天氣變動風(fēng)險對沖和運作管理決策課件

1、天氣狀況：“非常/反?！碧珶?太冷,“熱夏”, “涼夏”,多雨天，。 非一定是天災(zāi)性 臺風(fēng)，洪水，。/sundae_meng/sundae_me4月天氣指數(shù)下降了15.5點，跌至102.7點，是自去年10月以來的最低4月新增就業(yè)人數(shù)的下降可能至少部分與天氣因素有關(guān)。4月的零售銷售情況令人失望。我們預(yù)計4月的建筑材料商店銷售下降1.5-2 % /sundae_meng4月新增就業(yè)人數(shù)的下降可能至少部分與天氣因素有關(guān)。http天氣對經(jīng)濟活動影響重大 Weather represents an important determinant of demand for many products.46%

2、 of U.S. GDP is affected by weather （ U.S. National Research Council）In the retail sector, Wal-Mart reported (June 2005): its inventory levels were higher than normal for the second straight quarter as below-normal temperatures crimped demand (Timberlake and Wiles 2005)/sundae_meng天氣對經(jīng)濟活動影響重大 Weathe

3、r represents天氣影響重大（續(xù)） The unfavorable weather conditions hurt demand not only in North America, but also in EuropeCadbury Schweppes beverage business was hit by cold summer weather in 2004, forcing the firm to lower its profit expectations. The company said the poor sales were in line with the indus

4、try as a whole where cold and wet weather in 2004 was compared with record summer temperatures in 2003“/sundae_meng天氣影響重大（續(xù)） The unfavorable wea天氣影響重大（續(xù)）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

5、 its missing the half-year targets to the impact of poor weather on demand for ice-cream and bottled water (Kleiderman 2004)The Hong Kong based Giordano also blamed to the unfavorable weather for its lower sales in 2001 (Lee et al.,2002). /sundae_meng天氣影響重大（續(xù)）Coca-Cola and Unileve天氣的自然風(fēng)險 （Weather Ri

6、sks）國民經(jīng)濟中許多重要部門都與天氣變化密切相關(guān)：農(nóng)業(yè)、能源（電力）、零售，交通、建筑、旅游等天氣變化/變動的不確定性往往引起某些商品的生產(chǎn)成本和市場需求發(fā)生很大波動，從而引起企業(yè)收益的不確定性變化，這被稱為天氣風(fēng)險。李黎，張羽:農(nóng)業(yè)自然風(fēng)險的金融管理：天氣衍生品的興起, 證券市場導(dǎo)報, 2006年03期 對生產(chǎn)/運作的挑戰(zhàn)，但是對 金融財務(wù)來說是機會！/sundae_meng天氣的自然風(fēng)險 （Weather Risks）國民經(jīng)濟中許多天氣衍生品 （Weather Derivatives）金融工具，其結(jié)算是以一個或多個天氣因素為交易對象，比如降水量、積雪深度、氣溫或風(fēng)速,開泠氣天數(shù)，需開暖氣

7、天數(shù)等。最早的天氣衍生品產(chǎn)生于20世紀(jì)90年代中期的能源行業(yè)。1996年8月，安然公司與佛羅里達(dá)西南電力公司交易了世界上第一筆天氣衍生合同。天氣衍生產(chǎn)品的出現(xiàn)，主要源于一些公司為解決市場萎縮而設(shè)計出來的轉(zhuǎn)移天氣風(fēng)險的工具。 /sundae_meng天氣衍生品 （Weather Derivatives）金融工例子：期權(quán)天氣期權(quán)是一種期貨期權(quán)，表示投資者在未來某一日期有權(quán)買賣某一個天氣指數(shù)期貨合同 天氣期權(quán)是歐式期權(quán)，即買方只能在到期日行使權(quán)利，不能提前執(zhí)行。在期權(quán)合約的執(zhí)行日期，以官方發(fā)布天氣記錄，進(jìn)行結(jié)算 天氣期權(quán) - 買入期權(quán)和賣出期權(quán) 買入期權(quán)(Call option) 的買方是為了防止天

