现货价格波动下供应链违约风险的防范和管理研究

Supply chain has been long suffered from contract regening risk, which is popular in practice and is mainly induced by the volatile spot price. However, existing literature in supply chain mamangement pays little attention to the underling motivation of such regenging behavior and the corrresponding management strategies. In this project, we model the agent's reneging decision by balancing his earning or loss when deciding to renege and establish the relationship between his reneging behavior and the volatile spot price. Base on this, we establish a series of mathematical models by game theory, operations research, economics and so on, quantify the effect of the contract reneging risk on supply chain performance and its magnititude, develop the corresponding optimal strategies to manage such reneging risk. Specifically, we will study: (1) supply chain management under a wholesale contract with possible contract reneging; (2)risk sharing strategy by flexible contracts in a supply chain with possible contract reneging; (3) hedging strategy by commodity derivatives in a supply chain with possible contract reneging; (4)supply chain risk management with possible contract reneging when the buyer concerns his long-term performance. The outcome of our research will provide daily management analysis tools to those firms facing stochastic spot price, help them to further understand the effect of the volatile price and the contract reneging risk it inducing on their optimal policies and performance, suggest them on how to design the proper flexible contracts to share the contract reneging risk and how to establish the optimal financial hedging strategies to transfer the contract reneging risk, etc.

由价格波动引起的供应链违约风险在运营实践中非常普遍，对整个供应链危害很大。但已有的供应链管理研究很少考虑这类违约风险的微观形成机理及相应的防范和管理策略。本项目从由价格波动导致的利益变动来刻画供应链成员的违约动机，并将此融入到供应链管理研究中，利用博弈论、运筹学、经济学等方法建立一系列数学模型，系统地研究这类违约风险对供应链绩效的影响并建立相应的防范和管理策略。具体而言，本项目将研究:（1）批发价格合约下，供应链违约风险的管理机制;（2）利用柔性合约在供应链内部分担违约风险的管理机制;（3）利用商品衍生产品转嫁供应链违约风险的管理机制;（4）生产商考虑其长期利益后违约时供应链违约风险的管理机制。项目成果将为企业提供管理分析工具,有助于企业明确价格波动及其引起的违约风险对供应链运营策略与绩效的影响程度、指导供应链经理如何通过设计供应链柔性合约、如何通过购买商品衍生产品来管理供应链违约风险等。

由价格波动引起的供应链违约风险在运营实践中非常普遍，对整个供应链危害很大。供应链违约风险不仅会影响到某一企业，还会波及到链条上其他企业，影响供应链的稳定甚至导致供应链中断，对供应链系统造成破坏。在过去三年里，课题组团队按照项目原定的计划和研究目标，围绕现货价格波动下供应链违约风险的防范和管理进行了广泛而深刻的研究，并取得了新的研究进展及重要结果。具体而言，项目研究了（1）价格波动导致的违约风险形成机制，得到供应链决策者在不同违约机制中的选择行为以及供应链权力结构对提高成员利润水平、减少违约风险的影响；（2）利用柔性合约在供应链内部分担违约风险的管理机制，得到了供应风险时损失厌恶决策者的最优管理策略、制造商的多样化采购策略、现货市场存在需求供应及价格风险时的期权合约组合策略以及基于回购合约的供应链协调机制等；（3）利用商品衍生产品转嫁供应链违约风险的管理机制，得到了企业利用衍生品转嫁违约风险的管理机制问题，以及当下游需求与现货价格（包括指数价格）相关时企业的最优库存和套期保值策略等。基于此项目，项目团队实际完成12篇优质论文，其中9篇发表在国际SCI/SSCI期刊（第一作者5篇，通讯作者3篇）；项目组共有10人次参加国内外学术会议，6人次参加国际学术访问；同时接待来自香港和美国一流大学以及国内知名院校的学者多人；项目共培养了1名博士研究生，9名学术和专业硕士研究生，5名MBA研究生和12名工程硕士研究生。项目研究所提供的管理启示有助于企业明确价格波动及其引起的违约风险对供应链运营策略与绩效的影响程度、指导供应链经理如何通过设计供应链柔性合约、如何通过购买商品衍生产品来管理供应链违约风险等。