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200066:100026788(2000)0620054205,(,100084):,VaR(ValueatRisk,),L,L:;;;:F84aRiskManagementofMaterialPurchaseCHENWu,YANGJia2ben(AutomationDepartment,TsinghuaUniversity,Beijing100084)Abstract:Thepaperoffersananalysisoftherisksinmaterialpurchaseofenterprises,andputsforwardthemethodofusingVaR(ValueatRisk)toevaluatetherisks.Thisapproachenableseffectiveriskdecisiontobemadeonthebasisofquantifiedriskmea2sure.Takepetrochemicalenterprisesasanexample,thisthesishasverifiedtheefficien2cyofthisapproach.Keywords:materialpurchase;riskanalysis;riskmanagement;valueatrisk1,,,,,,,L,,,[1,2]L,,,[3]L,,L45.3%,,,6%,3%,,6%L,,64%,80%[3]LL10%,:45.3à10à+5.6à=10.13à81%L,,L,,,La:1998211224©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,L,,,VaR(ValueatRisk,VaR,),,VaR,L22.1,,,L,,,,,,,L[2],,,L,JIT,,,L,,,;,,;,,L,L,,,[4,5]L,,;,,,,L,1998,19ö,,,OPEC,,12ö,13ö,,50%,LL,L,,,;,,LL,80%,85%,,1,8.1(7.5)L19ö500,000,,:500,0008.1=4,050,000,,13ö,L8.1ö,:5000000(8.1-7.5(19-13))=5000000(-36.9)=-180450000,,500,000,18,450,000L6,000,000,:6000000008.1=48060000008.3%,1804500000ö(4806000000-1804500000)=61.2à,,L,L556©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.2.2,,,,,,L,,,L[2],[2,6]L,,,,,,L:,,,,,L,,L,,,,L,L,,,,L:L()L,,,LL,L,VaRL3VaRX,,,,X:R2=E(X-X{)2,R=E(X-X{)2XvX;RXLVaRL3.1VaRVaR(ValueatRisk),,,VaRLVaR,,VaRLVaR,,L,VaR595%,,55%LVaR,L,,L,,,,VaR6520006©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.[7,8,9]L3.2VaR,VaR:,,,L1VaRVaR,,LVaR,,5%VaR10%VaR,,VaR,,L1L,,,,,L,,,,,L,,1,000,000,2,95%,,R=15%,VaR:VaR=1,000,0001.65R=1,000,00024.75à=247,50001.6595%L1,000,000,5%247,500LVaR,,VaR,,,,VaR,L,,1,R=10%,VaR:VaR=1,000,0001.65R=1,000,00016.5à=165,0003.3VaR,,,,,VaRLVaR,,VaRLn,Ai,Pi,,E($V)=6ni=1AiE($Pi)(Rv)2=6ni=16nj=1AiAjRPiRPjQi,j$V;$Pii;Aii;RPii;Qi,jijLL,,756©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,[10]L,,:(Rv)2=6ni=1(Ai)2(Ri)2VaR:VaR=()Rv,VaRL4VaR,:,;,;;,,Z,,Z,,Z,,ZVaRZ500,000,18ö,:500,0007.518=67,500,000,4,050,000Z,Z4,050,000,0,5àZ:2,95à,1,500,000,,Z:,,R=15à,;Y,VaR:VaR=Y1.65R=Y24.75à=4,050,000Y=16,363,363,16,363,363,:16,363,363ö18=909,090,121,212ZZ,,Z5,,,,(74)8520006©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.n,a,n,a-1.1247GM(1,1)a[1]Z,(2),GM(1,1)a,GM(1,1)GM(1,1)Z,(2)GM(1,1),,a:-6n5n-3a0,-2n2n-1a0,x3n,a-4n4n-2,x3n,-6n5n-3a-5.1398n4.5699n-2.5699,Z4(É)(2)GM(1,1),GM(1,1),,GM(1,1),LGM(1,1)(z(1)(k+1)=0.5x(1)(k)+0.5x(1)(k+1)),(2)GM(1,1)a,x3n,x3na,aZ(2)GM(1,1),GM(1,1),GM(1,1)Z:[1],.GM(1,1)[J].,1997,15(2):1315.[2],.GM(1,1)[J].,1997,17(12):129133.[3].[M].:,1986.[4],.[M].:,19961(58),ZVaR,,,,,Z,VaR,ZVaR,,,,Z:[1].[M].:,1984.[2].[M].:,1996.[3],.[M].:,1988.[4]KevinParker.Betterbuying[J].ManufacturingEngineer,1997,118(2):2527.[5],[J].,1998(1):2729.[6],.[M].:,1998[7].[J].,1998(1):5560.[8]JPMorganCorporation[EBöOL].http:ööö.[9],.[J].,1998,16(4):4549.[10].[J].,1998(2):7681.4720006©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.
本文标题:采购过程风险管理
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