基于CVaR的供应链风险评估研究

发布时间：2018-01-03 14:28

本文关键词：基于CVaR的供应链风险评估研究　出处：《山东理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：供应链的复杂性导致风险会从一个节点企业传导至其他节点企业,并在整个供应链中不断扩散和蔓延。对于供应链而言,风险传导不仅仅是一种物理活动过程,更是一种经济活动,因此对供应链风险进行评估具有重要的意义。但是由于供应链上节点企业数量众多,且每个节点企业都面临了多种风险因素,要将所有风险源都集成到一个定量分析模型中难度很大,甚至不可能,这也是目前大多数供应链风险评估方法所面临的困境。在这样的背景下,本文将金融领域研究的比较成熟的CVaR模型应用于企业和供应链的风险评估中,并以汽车制造供应链为对象,研究了基于CVaR模型的风险问题,取得了以下研究成果：首先,在综述现有风险评估方法的基础上,通过对比,分析现有风险评估方法的不足和将CVaR方法应用于供应链风险评价中的适用性和其优越性。其次,对比分析了供应链VaR模型的三种求值方法,即方差-协方差法、历史模拟法和蒙特卡洛模拟法各自的原理及优缺点,并最终选用蒙特卡罗模拟法作为本文模型的计算方法。最后,构建了基于CVaR的供应链风险评估模型,以15家汽车制造的上市公司为研究对象,对节点企业风险、供应链风险进行了综合评估,并根据风险评估结果提出了相应的优化供应链的措施。 CVaR理论是在一种在金融领域应用广泛的风险评估方法,本论文将其引入到供应链风险评估研究中,并以汽车制造业为研究对象进行了实证分析,这对供应链风险评估,优化提供了一种新的思路与方法,对于指导企业的供应链实践具有一定的参考价值。
[Abstract]:The complexity of the supply chain will cause the risk from a node enterprise transfer to other enterprises, and in the whole supply chain. With the expansion of the supply chain, risk transmission is not only a kind of physical activity, it is a kind of economic activity, so it has important significance in the assessment of supply chain risk but. As the number of enterprises in the chain are numerous, and each node enterprises are facing a variety of risk factors, to all risk sources are integrated into a quantitative analysis model is very difficult, even impossible, which is currently the most supply chain risk assessment method facing difficulties.
Against this background, this paper applies the more mature CVaR model in the field of finance to the risk assessment of enterprises and supply chain, and studies the risk problem based on the CVaR model with the automobile manufacturing supply chain as the object.
First, on the basis of summarizing the existing risk assessment methods, we analyze the shortcomings of the existing risk assessment methods and the applicability and superiority of applying the CVaR method to supply chain risk assessment based on comparison.
Secondly, the three evaluation methods of supply chain VaR model, namely variance covariance method, historical simulation method and Monte Carlo simulation method, are compared and analyzed.
Finally, a supply chain risk assessment model based on CVaR is built. Taking 15 automobile manufacturing listed companies as the research object, the risk of the joint venture and the risk of supply chain are comprehensively evaluated, and corresponding measures to optimize the supply chain are put forward based on the risk assessment results.
CVaR theory is a risk assessment method in application widely in the field of finance, this paper introduced to the study of supply chain risk assessment, and empirical analysis in automobile manufacturing industry as the research object, the risk evaluation of supply chain optimization, provides a new idea and method, which has a certain reference the value for guiding the enterprise supply chain practice.

【学位授予单位】：山东理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F274;F426.471

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