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

供应链中的违约风险管理：简化形式与结构性违约模型

• 批准号: 0457445
• 负责人: Volodymyr Babich
• 金额: --
• 依托单位: Regents of the University of Michigan - Ann Arbor
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2005
• 资助国家: 美国
• 起止时间: 2005-09-01 至 2008-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0457445&HistoricalAwards=false
• 关键词: Default; Risk; Management; Supply; Chains

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.

该赠款为随机模型和数值工具的开发提供资金，这些模型和数值工具将用于分析违约风险对供应链的影响并设计有弹性的供应链。 这项研究是多学科的，依赖于供应链管理、库存管理、产业经济学、金融学和金融工程的成果；并采用优化、博弈论和随机建模工具。 在研究过程中，将比较违约由供应链外生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，将考虑固定批发价格和协商价格的模型。 计算制造商优化问题的解以及供应商之间、供应商与制造商之间博弈的均衡解，并分析各种模型参数，特别是供应商违约的分布对均衡解的影响。 研究结果将纳入密歇根大学研究生和本科生课程。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措施来减轻供应链中违约风险的影响？这些控制措施的有效性如何？企业之间的竞争、信息不对称和动态环境如何影响它们的绩效？风险管理政策对公司激励和竞争有哪些副作用？ 在竞争激烈的动态环境中设计和管理弹性供应链是一个新的研究领域，拟议的研究可能会进一步激发学术界对这一领域的兴趣，并刺激更多的研究。这项多学科研究还可以为每个组成学科的研究提供新的前景。