系统信用事件与信用违约互换估值研究

本文以系统信用事件为载体,研究了双边交易对手风险下信用违约互换(credit default swap,CDS)的估值,研究表明:1)完备的信用事件组将形成一个信用风险系统,并可作为CDS估值的基础;2)在CDS估值中,买方违约的可能性是不可以忽略的.如果忽略,将产生一个错误的定价,并且这个错误的定价将低于真实价值而使信用保护的卖方受到损失;3)CDS交易中的替换成本是不可以忽略的,由于替换成本的存在,CDS合约的价值会发生超常变化,其变化幅度取决于合约当前的市场价格;4)CDS合约价格对参考资产信用价差十分敏感,信用价差的变化,将会显著改变合约的价格.     

考虑电商平台信用支付促销的供应链协调研究

考虑到我国越来越多的电商平台为消费者提供基于互联网的信用支付策略作为重要的促销手段,构建了二级供应链中促销努力水平影响消费者需求的函数,研究其定价和促销努力水平协调问题。利用Stackelberg博弈分析供应链主体间的最优决策,并与集中模式下进行对比分析,为了促使电商平台提高促销努力水平,构建了“成本共担-收益共享”契约达到供应链协调的目的。通过数值分析证明：“成本共担-收益共享”契约对电商平台的促销努力水平具有显著的提升作用;促销努力水平弹性系数对于促销努力水平具有一定的影响,在一定区间内,增加促销努力水平弹性系数将使供应链各企业的利润增加,一旦促销努力弹性系数超过一个临界值就会使得供应链各主体的利益受损。     

信用担保与下侧风险控制下零售商资金约束供应链订货与定价策略

针对供应商、零售商和商业银行组成的供应链系统,考虑当零售商面临资金约束时,通过供应商信用担保贷款模式缓解零售商资金约束对供应链总体利润的影响.构建零售商和供应商期望利润模型,分别讨论银行风险中性及下侧风险控制下的零售商订货与供应商定价决策,并利用斯坦克尔伯格博弈求解.最后,对供应商担保系数、银行风险容忍系数进行灵敏度分析.研究表明:1)给定担保系数,只有当风险容忍系数小于一定的阈值时,银行下侧风险控制才会影响零售商以及供应商的最优决策;2)给定风险容忍系数,只有当担保系数小于一定的阈值时,供应商担保系数才会影响零售商以及供应商的最优决策;3)银行贷款限额是担保系数、风险容忍系数的严格递增函数.     

考虑产品替代的供应链协调问题研究

替代品大大增加了企业间的竞争,使企业难以达到所期望的盈利水平.对供应链进行合理有效的管理可最大限度地促进企业适应当今多变的市场环境.人们对于产品的需求不仅仅取决于产品本身的价格,也取决于互补产品的价格.对此,构建一个以产品替代的供应链协调问题为研究目标,以两种供应链管理模式(集中供应链(CSC)和分散供应链(DSC))...     

模糊环境下考虑零售商风险偏好的绿色供应链博弈模型

在模糊需求环境下绿色供应链运作系统中,研究由单一制造商和单一零售商组成的两级绿色供应链.首先,引入创新成本,分别建立风险中性制造商为主导者,具有中性、悲观和乐观等风险偏好的零售商为跟随者的两级绿色供应链Stackelberg博弈模型;然后,推导出最优决策的期望值和机会约束规划模型,并进行算例分析,比较产品绿色度、批发价...     

基于供应链金融违约风险的保理决策收益模型仿真*

为分析供应链上、下游企业以及保理商等主体在参与应收账款保理时的最佳决策,在报童模型基础上,建立市场需求随机波动情景下供应链上游企业、下游企业和保理商期望收益模型,在模型中引入下游企业违约风险,并对模型进行数值仿真。研究结果表明,供应链上游企业和下游企业可在保理情况下分别制定最优批发价格决策和最优订货数量决策,使得双方收益均超过不保理情况下的水平。当下游企业违约风险相对较小时,采取保理可以提高供应链上下游企业各自的期望利润,同时降低批发价格,提高订货量。保理商选择的最优保理费率则随着下游企业违约风险的增加而提高。     

考虑中断风险的供应链选址博弈研究

供应链管理模式作为在当代高度竞争市场环境下能够有效提升企业竞争优势的主要工具,获得了业界和学界的高度认可。但同时供应链的开放性和可扩展性所蕴含的潜在中断风险成为决策者无法回避的重大问题。基于动态博弈模型研究了一类供应链中断风险问题,构建了两阶段两人动态博弈模型,并求解了最优解。最后通过模拟算例对该模型进行了验证。     

