Default Risk Management in Supply Chains: Reduced-Form vs. Structural Default Models

这笔赠款为开发随机模型和数字工具提供资金，这些模型和数字工具将用于分析供应链上违约风险的分支，并设计有弹性的供应链。本研究以供应链管理、库存管理、产业经济学、金融学、金融工程学等学科的研究成果为基础，综合运用最优化、博弈论和随机建模工具，是一项多学科的研究。在研究过程中，将对比违约由供应链外部的随机过程驱动的模型(简化形式模型)和违约取决于供应链中企业行为的模型(结构模型)。为了评估供应商竞争的重要性，将考虑具有固定批发价和协商价格的模型。计算了制造商优化问题的解和供应商之间以及供应商与制造商之间博弈的均衡解，并分析了各种模型参数，特别是供应商违约的分布对均衡解的影响。这项研究的结果将被纳入密歇根大学研究生和本科课程的课程。这项研究如果成功，将有助于回答以下问题：管理者可以采用哪些运营和财务控制来减轻供应链中违约风险的影响？这些控制有多有效？企业之间的竞争、不对称信息和动态环境如何影响这些控制的绩效？风险管理政策对企业激励和竞争有什么副作用？在竞争、动态的环境中设计和管理弹性供应链是一个新的研究领域，拟议的研究可能会激发学术界对这一领域的进一步兴趣，并刺激更多的研究。这项多学科研究还可以为在每一个组成部分的学科中进行的研究提供新的视角。

The grant provides funding for the development of stochastic models and numerical tools which will be used to analyze the ramification of default risk on supply chains and to design resilient supply chains. This research is multidisciplinary, relying on the results from supply chain management, inventory management, industrial economics, finance, and financial engineering; and employing optimization, game theory, and stochastic modeling tools. In the course of the research, the models in which defaults are driven by random processes exogenous to the supply chain (reduced-form models) and the models in which defaults depend on the actions of firms in the supply chain (structural models) will be contrasted. To assess the importance of supplier competition, models with the fixed wholesale prices and the negotiated prices will be considered. The solution for the optimization problem of the manufacturer and the equilibrium solution of the games among suppliers and between suppliers and the manufacturer will be computed and the effects of the various model parameters, in particular, the distribution of the supplier defaults, on the equilibrium solution will be analyzed. The results of the research will be incorporated in the curriculum of graduate and undergraduate courses at the University of Michigan.This research, if successful, will help to answer the following questions: what operational and financial controls can managers employ to mitigate the effects of default risk in supply chains?; how effective are these controls and how their performance is affected by the competition among firms, asymmetric information, and dynamic environment?; what are the side effects of risk-management policies on the firms incentives and the competition? Design and management of resilient supply chains in the competitive, dynamic environments is a new research area and the proposed research may kindle further interest in this area in the academic community and stimulate additional research. This multidisciplinary study could also provide new prospective on the research conducted in each of the component disciplines.