天气变动风险,对冲和运作管理决策ppt课件

1、Weather Risks, Hedging and Operations Management/Decisions天气变动风险，对冲和运作管理/决策docin/sundae_meng天气状况：天气状况：“非常非常/ /反常反常”太热太热, ,太冷太冷,“,“热夏热夏”, “”, “凉夏凉夏”,”,多雨天，。多雨天，。 非一定是天灾性非一定是天灾性 台风，洪水，。台风，洪水，。docin/sundae_meng4月天气指数下降了15.5点，跌至102.7点，是自去年10月以来的最低4 4月新增就业人数的下降可月新增就业人数的下降可能至少部分与天气因素有能至少部分与天气因素有关。关。 4 4月的

2、零售销售情况令人失望。我月的零售销售情况令人失望。我们预计们预计4 4月的建筑材料商店销售下月的建筑材料商店销售下降降1.5-2 % 1.5-2 % docin/sundae_meng天气对经济活动影响重大天气对经济活动影响重大 Weather represents an important determinant of demand for many products. 46% of U.S. GDP is affected by weather （ U.S. National Research Council） In the retail sector, Wal-Mart reported

3、 (June 2019): its inventory levels were higher than normal for the second straight quarter as below-normal temperatures crimped demand (Timberlake and Wiles 2019)docin/sundae_meng天气影响重大续）天气影响重大续） The unfavorable weather conditions hurt demand not only in North America, but also in Europe Cadbury Sch

4、weppes beverage business was hit by cold summer weather in 2019, forcing the firm to lower its profit expectations. The company said the poor sales were in line with the industry as a whole where cold and wet weather in 2019 was compared with record summer temperatures in 2019“docin/sundae_meng天气影响重

5、大续）天气影响重大续） Coca-Cola and Unilever also blamed the weather for low sales of soft drink and ice cream products and issued profit warnings, and Nestle attributed its missing the half-year targets to the impact of poor weather on demand for ice-cream and bottled water (Kleiderman 2019) The Hong Kong ba

6、sed Giordano also blamed to the unfavorable weather for its lower sales in 2019 (Lee et al.,2019). docin/sundae_meng天气的自然风险 （Weather Risks） 国民经济中许多重要部门都与天气变化密切相关： 农业、能源电力）、零售，交通、建筑、旅游等 天气变化/变动的不确定性往往引起某些商品的生产成本和市场需求发生很大波动，从而引起企业收益的不确定性变化，这被称为天气风险。李黎，张羽:农业自然风险的金融管理：天气衍生品的兴起, 证券市场导报, 2019年03期 对生产/运作的挑

7、战，但是对 金融财务来说是机会！docin/sundae_meng天气衍生品 （Weather Derivatives） 金融工具，其结算是以一个或多个天气因素为交易对象，比如降水量、积雪深度、气温或风速,开泠气天数，需开暖气天数等。 最早的天气衍生品产生于20世纪90年代中期的能源行业。2019年8月，安然公司与佛罗里达西南电力公司交易了世界上第一笔天气衍生合同。天气衍生产品的出现，主要源于一些公司为解决市场萎缩而设计出来的转移天气风险的工具。 docin/sundae_meng例子：期权 天气期权是一种期货期权，表示投资者在未来某一日期有权买卖某一个天气指数期货合同 天气期权是欧式期权，即

8、买方只能在到期日行使权利，不能提前执行。在期权合约的执行日期，以官方发布天气记录，进行结算 天气期权 - 买入期权和卖出期权 买入期权(Call option) 的买方是为了防止天气的某些因素水平过高，而卖方则认为天气因素不会过高； 卖出期权(Put option) 的买方是为了防止天气的某些因素水平过低，而买方则认为天气因素不会过低 docin/sundae_meng例：11月15日 2月15日，交割日 3月15日费用“临界温度”平均温度 最大赔额买入期权买方docin/sundae_mengUSAUSA天气衍生品合约交易面额天气衍生品合约交易面额（单位：百万美元）（单位：百万美元） $0$

9、1,000$2,000$3,000$4,000$5,000$6,000$7,000$8,000$9,0002000/12001/22002/32003/42004/5CM E W interCM E Sum m erOTC W interOTC Sum m er$2,517$4,339$4,188$4,578$8,363$0$1,000$2,000$3,000$4,000$5,000$6,000$7,000$8,000$9,0002000/12001/22002/32003/42004/5CM E W interCM E Sum m erOTC W interOTC Sum m er$2,51

10、7$4,339$4,188$4,578$8,363 2019/06： $450 亿美元 2019/07：$192亿美元 （来源：)docin/sundae_meng全球天气衍生品合同数量的地区分布全球天气衍生品合同数量的地区分布05 0 01 ,0 0 01 ,5 0 02 ,0 0 02 ,5 0 03 ,0 0 03 ,5 0 04 ,0 0 04 ,5 0 05 ,0 0 02 0 0 0 /12 0 0 1 /22 0 0 2 /32 0 0 3 /42 0 0 4 /5O th e rE u ro p eA s iaN A E a s tN A M w e s tN

