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

该拨款为开发随机模型和数值工具提供资金，用于分析供应链上违约风险的后果，并设计有弹性的供应链。本研究是多学科交叉的，依托供应链管理、库存管理、产业经济学、金融学、金融工程等学科的成果；运用最优化、博弈论和随机建模工具。在研究过程中，将对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）进行对比。为了评估供应商竞争的重要性，我们将考虑具有固定批发价格和协商价格的模型。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。研究结果将被纳入密歇根大学的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来减轻供应链中违约风险的影响？企业间竞争、信息不对称和动态环境对这些控制的影响如何？风险管理政策对企业激励和竞争的副作用是什么？在竞争激烈的动态环境中，弹性供应链的设计和管理是一个新的研究领域，提出的研究可能会激发学术界对这一领域的进一步兴趣，并激发更多的研究。这种多学科的研究也可以为各个组成学科的研究提供新的前景。

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.