违约风险下的供应商关系策略模型

上海交通大学硕士学位论文违约风险下的供应商关系策略模型姓名：江颖申请学位级别：硕士专业：管理科学与工程指导教师：王丽亚2006020120062222006222200622212SupplierRelationshipStrategyModelUndertheSupplier’sDefaultRiskABSTRACTSupplychainiscomposedofsuppliers,producers,retailersandcustomers.Andtherelationshipwiththesupplier,whichhasdirectimpactonthelogisticquality,cashflow,andproductioncost,isakeyelementinaproducer’ssupplychainstrategies.Mostproducershavechangedfromsimpleorderingtosupplierrelationshipmanagementorientedsupplierpartnershipbuilding,soastoreducethetotaloperationcost.However,whenmakingsupplierrelationshipstrategies,allkindsofrisksandactionstoavoidtherisksshouldbeconsidered.Thisarticleappliestheassetpricingtheorytomeasuretheoperationrisksofthesupplier,andsetsupastochasticprocessasthebasistohaveaquantitativestudyofthedefaultriskofthesupplier.Andthearticleconsidersbothorderingstrategyandsidepaymentstrategytominimizethecostbroughtbythedefaultriskofthesupplier.Italsousesdynamicprogrammingtoapproximatetheperiodicaldecisionprocessoftheproducersintherealworld.Themodelcanbederivedintoamulti-suppliersituation,whichisusefulintheresearchofthecomparisonbetweenthesinglesourcingstrategyandthesuppliersportfoliomanagementstrategy.3Keywords:supplierrelationshipstrategy,defaultrisk,assetpricing,dynamicprogramming61.1[1]71.21.2.1(SupplychainPartnerships)Ellram(1991)Stuart(1993)Graham(1994)Landeros(1995)Hendrick(1995)(PromiseandEffectiveness)(SupplyAlliances)Matthyssense(1993)VandenBulte(1994)Manoochehri(1994)(Win-Win)ElanStuart(1997)Dwyer(1987)Ellram(1991)Landeros(1995)[2,3,4]1.2.2SingleSourcingandSupplierCertificationSupplierPortfolioManagement8/1234569123456[5,6,7,8]1.2.3[9,10,11,12]ABC[4,5,6,7][13,14,15]1.2.4(VMI)10VMIVMIJITJITJIT50JITJIT()(ESI)ESI[16,17,18]1.2.5[10,20]1.3VolodymyrBabich111.41234122.12.1.1132.1.22.1.3142.1.42.22.2.1152.2.2semi-strongeffectivemarket[30][30]P=D1/k-g;g=RR*ROEk=RFR+(Rm-RFR)P-D1-k-g-RFR--Rm-16[30]F1F1F2[32]2.2.3GeometricBrownianMotion[22]dS=r*Sdt+SdW(t)2.1S-r-riskneutralinterestrate17t--W(t)-WienerProcessWienerProcess1W(0)=0;2WienerProcessrstuW(u)-W(t)W(s)-W(r)3stW(t)-W(s)N(0,(t-s)^(1/2))4W(t)t2.1rSdt,,SdWS0tW(t)N(0,t^(1/2))StS0[22]S12()()20(2.2)rtWttSSeσσ−+=182.2.4[32]Y-z-a-F1-F2-2.32212211210(,,,)*(2.3)aFaFYazFFzFaFFFzFa−=≤−≤192.4F1F2JITVMI20BackwardRecursion[31]ttx-a-D-c-s-v--DcDctz-ξ-t-Y(z,)-2.2T-3T-3T-2T-1aaT-2T21azxatxastateT-n,xT-n,aT-nT-2xT-2,aT-2(T-1,xT-1,aT-1)[31]a)T1)21()2(,,)[((,'))]((,'))(2.4)'(2.5);(0,1);rWJaxzczsEDEPDxYzaEvxYzaDaaeWNσσα−∆+∆=−+