11、A S o u thN A W e s t 2019/06： 1百万 份 2019/07： 75万 份亚洲区：日本，韩国，台湾，澳大利亚，印度等docin/sundae_meng回顾李乐德教授的话变动 （Variation是 挑战 时机docin/sundae_mengThree Research Projects Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates (管理天气相关需求的不确定性：定价延迟和与天气指数挂钩的回扣) Joint Optimal Orderin

12、g and Weather Hedging Contract Decisions: a Newsvendor Model (最佳订货量和天气对冲决策：一个报童模型 ) Conditional Weather-Based Rebate and Advance Selling (与天气指数挂钩的有条件回扣和提前销售 )docin/sundae_mengWhy Studying such Problems? Are inventory/operations decisions related to the weather? Not yet, but now we show that they sho

13、uld be Most of the case studies/reports of weather risk hedging/management were based on the relationship between a weather index and net revenue， estimated through historical data, and they ignore the impact on oper. decisions docin/sundae_mengManaging Weather-Related Demand Uncertainty withPrice P

14、ostponement and Weather Rebates管理天气相关需求的不确定性：定价延迟和与天气指数挂钩的回扣合作者：合作者： C. A. Yano（ UC Berkeley ）docin/sundae_meng问题的提出 Consider a manufacturer-retailer supply chain for a seasonal product which is exposed to weather risks The retailer sells the good to the market, whose demand is weather- and price-se

15、nsitive. 我们知道， 由于 Double Marginalization, 供应链的整体效益 未达最优！ docin/sundae_meng矿泉水销售与气温相关性矿泉水销售与气温相关性 R2 = 0,954915,020,025,030,035,040,0Temperatur in C Mineralwasserabsatz in % 19C: sales of mineral water improve significantly7-11 订货系统有多个天气预测变量！docin/sundae_mengThe Supply Chain A risk-neutral or risk-to

16、lerant manufacturer (supplier) sells to a retailer who in turn sells to a market. The retailer chooses both the order quantity and the retail price.我们知道， 由于 Double Marginalization, 供应链的整体效益 未达最优！ docin/sundae_meng问题的提出续）The supplier can offer a weather-linked rebate to encourage the retailer to purc

17、hase more The retailer may be able to increase his profit in two ways: postpone his pricing decision until better information is available about the weather take advantage of a supplier-offered weather rebate contract. Rebate: 退还部分付款 docin/sundae_mengThe Objectives研究目的 To investigate the impact of r

18、ebate on both parties and the supply chain (回扣对制造商/供应商和零售商及供应链的影响) To understand the impact of the timing that the price decision is made, coupled with a rebate program （在有天气回扣协议下定价时机的影响）报童问题的框架In a newsvendor contextdocin/sundae_mengWeather-linked Rebate/Guarantee天气挂钩的回扣/保证协议Such a guarantee can ta

19、ke the form of a rebate scheme that is linked to a weather index (Malinow, 2019)Supporting data have become accessible to the public at a fairly low cost in recent years; e.g., extensive weather data are available at climetrix docin/sundae_meng Examples The market demand is temperature-dependent: th

20、e higher is the average seasonal temperature, the lower is the market demand. For example, a European clothing manufacturer tried to encourage retailers to buy its winter collection early by offering a rebate if adverse weather conditions prevailed. The clothing maker produces winter clothes that ar

21、e usually ordered by retailers in the summer to sell in late autumn and early winter. If the weather is milder than usual during the selling season, sales suffer and retailers are left with a surplus that they cannot sell the following year when fashions have changed Source: environmental-finance/20

22、19/0403mar/hedge.htmdocin/sundae_meng Several years ago, Bombardier Inc., a Canadian snowmobile manufacturer, offered an incentive that helped to protect itself against the lower sales and leftover inventory that accompany a mild winter. In the winter of 2019, the company offered buyers in the US Mi

23、dwest a $1,000 rebate on its snowmobiles if a pre-set amount of snow did not fall that season. (The pre-set amount was half the average snowfall of the past three years, and the price of its snowmobiles ranges from $7,000 to $9,000.) Sales increased 38% from the prior year! (Davis and Meyer 2000). d

24、ocin/sundae_meng The manufacturer provides the retailer an incentive to purchase more by offering a rebate if the actual seasonal average temperature is higher than a pre-determined threshold, with the rebate amount increasing in the deviation of the average temperature above the threshold. docin/su

25、ndae_mengConditional Rebate * if * if0),( )*,(ttttqtkqtKK (): Rebate $t*: Strike temperature q: Order quantityk (): Rebate rate functiont: Realized temperature 温度越高越不利！docin/sundae_meng Two Rebate FormsqttkqtK(*)(),( ) 1 (K (): Rebate $t: Temperature q: Order quantityk: Rebate ratet*: Strike temp. :

