供应链外包的DEA和风险价值模型2.ppt

SupplyChainOutsourcinginEnterpriseRiskManagement:ADEAVaRModel,DeshengDashWuUniversityofTorontoReykjavikUniversityRiskLabdashrisklab.ca,ExtractedfromOlsonD.L.andWuD.EnterpriseRiskManagement.WorldScientificPublisher.2007WuD.andOlsonD.L.AComparisonofStochasticDominanceandStochasticDEAforVendorEvaluation.IntJofProductionResearch.2007(1).,Nov,2008,Callforpaper,ComputersLintner1965;Mossin1966)ArbitragePricingTheory(Ross,1976)Optionpricingtheory(Black1972;Black1973),ValueatRisk(VaR),RiskMetrics(Jorion1997)Prob1dayLossVaR=1-MinVaRP(VaR)EnterpriseRiskManagementProfessionalorganization,Consultant,Ratingagency,Academics31%adoptedERMinCanadianriskCanbesubjective(systemdynamics)Dataenvelopmentanalysis(DEA)OptimizationObjective,subjective,probabilistic,ERMResearchandSteps,Step1:DeterminethecorporationsobjectivesStep2:Identifytheriskfactors,exposuresStep3:Quantifythefactors,exposuresAssesstheimpactStep4:ExaminealternativeriskmanagementtoolsStep5:SelectappropriateriskmanagementapproachStep6:Implementandmonitorprogram,Morethan80frameworks:problem-oriented,descriptive,frameworks,SpecificERM:SupplyChainOutsourcingRisk,Supplier,Manufacturer,Retailer,Endcustomer,Warehouse,ASupplyChainModel,SupplyChainVendorSelection,SupplyChainVendorSelectiongoodsinputbads(risk,uncertainty?)(risk,uncertainty?)Efficiency=output/input,DataEnvelopmentAnalysis(DEA)-DeterministicCharnes,Cooper,Rhodes,nVendors(DMUs)tobeevaluated.mdifferentinputsXij,sdifferentoutputsYrj.,ThedeterministicDEAmodel,DEAefficiencyforDMUj:,DeterministicDEA(cont.),CCRMultiplierform,DEAVaR-Stochasticmodel,j:aspirationlevel;j:riskcriterion;0j,j1Intuition:1)Atwhatconfidencelevel,itisefficienttoselectthe?thVendor?2)Atwhatconfidencelevel,itisenoughtoreducethe?thcostinordertomakethe?thVendorefficient?,(1),StochasticDEA,Assumingmultivariatenormaldistribution:,(2),Equivalentlinearprogramming:,(3),MetricsinVendorSelectionOlson&Wu,DataSetMoskowitz,Tang&Lam,2000,DecisionSciences31,327-360,Sampledatademonstration,SimulatedweightsandParameterSensitivity,EqualweightsUsefultoidentifydominatedsolutionsV20.03,V40.08,V60.36,V80.53OrdinalweightsReflectdecisionmakerpreferenceMoreusefultomakedecision:selectnondominatedsolutionsUsedcentroidweightsOlson&DoraiV20.71,V40.22,V60.07,V80Adjustedriskcriterion0j1AdjustedRHSswithj,DEAefficiencyscores:equalweight,ExplanationofResults,Self-RatedScore:95.40=V*Mean(V1)Cross-RatedScore:94.33=V*Mean(V2)95%chance,V1selectV6,V7,ExplanationofResults,95%chance,V3nondominatedHow?Slacks4%Quality+5.5%DeliveryRawdata:Quality85(5.1)Delivery70(5.5),Rankings:StochasticDEA,StochasticefficiencywithoutweightrestrictionDiagonalV4V5V8V2V1V3V7V9V6UsingaveragesV8V4V9V7V3V6V2V1V5StochasticefficiencywithweightrestrictionDiagonalV8V5V4V2V3V7V1V6V9UsingaveragesV2V8V3V7V5V4V6V1V9,ClassicalDeterministicDEAResults,DeterministicCCRWithoutweightrestrictionAll=1.000WithweightrestrictionV2V3V4V5V7V8V6V9V1SuperCCRWithoutweightrestrictionV5V6V3V4V8V7V2V1V9WithweightrestrictionV2V3V8V4V7V5V6V1V9Benchmarking:V2V4V6V8,Implications,Benchmarking:V2V4V6V8DifferentMethods,DifferentResultsClassicalDEA,SuperCCRfailNon-dominated:V2-SuperCCRwithweight,ConclusionsandFutureResearch,RiskmanagementofgrowingimportanceORModelsusefulinRMDEAmethodscandealwithhighlevelsofcomplexityDEAVaRModelTimehorizon,TwovariationsCost-oriented,TwovariationsBenefit-oriented,TheCrisis:MortgageBankingChain金融危机:房地产银行链,Before:,TraditionalRelationshipbetweenBorrowerandCreditor,Bank,Borrower,-Paysinterestandprincipal,-Lendsmoney-Managesdelinquencies,TheCrisis:MortgageBankingChain金融危机:房地产银行链,Now:,MortgageBroker,Creditors:Banksandothers,Borrower,Loan,Servicer,Monthlypayments,IssuerofStructuredProducts-securities-(SIV),Monthly