Research of Financial Risk Warning Model of Listed Companies in the Supply Chain
Environment
Lijun Li,Lei Wang ,Liping Yu
School of Business Administration, Northeastern University, Shenyang, Liaoning, China,110000
E-mail: ljli@mail.neu.edu.cn
Abstract: The purpose of this paper is to study the problem about financial risk early-warning of listed companies in the supply chain environment. Based on a comprehensive overview of the issue of listed companiesrsquo; financial risk early warning, it tries to build a warning model of the core enterprisersquo;s financial risk in the supply chain environment, and does a case study to test its practicality. The model, which integrates a number of mature theories and early-warning models, uses the method of modern technology, statistical tools and financial risk management theory. This paper studies the financial early-warning methods of listed companies in supply chain environment, and provides a comprehensive early-warning program, which can identify the potential risks. The improved traditional early-warning model is introduced into a new area. The system of financial indexes and non-financial indexes are re-established, considering the particularity of financial risks in supply chain environment, indexes related are reselected.
Key Words: Financial risk early-warning, Supply chain management, Listed companies, Efficacy coefficient method
1 INTRODUCTION
Supply chain risk is a hot and difficult problem in supply chain management. In recent years, many scholars study on supply chain risk from different aspects, but the research on financial risk in supply chain environment is very limited. Some scholars focus on product design, the management of planning stage and the transmission of financial distress in the supply chain. For example, Fernando et al. (2003) built a supply chain model on the base of members of the supply chain, which compared profits and the financial risks to find a way of the optimal order mode. Guilleacute;n et al. (2005) studied the subject of multi-objective supply chain design, and built a supply chain model by the function of net present value, customer satisfaction and financial risk. Craig et al. (2008) took the alcohol as an example to study the financial risk management issues during products designing and pointed out that the choice of product quality could lead to purposes of financial risk management. Michael et al. (2008) studied financial impact on the upstream and downstream firms when financial distress takes place in the supply chain enterprise by empirical analysis. Besides, other scholars studied the issue based on credit risk and financial plight. For example, in view of shortcomings of the current credit risk assessment, only judging loan enterprises, Ruifeng Yu et al. (2007) reached a conclusion about the credit risk assessment based on the supply chain. Xiaoyan Xu et al. (2008) studied the problem that the various operation linkages between enterprises lead to the transfer of financial distress, based on two-tier supply chain composed of a single manufacturer and single retailer.
As the time of studying the subject of supply chain risk management is relatively short, the study on the field of supply chain risk is lacking in systematization. Otherwise, the system of supply chain is facing more and more uncertainty. Supply chain risk management and risk-sharing problem are very important subjects in some industries, especially those whose supply chain tends to be longer and uncertain demand is increasing day by day. As an important part of the financial risk, supply chain risk has not been studied systematically because of its specificity. The study has an important value on academic research and practical guidance for improving effectiveness and efficiency of supply chain management system.
This paper studies the problem about financial risk early-warning of listed companies in the supply chain environment. Based on a comprehensive overview of the issue of listed companiesrsquo; financial risk early-warning, it tries to build a warning model of the core enterprisersquo;s financial risk in the supply chain environment, and does a case study to test the modelrsquo;s practicality. In the end, it gives some advice of risk early-warning and controlling to listed enterprises in China. Moreover, this article brings in some innovative ideas listed by following: First, it enhances the traditional financial risk early-warning model – efficacy coefficient method to enable it could be applied for the financial risk early-warning of listed companies in supply chain environment. Secondly, it reselects the related financial indexes according to the particularity of the financial risk in supply chain environment, and defines the non-financial indexes system on the basis of the importance of the non-financial information to the supply chain financial early-warning. Thirdly, it improves the calculation method of scoring the financial indexes, and defines quantized method of non-financial index value and the calculation method of scoring. The improved efficacy coefficient method not only takes the financial indexes into consideration, but also the non-financial ones. It is a comprehensive financial risk early-warning model of the supply chain core enterprises, and solves the situation of the long-term existed mono-quantized model or single model; in addition, the theory of this model is simple and easily applicable.
