供应链外包的DEA和风险价值模型2ppt课件.ppt

1 SupplyChainOutsourcinginEnterpriseRiskManagement ADEAVaRModel DeshengDashWuUniversityofTorontoReykjavikUniversityRiskLabdash risklab ca ExtractedfromOlsonD L andWuD EnterpriseRiskManagement WorldScientificPublisher 2007WuD andOlsonD L AComparisonofStochasticDominanceandStochasticDEAforVendorEvaluation IntJofProductionResearch 2007 1 Nov 2008 2 3 4 Callforpaper Computers OperationsResearch SCI EI Impactfactor1 147 5 Outline IntroductionEnterpriseRiskManagement ERM全面风险管理 SupplyChainOutsourcing VendorEvaluationContribution ERMstepsinSupplyChainOutsourcingRiskDataenvelopmentanalysis DEA ValueatRisk VaR IntuitionConclusionsandFutureResearch 银行链 金融危机 6 ReviewofRiskManagementTools风险管理工具介绍 RiskManagementtoolsmean varianceframeworkofportfoliotheoryi e selectionanddiversification Markowitz1952 CapitalAssetPricingModel Sharpe1964 Lintner1965 Mossin1966 ArbitragePricingTheory Ross 1976 Optionpricingtheory Black1972 Black1973 7 ValueatRisk VaR RiskMetrics Jorion1997 Prob 1dayLoss VaR 1 Min VaR P VaR EnterpriseRiskManagementProfessionalorganization Consultant Ratingagency Academics31 adoptedERMinCanadianrisk insurance Kleffner2003 WhyERM Toyota ReviewofRiskManagementTools cont 8 VariousRisks Measurement 9 DefinitionofERM Systematic integratedapproachManageallrisksfacingorganizationExternalEconomic market price demandchange Financial insurance currencyexchange Political LegalTechnologicalInternalHumanerrorFraudSystemsfailureDisruptedproduction 10 StochasticORModelsforRiskManagement Beneda 2005 Dash Kajiji 2005 MultiplecriteriaanalysisSubjectiveSimulationProbabilistic Canbesubjective systemdynamics Dataenvelopmentanalysis DEA OptimizationObjective subjective probabilistic 11 ERMResearchandSteps Step1 Determinethecorporation sobjectivesStep2 Identifytheriskfactors exposuresStep3 Quantifythefactors exposuresAssesstheimpactStep4 ExaminealternativeriskmanagementtoolsStep5 SelectappropriateriskmanagementapproachStep6 Implementandmonitorprogram Morethan80frameworks problem oriented descriptive frameworks 12 SpecificERM SupplyChainOutsourcingRisk Supplier Manufacturer Retailer Endcustomer Warehouse ASupplyChainModel 13 SupplyChainVendorSelection SupplyChainVendorSelectiongoodsinputbads risk uncertainty risk uncertainty Efficiency output input 14 DataEnvelopmentAnalysis DEA Deterministic Charnes Cooper Rhodes nVendors DMUs tobeevaluated mdifferentinputsXij sdifferentoutputsYrj ThedeterministicDEAmodel DEAefficiencyforDMUj 15 DeterministicDEA cont CCRMultiplierform 16 DEAVaR Stochasticmodel j aspirationlevel j riskcriterion 0 j j 1Intuition 1 Atwhatconfidencelevel itisefficienttoselectthe thVendor 2 Atwhatconfidencelevel itisenoughtoreducethe thcostinordertomakethe thVendorefficient 1 17 StochasticDEA Assumingmultivariatenormaldistribution 2 Equivalentlinearprogramming 3 18 MetricsinVendorSelection Olson Wu 19 DataSetMoskowitz Tang Lam 2000 DecisionSciences31 327 360 20 Sampledatademonstration 21 SimulatedweightsandParameterSensitivity EqualweightsUsefultoidentifydominatedsolutions V20 03 V40 08 V60 36 V80 53 OrdinalweightsReflectdecisionmakerpreferenceMoreusefultomakedecision selectnondominatedsolutionsUsedcentroidweights Olson Dorai V20 71 V40 22 V60 07 V80 Adjustedriskcriterion0 j 1AdjustedRHSswith j 22 DEAefficiencyscores equalweight 23 ExplanationofResults Self RatedScore 95 40 V Mean V1 Cross RatedScore 94 33 V Mean V2 95 chance V1selectV6 V7 24 ExplanationofResults 95 chance V3nondominatedHow Slacks4 Quality 5 5 DeliveryRawdata Quality85 5 1 Delivery70 5 5 25 Rankings StochasticDEA StochasticefficiencywithoutweightrestrictionDiagonalV4 V5 V8 V2 V1 V3 V7 V9 V6UsingaveragesV8 V4 V9 V7 V3 V6 V2 V1 V5StochasticefficiencywithweightrestrictionDiagonalV8 V5 V4 V2 V3 V7 V1 V6 V9UsingaveragesV2 V8 V3 V7 V5 V4 V6 V1 V9 26 ClassicalDeterministicDEAResults DeterministicCCRWithoutweightrestrictionAll 1 000Withweightrestriction V2V3V4V5V7V8 V6 V9 V1SuperCCRWithoutweightrestrictionV5 V6 V3 V4 V8 V7 V2 V1 V9WithweightrestrictionV2 V3 V8 V4 V7 V5 V6 V1 V9Benchmarking V2V4V6V8 27 Implications Benchmarking V2V4V6V8 DifferentMethods DifferentResultsClassicalDEA SuperCCRfailNon dominated V2 SuperCCRwithweight 28 ConclusionsandFutureResearch RiskmanagementofgrowingimportanceORModelsusefulinRMDEAmethodscandealwithhighlevelsofcomplexityDEAVaRModelTimehorizon 29 TwovariationsCost oriented 30 TwovariationsBenefit oriented 31 TheCrisis MortgageBankingChain金融危机 房地产银行链 Before TraditionalRelationshipbetweenBorrowerandCreditor Bank Borrower Paysinterestandprincipal Lendsmoney Managesdelinquencies 32 TheCrisis MortgageBankingChain金融危机 房地产银行链 Now MortgageBroker Creditors Banksandothers Borrower Loan Servicer Monthlypayments IssuerofStructuredProducts