Decision-making on exporting offshore/in-transit inventory financing based on CVaR risk measurement&nbsp;

Yang Hua-long, Ma Shuang, Peng Chong

doi:10.16411/j.cnki.issn1006-7736.2025.01.013

Journal of Dalian Maritime University >

2025 , Vol. 51 >Issue 1: 120 - 129

DOI: https://doi.org/10.16411/j.cnki.issn1006-7736.2025.01.013

Decision-making on exporting offshore/in-transit inventory financing based on CVaR risk measurement

Expand

(Transportation Engineering College, Dalian Maritime University, Dalian 116026, China)

Online published: 2025-01-15

Fold

Abstract

This paper studies the exporting offshore/in-transit inventory financing risk problem with high demand uncertainty. Applying the principle of double Stackelberg master-slave game, profit functions of importer, exporter and shipping company were constructed. Employing the conditional value at risk (CVaR) measurement method, an optimization model of exporting offshore/in-transit inventory financing under risk measurement was established, where the overall profit of the supply chain was maximized. Then, the optimal decision-making results such as the pledge rate of the shipping company, the exporter's delivery lead time and the importer's order quantity were demonstrated and analyzed. The study shows that the importer's order lot size and the exporter's delivery lead time decrease with the increase in the pledge rate of the maritime logistics company. The optimal pledge rate of the shipping company is negatively related to the risk aversion coefficient of the exporter, the pledge service fee rate of the shipping company, and the market selling price of the pledged goods, and positively related to the risk aversion coefficient of the importer and the import price of the importer. The findings of the research can provide useful decision-making references for all parties involved in exporting offshore/in-transit inventory financing.

Key words： exporting offshore/in-transit inventory; pledge financing; double Stackelberg Games; CVaR; risk measurement

Cite this article

Yang Hua-long, Ma Shuang, Peng Chong . Decision-making on exporting offshore/in-transit inventory financing based on CVaR risk measurement [J]. Journal of Dalian Maritime University, 2025 , 51(1) : 120 -129 . DOI: 10.16411/j.cnki.issn1006-7736.2025.01.013

References

[1] HUANG S, FAN Z P, WANG X H. Optimal operational strategies of supply chain under financing service by a 3PL firm[J]. International Journal of Production Research, 2018, 57(11): 1-16．

[2] GATT W. Loan-to-value limits as a macro-prudential policy tool: Developments in theory and practice[J]. Journal of Economic Surveys, 2024, 38(1): 232-267.

[3] 张燃, 徐爽, 王凤敏. 质押贷款质押率决定的期权定价方法[J]. 中国管理科学, 2013, 21(1): 16-22.

ZHANG Y, XU S, WANG F M. The option pricing method determined by the pledge rate of a pledged loan [J]. Chinese Journal of Management Science, 2013, 21(1): 16-22. (in Chinese)

[4] LI T Y, FANG W G, WU D S, et al. Inventory financing a risk-averse newsvendor with strategic default[J]. Industrial Management & Data Systems, 2020, 120(5): 1003-1038.

[5] KOUVELIS P, QIU Y. Financing inventories with an investment efficiency objective: ROI-maximising newsvendor, bank loans and trade credit contracts[J]. International Journal of Production Research, 2022, 60(1): 136-161.

[6] JI J, ZHENG H, QI J, et al. Financial and logistical service strategy of third-party logistics enterprises in cross-border e-commerce environment[J]. Sustainability, 2023, 15(8): 68-74.

[7] CAO B; ZHONG Y G, ZHOU Y W. The role of completely joint liability in financing multiple capital-constrained firms: Risk sharing, inventory and financial strategies[J]. European Journal of Operational Research, 2023, 31(3): 1072-1087.

[8] 王滋承, 杨华龙, 周咏. 价格呈几何布朗运动规律的出口海陆仓质押率优化[J]. 系统工程理论与实践, 2017, 37(10): 2571-2581.

WANG Z C,YANG H L,ZHOU Y. The option pricing method determined by the pledge rate of a pledged loan [J]. Systems Engineering-Theory & Practice, 2017, 37(10): 2571-2581. (in Chinese)

[9] 周咏, 胡艳梅, 杨华龙, 等. 价格和需求不确定下存货融资质押率优化研究[J]. 系统工程学报, 2018, 33(1): 34-43.

ZHOU Y,HU Y M,YANG H L, et al. Research on the optimization of inventory financing pledge rate under uncertain price and demand[J]. ournal of Systems Engineering, 2018, 33(1): 34-43. (in Chinese)

[10] 计明军, 祁佳, 孔灵睿. 跨境电商环境下物流企业存货质押融资决策[J]. 大连海事大学学报, 2021, 47(3): 59-67.

JI M J,QI J,LONG L R. Inventory pledge financing decision-making of logistics enterprises in the cross-border e-commerce environment[J]. Journal of Dalian Maritime University, 2021, 47(3): 59-67. (in Chinese)

[11] 刁姝杰, 匡海波, 朱佳钰,等. 基于混合CVaR的出口海陆仓质押率与物流服务努力水平联合决策研究[J]. 中国管理科学, 2023, 31(5): 93-103.

DIAO S J,KUANG H B,ZHU J Y, et al. Joint Decision-making Research on Pledge Rate and Logistics Service Effort Level of Export Sea and Land Warehouses Based on Hybrid CVaR[J]. Chinese Journal of Management Science, 2023, 31(5): 93-103. (in Chinese)

[12] 朱宝琳, 薛林, 戢守峰, 等. 零售商风险规避下基于联合契约的双渠道供应链库存决策模型[J]. 系统管理学报, 2022, 31(2): 217-229.

ZHU B L,XUE L,ZAN S F, et al. Inventory decision-making model of dual-channel supply chain based on joint contract under retailer risk aversion[J]. Journal of Systems & Management, 2022, 31(2): 217-229. (in Chinese)

[13] HE J, JIANG X L, WANG J, et al. VaR methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return[J]. European Journal of Operational Research, 2012, 223(1): 106-115.

[14] 汪刘凯, 张小波, 王未卿, 等. 基于MIDAS-SVQR的供应链金融质押物风险价值测度新方法[J/OL]. 中国管理科学: 1-13. https://doi.org/10.16381/ j.cnki.issn1003-207x.2022.0634.

WANG L K,ZHANG X B,WANG W Q, et al. A new method for measuring the value of risk of collateral in supply chain finance based on MIDAS-SVQR[J/OL]. Chinese Journal of Management Science, 1-13. https://doi.org/10.16381/j.cnki.issn1003-207x.2022.0634. (in Chinese)

[15] 王滋承, 周咏, 杨华龙. 出口海陆仓融资质押率优化[J]. 中国管理科学, 2017, 25(10): 20-30.

WANG Z C,ZHOU Y,YANG H L. Optimization of the financing pledge rate of export sea and land warehouses [J]. Chinese Journal of Management Science, 2017, 25(10): 20-30. (in Chinese)

[16] 杨华龙, 高颖淇, 辛禹辰, 等. 出口海陆仓融资收/支利率优化[J]. 复旦学报(自然科学版), 2019, 58(1): 34-42.

YANG H L,GAO Y Q,XIN S C, et al. The interest rate of income/expenditure of export sea and land warehouse financing has been optimized[J]. Journal of Fudan University(Natural Science), 2019, 58(1): 34-42. (in Chinese)

[17] LIU H Y, MAO T T. Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk [J]. Insurance: Mathematics and Economics, 2022,107(11): 393-417.

Options

Outlines

模态框（Modal）标题

Abstract

Cite this article

References