−−++−=∆−∼z-222121233()0(),,,00PxpxpxxPxppppxx−+=≥−≤,(2.6)212322211210''(,')*''pxpxpxaFaFYzazFaFFFzFa−−−−−=≤−≤(2.7);(2.8)*0()*00rervxxvxsxxvcα−∆=−−=−≤≤≤riskneutralinterestrate(2.9)c*zEP[(D-x-Y(z,a))]Ev2z(,,,)[((,'))]((,'))(2.10)JaxzaczsEDEPDxYzEvxYzDξξξαξ=−+−+−−++−21()2';(2.11)rWeσσξξ−∆+∆=(0,1);WN∆−∼-aF1F2czz23,,(,){(,,,)}{[((,'))]((,'))}(2.12)TzzfxaMinJaxzMinaczsEDEPDxYzEvxYzDξξξξξαξ==−+−+−−++−Jzz-afT(x,a)(T,x,a)b)T-1(,,,)[((,'))]((,'),')(2.13)ttJxazaczsEDEPDxYzEfxYzDξξξαξξ=−+−+−−++−21()2(((,')),')(((,')),')(')'(2.14)(')'';(0,1);ttrWEfxYzDfxYzDpdpeWNσσξξξξξξξξξξ−∆+∆+−=+−−=∆−∫∼T-1T-1T1,(,){[((,'))]((,'),')}(2.15)TzTfxaMinaczsEDEPDxYzEfxYzDξξξαξξ−=−+−+−−++−T-1zEfTTxafT(x,a)c)T-nT-1,1(,){[((,'))]((,'),')}(2.16)TnzTnfxaMinaczsEDEPDxYzEfxYzDξξξαξξ−−+=−+−+−−++−24T-n+1fT-nDPFunctionalEquationT,(,){[((,'))]((,'))}(2.18)*0()0*0TzfxaMinczasEDEPDxYzEvxYzDvxxvxvcsxxξξξαξ=+−−+−−++−−=≤≤−≤tT2,11()21(,){[((,'))])}(2.17)';(0,1);;(((,')),')(')';tztrWrtfxaMinczasEDEPDxYzEfeWNerfxYzDpdξσσξξαξξαξξξξ+−∆+∆−∆+=+−−+−−+==−=+−∫∼t+1riskneutralinterestrateEfft(x,a)txa253.1xa3.1.1EvEPEφEft+1a)Ev2.9vv(ξ’)=v(x+Y(z,ξ’)-D)(3.1)2.7'2'''22211212'1''2'''22211212'1*()*(*)**()()*()*(*)**()vxDFxDFFvzxDFFxDzFFFFvzxDFxDzvsxDFxDFFszxDFFxDzFFFFszxDFxDzξξξξξξξξξξξ−−−+−≤−−−+−≤−=−−≤−−−+−≤≤−−−−+−≤≤−(3.2)v(ξ’)ξ’262.1122'''0ln('/)(/2)(3.3)(0,1)ln('/)(/2)()()(3.4)()rWWNrvdxξξσσξξξσξξξσ+∞−−∆=∆−−−∆=Ψ∆Ψ∫∼Ev()(3.2)(3.4)212122''0'2'2122'2'0'212ln('/)(/2)*()()ln('/)(/2)*(*)()ln('/)(/2)*()()ln('/)(/2)*()()*(*)FFFFFrvxDdFrvzxDdFFrvzxDdrsDxdFsDzxFFξξσξξσξξξσξσξξσξσξξσξσξ+++∞++−−∆=−Ψ∆−−−∆++−Ψ−∆−−∆++−Ψ∆−−∆+−Ψ∆−+−−−∫∫∫∫Ev()1212'2'ln('/)(/2)()ln('/)(/2)*()()(3.5)FFFrdrsDxzdξξσξσξξσξσ++∞+−−∆Ψ∆−−∆+−−Ψ∆∫∫b)EPEPY21212''0'2'2122'2123ln('/)(/2)()()ln('/)(/2)(*)()ln('/)(/2)()()(3.6)0()0FFFFrPDxdFrPDzxdFFrPDzxdpxpxxPxpxxξξσξξσξξξσξσξξσξσ+∞−−∆=−Ψ∆−−−∆+−−Ψ−∆−−∆+−−Ψ∆+=−≤∫∫∫EP()P(D-x)P(D-x-z)3.6212'2'2'212ln(/)(/2)()*()ln('/)(/2)(*)()FFFrPDxNFrPDzxdFFξσξσξξξσξσ−−∆=−∆−−−∆+−−Ψ−∆∫EP()2721ln(/)(/2)()*(1())(3.7)FrPDxzNξσσ−−∆+−−−∆•N()c)Eft+1212112'10'2'21122'1(((,')),')(')'ln('/)(/2)((),')()ln('/)(/2)((*),')()ln('/)(/2)((),')()(3.8)tFtFtFtFfxYzDpdrfxDdFrfxzDdFFrfxzDdξξξξξξσξξσξξξσξξσξξσξξσ++++∞+=+−−−∆=−Ψ∆−−−∆++−Ψ−∆−−∆++−Ψ∆∫∫∫∫t+1Ef3.1.2(2.17)ft(x,a)txaMinz,{Jt(x,a,,z)}J(x,a,,z)z,Jz,a)z[0,+),[a,+)nznDz[0,nD];n:21()2';(0,1)rnnWeWNσσξξ−∆+∆=∼P(W-3.1)=0.00121()3.122;rnnFeσσξ−−∆+∆=ξn0.001ξ[a,Max(a,21()3.122rnnFeσσ−−∆+∆)]b)283.1zξZ=0;=a;M=10^10;=L;=LZ’=0;M’=10^10;Jt(x,a,z’,)JtMM=Jt;z=z+znD&(or-)Jtz=M;z=z-JtzMM=Jtz;=+=-/