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的制造企业设计风险缓解策略，如飞机，船舶，工厂设备，建筑设备，发电机，铁路车辆，卡车和卡车拖车。该项目通过与波音公司的合作，将飞机制造作为代表性行业。飞机销售需要长期融资。制造商保留其客户违约的风险。如果客户不履行租赁或贷款义务，制造商将不得不在二级市场上转售旧设备。因此，制造商面临旧设备价格下降的风险。制造商还面临利率风险。这三种风险，即客户违约风险、设备价格风险和利率风险，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，以评估需要融资的企业客户交易，包括租赁，贷款，远期承诺和担保，这些风险及其相互依存关系。如果成功的话，本研究的结果将导致更好地了解这些风险对产品定价策略，生产计划策略和风险缓解策略的影响，并将导致整个行业的风险管理最佳实践的飞机制造业的发展。除了对飞机制造业的影响外，这项研究还将有助于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善风险管理，提高美国制造业的竞争力，从而为客户提供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.