산업경영시스템학회지 (Journal of Korean Society of Industrial and Systems Engineering)

  • 제38권3호
  • /
  • Pages.39-48
  • /
  • 2015
  • /
  • 2005-0461(pISSN)
  • /
  • 2287-7975(eISSN)
한국산업경영시스템학회 (Society of Korea Industrial and System Engineering)
권호 표지
DOI QR코드

DOI QR Code

뉴스벤더 모델을 이용한 최적 대출금 한도 관리에 관한 연구

A Study on the Optimal Loan Limit Management Using the Newsvendor Model

  • 신정훈 (한양대학교 일반대학원 경영컨설팅학과) ;
  • 황승준 (한양대학교 경상대학 경영학부)
  • 투고 : 2015.04.28
  • 심사 : 2015.09.03
  • 발행 : 2015.09.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

In this study, granting the optimal loan limit on SME (Small and Medium Enterprise) loans of financial institutions was proposed using the traditional newsvendor model. This study was the first domestic case study that applied the newsvendor model that was mainly used to calculate the optimum order quantity under some uncertain demands to the calculation of the loan limit (debt ceiling) of institutions. The method presented in this study made it possible to calculate the loan limit (debt ceiling) to maximize the revenue of a financial institution using probability functions, applied the newsvendor model setting the order volume of merchandise goods as the loan product order volume of the financial institution, and proposed, through the analysis of empirical data, the availability of additional loan to the borrower and the reduction of the debt ceiling and a management method for the recovery of the borrower who could not generate profit. In addition, the profit based loan money management model presented in this study also demonstrated that it also contributed to some extent to the prediction of the bankruptcy of the borrowing SME (Small and Medium Enterprise), as well as the calculation of the loan limit based on profit, by deriving the result values that the borrowing SME (Small and Medium Enterprise) actually went through bankruptcy at later times once the model had generated a signal of loan recovery for them during the validation of empirical data. accordingly, The method presented in this study suggested a methodology to generated a signal of loan recovery to reduce the losses by the bankruptcy.

키워드

참고문헌

  1. Choi, S.Y. and Ruszczynski, A., Risk-averse newsvendor with law invariant coherent measure of risk. Operation Research Letters, 2008, Vol. 36, pp. 77-82. https://doi.org/10.1016/j.orl.2007.04.008
  2. Ismail, B.E. and Louderback, J.G., Optimizing and satisfying in stochastic cost volume-profit Analysis. Decis Sci, 1979, Vol. 10, pp. 205-217. https://doi.org/10.1111/j.1540-5915.1979.tb00019.x
  3. Jaedicke, R.K. and Robichek, A.A., Cost-Volume-Profit Analysis Under Conditions of Uncertainty. The Accounting Review, 1964, pp. 917-926.
  4. Johnson, G.L. and Simik, S.S., Multiproduct C-V-P Analysis Under Uncertainty. Journal of Accounting Research, 1971, Vol. 9, pp. 278-286. https://doi.org/10.2307/2489934
  5. Kabak, I. and Schiff, A., Inventory models and management objectives. Sloan Manange Rev, 1978, Vol. 10, pp. 53-59.
  6. Magee, R.P., Cost-Volume-Profit Analysis, Uncertainty and Capital Market Equilibrium. Journal of Accounting Research, 1975, Vol. 13, pp. 257-266. https://doi.org/10.2307/2490363
  7. Petrovic, D., Petrovic, R., and Vujosevic, M., Fuzzy models for the newsboy problem. Int J Prod Econ, 1996, Vol. 45, pp. 435-441. https://doi.org/10.1016/0925-5273(96)00014-X
  8. Qin, Z. and Kar, S., Single-period inventory problem under uncertain environment. Applied Mathematics and Computation, 2013, Vol. 219, pp. 9630-9638. https://doi.org/10.1016/j.amc.2013.02.015
  9. Schweitzer, M.E. and Cachon, G.D., Decision bias in the newsvendor problem with a known demand distribution: experimental evidence. Management. Science, 2000, Vol. 46, pp. 404-420. https://doi.org/10.1287/mnsc.46.3.404.12070
  10. Tsay, A.A., Risk sensitivity in distribution channel partnerships : implications for manufacturer return policies. J. Retail, 2002, Vol. 78, pp. 147-160. https://doi.org/10.1016/S0022-4359(02)00070-2
  11. Wu, M., Zhu, S.X and Teunter, R.H., A risk-averse competitive newsvendor problem under the CVaR criterion. Int. J. Production Economics, 2014, Vol. 156, pp. 13-23. https://doi.org/10.1016/j.ijpe.2014.05.009
  12. Zhang, Y. and Wang, S., Loan to Value to Newsvendor Based on Stock Document Mortgage. Industrial Engineering and Engineering Management, 2007, pp. 1694-1698.