考虑风险规避的闭环供应链差别定价协调模型

针对再制造成本不确定条件下考虑制造商风险规避特性的新产品与再制造产品差别定价协调问题, 采用均值—方差方法衡量该问题的最优定价决策。在分散化决策下, 采用Stackelberg博弈理论研究价格差敏感系数和制造商风险规避度对闭环供应链定价策略的影响, 然后以集中化决策作为研究基准, 指出分散化决策存在双重边际效应。为消除利益损失, 提出一种收益共享一风险共担契约来协调闭环供应链, 研究表明, 该协调契约能有效实现风险规避下闭环供应链的协调。最后运用数值分析方法对无协调和有协调时的闭环供应链定价策略进行比较研究, 并进一步探讨价格差敏感系数和制造商风险规避度对闭环供应链定价策略以及协调性能的影响。     

考虑风险规避与质量和服务水平的VMI供应链期权协调策略

针对一个考虑风险规避供应商与质量和服务水平的二级VMI供应链,应用条件风险价值(CVaR)准则刻画供应商的风险规避行为,提出由期权和成本分担构成的组合契约,构建以零售商为主导的Stackelberg博弈模型,探讨供应链协调策略以及风险规避对供应链协调和利润分配的影响.研究表明,供应商的最优生产量随着其风险规避程度的增加而减小,但最优质量和服务水平与风险规避程度无关;当且仅当供应商风险规避程度较低时供应链才能实现协调,且供应商风险规避程度是影响供应链契约设计和利润分配的关键因素.     

考虑风险容忍度的双渠道绿色供应链运营决策及协调研究

针对双渠道绿色供应链,在考虑各方不同风险容忍度的基础上,构建以制造商为主导的供应链博弈模型,利用均值方差法分析集中式决策和批发价格契约下参与方的运营决策和期望利润,并设计协调契约.研究发现:在批发价格契约下,产品绿色度与制造商风险容忍度正相关,与零售商风险容忍度无关;最优零售价格均与双方风险容忍度正相关,且线上价格基准系数与直销价格负相关,与零售价格正相关;当绿色产品对消费者需求影响较大时,零售商的期望利润与制造商风险容忍度正相关.带有转移支付的反向收益共享与成本分担组合契约可实现双渠道绿色供应链的协调.     

The optimal retailer's ordering policies with trade credit financing and limited storage capacity in the supply chain system

The traditional economic order quantity model assumes that the retailer's storage capacity is unlimited. However, as we all know, the capacity of any warehouse is limited. In practice, there usually exist various factors that induce the decision-maker of the inventory system to order more items than can be held in his/her own warehouse. Therefore, for the decision-maker, it is very practical to determine whether or not to rent other warehouses. In this article, we try to incorporate two levels of trade credit and two separate warehouses (own warehouse and rented warehouse) to establish a new inventory model to help the decision-maker to make the decision. Four theorems are provided to determine the optimal cycle time to generalise some existing articles. Finally, the sensitivity analysis is executed to investigate the effects of the various parameters on ordering policies and annual costs of the inventory system.     

Two-echelon trade credit financing for perishable items in a supply chain when demand depends on both selling price and credit period

A profitable decision policy between a supplier and the retailers can be characterized by an agreement on the trade credit scenario such as permissible delay in payments. In real life business, we observe that the demand is a function of both the selling price and credit period rather than the constant demand. Incorporating this demand function to the retailer of a supply chain, we develop an EPQ – based model for perishable items under two-echelon trade financing. The purpose of this paper is to maximize the profit by determining the optimal selling price, credit period and replenishment time. It is shown that the model developed by Jaggi et al. [Jaggi, J. K., Goyal, S. K., & Goel, S. K., 2008. Retailer’s optimal replenishment decisions with creditlinked demand under permissible delay in payments. European Journal of Operational Research, 190, 130–135] can be treated as a special case of this paper. Finally, through numerical examples, sensitivity analysis shows the influence of key model parameters.     

The EPQ model under conditions of two levels of trade credit and limited storage capacity in supply chain management

An inventory problem involves a lot of factors influencing inventory decisions. To understand it, the traditional economic production quantity (EPQ) model plays rather important role for inventory analysis. Although the traditional EPQ models are still widely used in industry, practitioners frequently question validities of assumptions of these models such that their use encounters challenges and difficulties. So, this article tries to present a new inventory model by considering two levels of trade credit, finite replenishment rate and limited storage capacity together to relax the basic assumptions of the traditional EPQ model to improve the environment of the use of it. Keeping in mind cost-minimisation strategy, four easy-to-use theorems are developed to characterise the optimal solution. Finally, the sensitivity analyses are executed to investigate the effects of the various parameters on ordering policies and the annual total relevant costs of the inventory system.     

