陕西苹果供应链价格风险管理研究

发布时间：2018-01-24 09:49

本文关键词： 陕西苹果供应链价格风险投资组合理论 VaR风险价值法风险管理　出处：《西北农林科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：在我国苹果是第一大果品产业。陕西作为全国苹果优生区，苹果业是陕西省六大支柱产业之一，是重点发展对象。陕西苹果产业除了满足居民高品质消费的需求外也促进果农收入的提高，推重陕西经济发展。在陕西苹果产业发展过程中，也逐渐显现各种问题。苹果供应链中，苹果价格直接影响供应链各主体的利润和成本。农户的田间销售价格和市场零售价格有较大差异。陕西苹果供应链价格波动给整个供应链和供应商消费者都带来很大风险。为实现陕西苹果产业健康、稳定和持续的发展，必须对苹果供应链中存在的问题和价格风险进行探索，优化陕西苹果供应链，降低陕西苹果供应和销售中的价格风险。本文通过介绍陕西苹果供应链的现状和特点，存在的风险和问题。阐述了陕西苹果供应链价格风险的成因和影响，进一步探索陕西苹果供应链价格风险管理的方法：订单农业，农超对接，陕西苹果品牌打造，建设供应链中关键环节。文中在研究陕西苹果在全国供应中的资源合理配置以降低供应商风险中尝试使用资产组合理论，对供应价格风险衡量和控制进行实证分析，探究投资组合理论在降低苹果供应链价格风险中的可行性和有效性。并将均值方差模型和半方差模型实证结果对比分析，研究各自在风险衡量和控制中的适用性和优缺点。在评估陕西苹果供应链具体的零售市场价格风险时，选取西安人人乐超市和人人家超市，通过VaR风险价值法对其市场价格波动风险进行度量，并计算其风险发生的频率，进而分析特定市场的苹果价格风险及特点。通过以上研究发现：（1）陕西苹果供应商可以通过合理配置供应量来减少供应价格风险，提高预期收益、供应链效率和稳定度。通过均值方差模型或者半方差模型去优化组合，都可以显著降低苹果销售价格风险。投资组合理论的定量分析方法在衡量和规避苹果供应链价格风险中切实可行，为供应链价格风险管理提供定量分析的思路和有效方法。（2）通过均值方差模型、半方差模型两种方法实证结果的对比分析，得出两种模型在陕西苹果供应价格风险管理中不同的适用性和优缺点：均值方差模型降低方差值提高了整个组合收益的稳定度，却降低了供应商收益；收益率呈正态分布的假定，大大局限了模型运用的广泛性。但因为是按价格波动最小规划，对市场、消费者都是有利的。半方差模型无正态分布假定，适用范围广；且符合供应商心里，分散价格向下风险，最大程度提高预期收益。但同时具有局限性，价格向下的波动也是市场风险，，会带来市场的不健康，供应链的不稳定，消费者利益受损。（3）通过运用VaR风险价值法对西安市两大超市苹果价格波动风险进行测量和评估的实证研究，可以测算出超市下个月度苹果价格波动风险方向和大小，风险发生频率。VaR方法在苹果供应链终端零售市场价格风险评估和有效度量方面是可行的。考虑了不同程度风险的发生概率,对价格风险的度量结果更为准确,同时又将全部风险概括为一个数字后方便不同市场间风险比较和管理。
[Abstract]:In China, apple is the largest fruit industry. Shaanxi as the country's eugenic apple, apple industry in Shaanxi province is one of the six pillar industries, is the focus of development. Shaanxi apple industry in addition to meet the consumer demand for high-quality residents also promote the farmers income increase in Shaanxi's economic development. In the process of the development of apple industry in Shaanxi. Also gradually revealed various problems. Apple's supply chain, apple prices directly affect the supply chain's profit and cost. The farmers field sales prices and retail prices are quite different. Shaanxi Apple's supply chain price fluctuations have brought great risk to the whole supply chain and suppliers to consumers. In order to achieve healthy and stable Shaanxi apple industry. Sustainable development, must be on the existing problems in Apple's supply chain and price risk exploration and optimization of Shaanxi Apple's supply chain, reduce supply and Shaanxi apple Price risk in sales.
This paper introduces the status and characteristics of Shaanxi Apple's supply chain, risks and problems. Expounds the cause and influence of Shaanxi Apple's supply chain price risk, to further explore the method of Shaanxi Apple's supply chain price risk management: order agriculture, agricultural super docking, Shaanxi Apple brand, the key link in the supply chain of the construction. In the rational allocation of resources of Shaanxi apple in the national supply in order to reduce the supplier risk in trying to use the asset portfolio theory, the supply price risk measure and control for empirical analysis, explore investment portfolio theory in the feasibility of reducing the price risk in Apple's supply chain and effective. And a comparative analysis of the mean variance model and semi variance the empirical results of each model, the risk measure and control the applicability and advantages and disadvantages. In the evaluation of Shaanxi apple supply chain specific retail market price Risk, select all supermarkets in Xi'an and others on the supermarket, the fluctuation of market price risk measurement by VaR risk value method, and calculate the risk frequency, apple price risks and characteristics and analysis of specific markets.
Through the above research, it is found that:
(1) Shaanxi Apple suppliers to reduce the supply price risk through the rational allocation of supply, improve the expected return, supply chain efficiency and stability. The mean variance model or semi variance model to optimize the combination can significantly reduce the apple sales price risk. The quantitative analysis method of portfolio theory in measure and to avoid the apple supply chain the price risk is feasible, provide quantitative analysis and effective way for the supply chain price risk management.
(2) the mean variance model, semi variance model comparative analysis of two methods of empirical results, obtained two different models in the supply price risk management of Shaanxi apple in the applicability and advantages and disadvantages: the mean variance model reduces the variance value to improve the stability of the whole portfolio, but reduced revenue yield positively; the normal distribution assumption, greatly limits the widespread use of the model. But because it is the minimum price fluctuation according to the planning, on the market, consumers are favorable. The semi variance model without the normal distribution assumption, wide application range; and in conformity with the supplier heart, scattered downward price risk and maximize the expected return but at the same time. Has the limitation, downward price fluctuations and market risk, not health will bring to the market, the supply chain is not stable, damaged the interests of consumers.
(3) through the empirical study of the measurement and assessment of Xi'an city supermarket apple price volatility risk using the VaR risk value method, can calculate the supermarket next month apple price volatility risk direction and the size of the risk of occurrence frequency of.VaR method in Apple's supply chain terminal retail market price risk assessment and effective measure is feasible. Considering the probability of the different degrees of risk, the price risk measurement results are more accurate, and all risks summed up as a number of different markets and convenient risk management.

【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F323.7;F326.13

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