GOALI: Modeling and Managing Customer Default Risk in a Manufacturing Enterprise

该赠款为开发随机模型和计算工具提供资金，以分析客户违约风险，并为生产需要长期融资的重型设备（如飞机、船舶、工厂设备、建筑设备、发电机、铁路库存、卡车和卡车拖车）的制造企业设计风险缓解策略。该项目通过与波音公司的合作，将重点放在作为代表性产业的飞机制造业上。飞机销售需要长期融资。制造商仍然承受着客户违约的风险。如果客户拖欠租赁或贷款，制造商将不得不在二级市场转售二手设备。因此，制造商面临着二手设备价格下降的风险。制造商还面临利率风险。客户违约风险、设备价格风险和利率风险这三种风险是相互关联的。研究目标是开发一个理论上一致的随机建模框架及其计算实现，以评估需要融资的制造商-客户交易，包括租赁、贷款、远期承诺和担保，以及这些风险及其相互依赖性。如果取得成功，这项研究的结果将导致更好地了解这些风险对制造企业的产品定价策略、生产计划策略和风险缓解策略的影响，并将导致飞机制造业全行业风险管理最佳做法的发展。除了对飞机制造业的影响外，本研究还将帮助其他需要长期融资的重型设备制造业，从而使制造商面临客户违约的风险。这项研究有可能通过改进风险管理来提高美国制造业的竞争力，这将转化为对客户更具竞争力的产品定价。

This grant provides funding for the development of stochastic models and computational tools to analyze customer default risk and to design risk mitigation strategies in a manufacturing enterprise producing heavy equipment that requires long-term financing, such as aircraft, ships, factory equipment, construction equipment, electric power generators, rail stock, trucks and truck trailers. The project focuses on aircraft manufacturing as a representative industry through collaboration with Boeing. Aircraft sales require long-term financing. The manufacturer retains exposure to the risk of default by its customers. If the customer defaults on its lease or loan, the manufacturer will have to resell the used equipment in the secondary market. The manufacturer is thus exposed to the risk of declining prices for used equipment. The manufacturer is also exposed to the interest rate risk. The three risks, the customer default risk, equipment price risk, and interest rate risk, are correlated. The research goal is to develop a theoretically consistent stochastic modeling framework and its computational implementation to evaluate manufacturer-customer transactions requiring financing, including leases, loans, forward commitments and guarantees, with regard to these risks and their interdependence. If successful, the results of this research will lead to improved understanding of the impact of these risks on product pricing strategies, production planning strategies, and risk mitigation strategies in a manufacturing enterprise and will lead to the development of industry-wide risk management best practices for the aircraft manufacturing industry. In addition to the impact on the aircraft manufacturing industry, this research will help other manufacturing industries of heavy equipment that require long-term financing and as such expose the manufacturer to the risk of customer default. This research has the potential to contribute to increased competitiveness of the U.S. manufacturing sector through improved risk management that will translate into more competitive product pricing for customers.