Supply chain model with price- and trade credit-sensitive demand under two-level permissible delay in payments

This article develops a single-manufacturer and single-retailer supply chain model under two-level permissible delay in payments when the manufacturer follows a lot-for-lot policy in response to the retailer's demand. The manufacturer offers a trade credit period to the retailer with the contract that the retailer must share a fraction of the profit earned during the trade credit period. On the other hand, the retailer provides his customer a partial trade credit which is less than that of the manufacturer. The demand at the retailer is assumed to be dependent on the selling price and the trade credit period offered to the customers. The average net profit of the supply chain is derived and an algorithm for finding the optimal solution is developed. Numerical examples are given to demonstrate the coordination policy of the supply chain and examine the sensitivity of key model-parameters.     

基于模糊聚类的电力供应链安全风险监测研究

在电力供应链安全风险监测中,针对传统方法下的电力供应链稳定性较低的问题,提出一种基于模糊聚类的电力供应链安全风险监测方法,利用模糊聚类算法对电力供应链中存在的不良数据进行辨识,利用不良数据并结合电力供应链的自身特点,建立基于不良数据的电力供应链安全风险识别模型对电力供应链进行安全风险识别,对安全风险识别数据进行归一化处理与分类处理,实现电力供应链的安全风险监测。为了验证该方法下的电力供应链稳定性,与传统方法进行对比实验,得出结果为该方法与基于决策树规则提取的电力供应链安全风险监测方法、基于稳定特征向量的电力供应链安全风险监测方法、基于Relief算法的电力供应链安全风险监测方法下的电力供应链稳定性分别为86.2%、72.2%、63.3%、42.6%,通过比较可知,该方法能够使电力供应链保持较高的稳定性。     

Knowledge mapping of supply chain risk research based on CiteSpace

Supply chain risk is a relatively new research field, and research results have been published in journals, and in master and doctoral articles. In this article, we first performed a quantitative analysis of existing literature on supply chain risk indexed in Web of Science (WOS). Then, we analyzed the author, institution, keywords, research hotspot, and cocited literature of existing publications in the research field of supply chain risk by using CiteSpace. The aim of this study is to investigate the trend, geographical distribution, author distribution, research field, keywords, keyword clustering, and other features of scientific articles on supply chain risk published in global journals, using the most advanced bibliometric analysis tools. The results of this study can be used to determine the most influential research institutions and authors in the research field of supply chain risk, as well as the research hotspots in different periods, and different research directions in this field.     

Research on pricing and coordination strategy of green supply chain under hybrid production mode

In order to investigate the pricing and coordination issues of single-period green supply chain, we base our work on the market demand that green product and non-green products co-exist with and substitute each other, and examine respectively the equilibrium results for two production modes in cooperative game and non-cooperative game. Theoretical analysis indicates that different production costs will post impact on the choice of production modes by manufacturers when consumers have different valuations of the products. Furthermore, system performance in cooperative game is apparently better than that in non-cooperative game. The cooperative pricing strategy coordinated by Rubinstein bargaining can realize the pareto optimization of supply chain system profits and member profits under different production modes, with a 33.3% increase in system profits from that in non-cooperative game. The numerical examples further validate the validity of this coordinated pricing strategy.     

带有风险规避型销售商的供需链协调

以一个两阶段的供需链系统为背景，针对供需链上决策激励不一致和风险规避效应导致供需链低效的问题，研究了在实践中广泛应用的利益共享合同和批量折扣合同对供需链协调性的影响．证明了两种合同均可克服双重边际效应和风险规避效应，使得供需链协调．并给出了合同参数的设计方案，同时指出在实施上，利益共享合同需强制执行，批量折扣合同自动执行．     

考虑信用融资的期权和实物产品最优组合采购策略

分析由零售商和银行组成的供应链系统, 在零售商面临资金约束的条件下, 通过引入期权采购和信用融资的组合方式, 实现企业的资金风险降低和运作效率提升. 通过建立博弈模型分析得出零售商的最优实物产品采购量和最优期权采购量的显性表达式, 证明银行的最优信用借款利率的存在性和唯一性条件. 通过比较存在资金约束情形下的其他运作方式, 发现信用融资是最有效的决策方式, 可以提升零售商的绩效, 最大可能实现全局最优.