Collaborative Research on Risk Management in Supply Chains Using Market Information

利用市场信息的供应链风险管理协作研究

• 批准号: 0905039
• 负责人: Sridhar Seshadri
• 金额: $ 8.79万
• 依托单位: University of Texas at Austin
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-11-01 至 2011-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0905039&HistoricalAwards=false
• 关键词: Collaborative; Research; Risk; Management; Supply

This grant provides funding for the development of risk management tools for supply chains using market information. Preliminary studies have shown that the demand for discretionary purchase items, such as automobiles, apparel, consumer electronics, and home furnishings is correlated with the movement of economic indicators. These findings present an opportunity to use information about market expectations embedded in the prices of financial instruments to improve demand forecasting, production planning, and inventory thus reducing risk. This project aims to establish that the market indicators can be used to plan inventories in supply chains that are optimal not just in a static sense but also dynamically, and to test whether and how the value of the firm is correlated with the economic indicators driving the forecasts. The proposed work also includes the examination of the effect of price information on inventories when the price of the product can be forecasted using prices of traded market instruments. The project consists of four parts: forecasting, optimal decision-making, hedging, and empirical validation. If successful, this research will lead to better understanding of the connections between economic factors with supply chain demand and inventory planning. The results will provide a mechanism to inventory planners to use readily available and reliable market information for inventory planning, profit forecasting, and hedging purposes. They also provide a systematic method for developing and testing profit and risk equations using models of supply chains, and allow the enterprises to better understand how the cost of procurement and the volatility of prices and demand affect risk in a simple and joint manner, and thus, the firms will be able to make use of market factors in designing inventory and production systems.

这笔赠款为利用市场信息开发供应链风险管理工具提供资金。初步研究表明，对汽车、服装、消费电子产品和家居用品等可自由支配的购买项目的需求与经济指标的变动相关。这些研究结果提供了一个机会，利用嵌入在金融工具价格中的市场预期信息来改善需求预测，生产计划和库存，从而降低风险。该项目旨在确定市场指标可用于计划供应链中的库存，不仅在静态意义上而且在动态意义上都是最佳的，并测试公司价值是否以及如何与推动预测的经济指标相关。拟议的工作还包括审查在可以利用市场交易工具的价格预测产品价格的情况下价格信息对库存的影响。该项目包括四个部分：预测，最优决策，套期保值和实证验证。如果成功，这项研究将导致更好地了解经济因素与供应链需求和库存计划之间的联系。研究结果将为库存规划人员提供一种机制，使他们能够利用现成可靠的市场信息进行库存规划、利润预测和套期保值。它们还提供了一种系统的方法，利用供应链模型制定和检验利润和风险方程，使企业能够更好地了解采购成本以及价格和需求的波动如何以简单和共同的方式影响风险，从而使公司能够在设计库存和生产系统时利用市场因素。