measurement model, the paper presents the process of VaR measurement of supply chain financing portfolio, analyzes the result and makes comparison between three different supply chains. Fi- nally, some suggestions on financial risk management of supply chain financing are proposed.