26、 Threshold quantity l = 0-1 variable Conditional rebate！docin/sundae_mengAgenda of Rest Talk The Basic Model Price Postponement Numerical Examples / DiscussionOther Two Models docin/sundae_mengI. The Basic Model Pre-season Stage 1Season begins Stage 21. Supplier offers wholesale price & rebate 2. Re

27、tailer decides quantity & price3. Retailer sells 4. Supplier pays rebate if anydocin/sundae_mengRetailers Profit Function)*,(),(),(qtKEwqpqRpqrr (): Retailers expected profitq: Order quantity p: Selling priceR(q,p): Expected net revenuew: wholesale priceConditional rebate docin/sundae_mengSuppliers

28、Profit Function)*,()(),(qtKEqcwwqss ( ): Suppliers expected profitq: Order quantity w: unit production costConditional rebate docin/sundae_mengAnalysis: without a rebate Retailer (qr, pr): Optimal order quantity & price dr (qr, pr): Max. profit Supplier wd : Wholesale price ds (qr, wd ): Max. profit

29、 Replace r, d with c: we obtain the solutions for a centralized supply chain docin/sundae_mengAnalysis: with a rebate Consider a class of weather rebate scheme Such a rebate scheme can coordinate the supply chain. Supply chain profit can be allocated in any ratio between the supplier and retailer se

30、t.-pre is of value thewhere)()(),( *ctqqcwdttfqtk Varying combinations of w and ,Pareto improvement results Changing t* and k() leads to different risk-sharing among the two docin/sundae_mengAdvantages Compared with returns/buyback contract, No physical confirmation is required temperature record is

31、 “public information” Compared with markdown money, Not to protect the margin for the retailer No stipulation on retail prices, sales effort, and how to mark down the unsold Literature Review？docin/sundae_mengII. Price Postponement Pre-season Stage 1Season begins Stage 21. Supplier offers wholesale

32、price w & rebate K()2. Retailer decides quantity q 3. Updating temp. Retailer sets price and sells: p 4. Supplier pays rebate if anydocin/sundae_mengPrice Postponement Its a two-stage Stackelberg “game”: At Stage 2, the retailer decides on selling price, given (t, w, q) At Stage 1, the retailer deci

33、des on order quantity q, given distribution of t and w Knowing the response of the retailer, the supplier decides on the wholesale price w With/without a rebate docin/sundae_mengIII. An Example Assume the demand function A closed-form solution is obtained var.random a is ,elasticity priceconstant th

34、eis where)(),( ptatpDdocin/sundae_mengPricing Early/Late With/without rebate, the retailer Order quantity: “price late” “price early” Supply chain profit: “price late” “price early” By how much with a rebate? When =1.1, pricing late by a factor of 1.17 (early, 1.27) When =1.5, pricing late by a fact

35、or of 1.3 (early, 1.7) 延迟定价和回扣是部分相互替代的！ docin/sundae_meng小结 Introduced and analyzed weather rebate contracts for newsvendor settings that can achieve supply chain coordination and allow an arbitrary allocation of profits between the two parties. The proposed class of rebates also provides Pareto imp

36、rovement without the need to increase the existing wholesale price. More importantly, unlike other rebates designed to address issues surrounding excess end-of-season inventory, no inventory or markdown audits are necessary for enforcement of truth-telling and the contract does not have an adverse e

37、ffect on sales effort. As such, the contract is easy to implement. docin/sundae_meng小结 The rebate can be incorporated both in instances where the retailer chooses hisselling price at the same time as he places an order (before receiving a signalabout the weather) or when he can adjust retail prices

38、in response to the weather. Results for the case of power demand function reveal that the retailers ability to price late and the weather rebate both have multiplicative effects on profits in a compounding fashion, but the multiplicative effect of the weather rebate is not as strong when the retaile

39、r prices late, so late pricing and the weather rebates are partial substitutes. Both provide risk mitigation to the retailer while increasing his expected profit, and the supplier still obtains incremental benefitsdocin/sundae_mengThree Research Projects Managing Weather-Related Demand Uncertainty w

40、ith Price Postponement and Weather RebatesJoint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor ModelConditional Weather-Based Rebate and Advance Selling docin/sundae_mengJoint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor Model最佳订货量和天气对冲决策：一个报童模型 合作者： Fei Gao and Xiuli Chao docin/sundae_meng问题的提出和研究目的 企业 （报童在季节来前 购入 一种产品，数量 Q 其季节的市场需求 是 不确定的， 与某一天气指数有关； 例如， 与季节的平均气温呈负相关 由于天气衍生品的存在，报童可以参与对冲市场，taking position, n. 问题：同时决策：（，）？docin/sundae_meng苏宁的经