Managing Supply Chain Risks with Derivatives

摘要：

In this paper, we discuss the value and impact of derivatives for managing supply chain risks. Our analysis is based on a simple two-stage supply chain in which a retailer can either buy products directly, or purchase options on product. We first derive optimal replenishment policies for the retailer, optimal production policies for the supplier, as well as close-form solutions for optimal expected profits.We then show how options enhance information flows, encourage risk sharing, and improve supply chain efficiency. The paper includes a discussion of how options can be used to align the incentives of supply chain partners, and to improve supply chain responsiveness to changes in the business environment. We also provide analytic and numerical results that provide insight into how supply chain participants could most effectively utilize options to enhance their profitability.

关键词： Risk Management Supply Chain Management Derivatives Options Supply Chain Coordination Contract Management)

作者: Dailun Shi

作者单位: Fudan University

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 1771-1790

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）