2 RESEARCH MODEL
Financial risk early-warning is based on the conclusions of risk assessment which is the classification of statistics or pattern recognition problem in artificial intelligence. The academic circle has proposed several disaggregated models for risk assessment, whose basic idea is to sum up the law of classification and establish the discriminant functio
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供应链环境下上市公司财务风险预警模型研究
李丽君,王蕾,俞丽萍
辽宁沈阳,东北大学工商管理学院 邮编:110000
邮箱:ljli@mail.neu.edu.cn
摘要:本文的目的在于研究供应链环境下上市公司的财务风险预警模型。在回顾以往上市公司财务风险预警研究的基础上,本文尝试对以往的财务预警理论与模型进行整合,运用现代技术、分析工具和财务风险管理理论,针对供应链环境下上市公司面临的最主要的财务风险建立预警模型,并做实证研究以验证其有效性。本文研究了供应链环境下上市公司的财务风险预警方法并构建了一个综合的预警体系,帮助企业发现潜在的风险。考虑到供应链环境下财务风险的特点,本文在将传统的财务预警模型应用到供应链领域时,将财务指标与非财务指标结合,构建了一个新的财务风险预警指标体系。
关键词:财务风险预警,供应链管理,上市公司,功效系数法
1 引言
在供应链管理领域,供应链风险是一个很热门也比较难的问题,近年来,许多学者都试图从不同的角度研究供应链风险,但很少有人研究供应链环境下的财务风险。他们大多将目光放在了产品设计、流程规划管理和金融危机对供应链行业的影响上。Fernando等人(2003)基于供应链中的各个角色建立了一个供应链模型,尝试通过比较企业利润与财务风险来寻找一个最佳的供应链流程模式。Guilleacute;n等人(2005)就多目标供应链设计进行了研究,以净现值、顾客满意度和财务风险三个指标建立了供应链模型。Craig等人(2008)在研究产品设计时以酒精行业作为研究对象来研究财务风险管理,指出产品质量可以成为财务风险管理的一个目标。Michael等人(2008)就金融危机对供应链行业上下游企业的财务影响进行了实证分析。此外,也有其他学者就信用风险与财务困境之间的关系进行研究。余瑞峰等人(2007)发现在供应链行业现行的信用风险评估有一个较大的缺陷,许多企业往往只会对贷款企业进行信用风险评估。徐晓燕等人(2008)以一个简单的仅由一个供应商及一个零售商组成的二级供应链研究发现供应链行业上下游企业之间的这种经营上的联系往往能导致财务危机的转移。
由于在供应链风险管理方面的研究开始得比较晚,供应链领域还缺乏系统性的研究。然而,供应链系统正面临着越来越多的不确定性,供应链风险管理以及风险转移问题对于很多行业来说都尤为重要,尤其是那些供应链较长或者行业需求不确定性与日俱增的行业。作为财务风险的一个重要部分,供应链风险由于其特殊性至今没有较为系统性的研究,本文的研究对提高整个供应链系统的运营效率具有重要的学术价值和实践指导意义。
本文主要研究供应链上市公司的财务预警问题,在对供应链上市公司的财务预警研究现状进行回顾的基础上,本文尝试针对几个典型的供应链企业财务风险因素建立预警模型,并进行实证研究以检验模型的实用性。在本文的最后,作者就中国上市公司的财务风险预警及内部控制建设给出了几点建议。本文的创新之处主要有以下几点:第一,本文在传统的财务风险预警模型基础上加入了功效系数法,建立了一个适用于供应链上市公司的财务预警模型;第二,本文针对供应链行业的特殊性,重新选择了财务指标,并以非财务指标对供应链行业财务风险预警的重要性为基础建立了非财务指标体系;第三,本文对财务指标评价的计算方法进行了改进,并对非财务指标进行定量分析,得到各指标的权重。改进后的功效系数法将财务指标与非财务指标相结合,为供应链企业建立一个综合性强、简单、实用性强的财务风险预警模型,解决了长期存在的模型单声道量化或单一的问题。
2 研究模型
财务风险预警是基于风险评估的结论,即人工智能统计或模式识别问题的分类。学术界提出了几个风险评估模型,其基本思想是根据历史样本总结分类法,建立新样本分类的判别函数。基于判别函数形式和样本分布假设的差异,主要模型包含多元回归分析模型(Meyer等 1970)、多重判别分析模型(Altman 1968)、Logit分析模型( Press等 1978)、邻居法(Tam等 1992)、Probit模型(Barth等 1989),等等。在这些模型中应用最广泛的当属MDA和Logit模型。统计模型的最大优点在于其明确的解释,然而它需要太多严格的前提条件。
功效系数法作为一种将财务风险预警方法进行绩效评估的方法,显然有其优点。基于多目标编程的原理,它也被称为功效函数法。首先,这种方法的每个评价指标都设有满意值和不可接受的值,其中,满意的值为上限,不允许的值为下限,并确定每个指标的值。然后,我们得到加权几何平均值后的合成值,反映了研究对象的综合情况。上市公司完整的财务风险预警模型应结合财务和非财务指标,因此,功效系数法的应用必须分为三个步骤。
2.1财务指标体系的确定
