金融衍生工具的思想在管理供应链风险中的应用

分析了如何用金融衍生工具的思想来管理供应链风险的价值和影响,该分析基于简单的两阶段供应链,即在供应链中,零售商既可以直接购买产品,又可以购买产品的期权。首先求解零售商的最优订货政策、供应商的最优生产政策,并给出最优期望利润的解析表达式;然后说明期权是如何帮助提高信息分享、鼓励风险分担以及提高供应链管理的效率的。讨论了期权对激励供应链参与方以及提高供应链应对环境变化能力的积极作用,并提供了从数值计算得出的观察结果,对供应链参与者有效运用期权、提高利润有借鉴作用。

Managing Supply Chain Risks with Derivatives

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.