从财务预警的角度来看,财务指标体系应能够反映上市公司在供应链环境中的综合财务状况。只有从不同的角度,通过观察各种指标体现财务状况,发现是否有变化或变化的力量,才可以及时发现潜在的财务风险和财务危机。财务比率的设计和选择是财务预警系统的重要前提。根据供应链环境中财务风险的形成原因,反映流动性风险的指标包括存货周转率,总资产周转率,流动资产周转率,流量阻塞程度,资产回收率。此外,反映融资风险的指标涉及资产负债率,速动比率,现金流量负债率,盈余现金覆盖率,三年平均销售增长率,三年平均资本增长率。此外,反映投资风险的指标涉及成本利润率,销售利润率,资本回报率,销售增长率,净资产收益率,总资产回报率,利润率,资本积累率等。
2.2非财务指标体系的确定
除了会计报表显示的财务信息外,还有更多的非财务信息。并非所有的非财务信息对财务风险预警分析的作用,因此,一个基本问题是要确定哪些是关联的非财务指标。考虑到供应链环境中上市公司的特殊性,我们选择以下非财务指标来评估核心业务的财务风险:市场份额,采购销售集中度,敏感度,管理质量,内部控制制度的完整性,技术装备水平的更新水平,银企关系和审计意见的类型。
2.3建立模型
首先根据流动性风险,融资风险和投资风险指标的重要性,给出不同的权重,其总和为1。其次,计算每个指标的功效系数,得到综合功效系数。综合功效系数越大,财务风险越小。根据功效系数,财务风险程度可分为中警,轻警,无警等。一般我们应该通过以下步骤来做:
1.财务指标评分方法。第一步,制定指标评估标准。评价标准分为优秀,良好,一般,较差和危险,标准系数分别为0.8,0.6,0.4,0.2。 第二步,重新分配比例。每个指标通过以下步骤计算:
上基值=指标权重times;上标准系数
当前基本值=指标权重times;当前标准系数
调整值=当前功效系数times;(上基值 - 当前基准值)
单个评估值=当前基本值times;调整值
总财务指标值=Sigma;单个评估值
2.非财务指标评分方法。第一步,根据各非财务指标对公司的重要性,选择几个代表性的非财务指标。然后,给出每个非财务指标的不同标准值和权重。第三步,选择一些资深经理人员来评估相关指标。最后,得到总值:
总非财务指标值=(Sigma;经理人员评分值)times;权重
3.计算综合价值。在上述步骤的基础上,可以通过以下公式计算综合价值:
综合价值=总财务指标值times;对应权重+非财务指标值times;对应权重
4.确定预警界限。根据综合价值,财务风险程度可分为以下几个区间(见表1):
表1财务风险度分析
风险程度 |
综合价值范围 |
风险状况说明 |
无警 |
[85,100] |
经营活动正常、财务状况稳定、评估指标良好。 基本上,财务风险是不可能发生的。 |
轻警 |
[70, 85] |
财务状况基本稳定、评估指标不是很好、财务风险有可能发生。 |
中警 |
[50, 70] |
财务状况不稳定、一些指标有明显缺陷、财务风险可能发生。 |
重警 |
[30, 50] |
财务状况开始恶化、很多指标都有明显缺陷、财务风险很可能发生。 |
危险 |
[0, 30] |
财务状况极不稳定、大部分指标恶化、企业很可能破产。 |
3实证研究
为了说明该模型的实用性,下面以上市公司KN制药为例进行模型验证。
KN制药有限公司是具有核心竞争力的大型制药企业,在现代植物医药和化学合成医学的发展中具有现代化的制备技术。以药业为主导产业,公司主要从事药品,制造,销售,技术服务和产业投资的开发。此外,还在50多个大中城市建立了营销网络,产品远销欧美。 2008年,公司实现营业收入109491万元,比上年增加12,358.8万元,下降11.53% 实现利润总额1077.75万元,同比减少31.75%,比去年同期的1578.9万元减少。 我们应该采取以下步骤:
1.第一步。 第一,根据国家资产管理委员会[12](国资委2008年)的绩效考核指标体系,财务指标的权重为80%,非财务指标为20%。 根据制药业的特点和发展的重要性,财务指标给予各种权重(见表2)。其次,计算每个预警指标的实际值,使用KN会计报表的数据(见表2)。第三,按照以下公式计算每个预警指标的功效系数:
功效系数=(实际值 – 当前标准值)/(上标准值 – 当前标准值)(见表2)
此外,每个指标的标准值均来自绩效考核指标体系(国资委2008)。 第四,在建立模 型时按照评分方法计算单一评价值(见表2)。 显然,财务指标总值为59.018。
表2财务指标数值表
财务指标 |
权重 |
实际值 |
功效系数 |
评价值 |
净资产收益率 |
28.7% |
10.29% |
-0.25 |
7.469 |
总资产收益率 |
22.1% |
8.74% |
0 |
7.669 |
销售(业务)利润率 |
12.7% |
53.54% |
0 |
4.407 |
盈余现金保障倍数 |
14.5% |
1.06 |
-0.13 |
2.888 |
成本利润率 |
10.8% |
10.34% |
-0.36 |
2.728 |
销售利润率 |
11.2% |
14.71% |
0 |
3.886 |
总资产周转率 |
25% |
0.69 |
-0.03 |
5.257 |
应收账款周转率 |
25% |
7.49 |
0 |
8.850 |
存货周转率 |
2.5% |
3.08 |
-0.33 |
2.363 |
流动资产周转率 |
25% |
1.28 |
-0.2 |
6.726 |
资产现金回收率 |
12.5% |
6.32% |
-2.72 |
1.133 |
资产负债率 |
40% |
41.40% |
0.44 |
6.216 |
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