8、氣的某些因素水平過高，而賣方則認(rèn)為天氣因素不會過高；賣出期權(quán)(Put option) 的買方是為了防止天氣的某些因素水平過低，而買方則認(rèn)為天氣因素不會過低 /sundae_meng例子：期權(quán)/sund例：11月15日 2月15日，交割日 3月15日費用“臨界溫度”平均溫度 最大賠額買入期權(quán)買方/sundae_meng例：11月15日 2月15日，交割日 3月15日費用“臨界USA天氣衍生品合約交易面額（單位：百萬美元） 2005/06： $450 億美元 2006/07：$192億美元 （來源：)/sundae_mengUSA天氣衍生品合約交易面額（單位：百萬美元） 2005全球天氣衍生品合同

9、數(shù)量的地區(qū)分布 2005/06： 1百萬 份 2006/07： 75萬 份亞洲區(qū)：日本，韓國，臺灣，澳大利亞，印度等/sundae_meng全球天氣衍生品合同數(shù)量的地區(qū)分布 2005/06： 1百萬回顧李樂德教授的話變動 （Variation）是 挑戰(zhàn) 機會/sundae_meng回顧李樂德教授的話變動 （Variation）是http:/Three Research Projects Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates (管理天氣相關(guān)需求的不確定性：定價

10、延遲和與天氣指數(shù)掛鉤的回扣) Joint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor Model (最佳訂貨量和天氣對沖決策：一個報童模型 ) Conditional Weather-Based Rebate and Advance Selling (與天氣指數(shù)掛鉤的有條件回扣和提前銷售 )/sundae_mengThree Research Projects ManagWhy Studying such Problems?Are inventory/operations decisions rel

11、ated to the weather? Not yet, but now we show that they should 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 /sundae_mengW

12、hy Studying such Problems?AreManaging Weather-Related Demand Uncertainty withPrice Postponement and Weather Rebates管理天氣相關(guān)需求的不確定性：定價延遲和與天氣指數(shù)掛鉤的回扣合作者： C. A. Yano（ UC Berkeley ）/sundae_mengManaging Weather-Related Deman問題的提出Consider a manufacturer-retailer supply chain for a seasonal product which is e

13、xposed to weather risksThe retailer sells the good to the market, whose demand is weather- and price-sensitive. 我們知道， 由于 Double Marginalization, 供應(yīng)鏈的整體效益 未達(dá)最優(yōu)！ /sundae_meng問題的提出Consider a manufacturer-r礦泉水銷售與氣溫相關(guān)性 19C: sales of mineral water improve significantly7-11 訂貨系統(tǒng)有多個天氣預(yù)測變量！/sundae_meng礦泉水銷售與

14、氣溫相關(guān)性 19C: http:/wwThe Supply ChainA risk-neutral or risk-tolerant manufacturer (supplier) sells to a retailer who in turn sells to a market. The retailer chooses both the order quantity and the retail price.我們知道， 由于 Double Marginalization, 供應(yīng)鏈的整體效益 未達(dá)最優(yōu)！ /sundae_mengThe Supply ChainA risk-neutral問題

15、的提出（續(xù)）The supplier can offer a weather-linked rebate to encourage the retailer to purchase 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 contr

16、act. Rebate: 退還部分付款 /sundae_meng問題的提出（續(xù)）The supplier can offerThe Objectives研究目的To investigate the impact of rebate on both parties and the supply chain (回扣對制造商/供應(yīng)商和零售商及供應(yīng)鏈的影響)To understand the impact of the timing that the price decision is made, coupled with a rebate program （在有天氣回扣協(xié)議下定價時機的影響）報童問題

17、的框架In a newsvendor context/sundae_mengThe Objectives研究目的To investigWeather-linked Rebate/Guarantee天氣掛鉤的回扣/保證協(xié)議Such a guarantee can take the form of a rebate scheme that is linked to a weather index (Malinow, 2002)Supporting data have become accessible to the public at a fairly low cost in recent yea

18、rs; e.g., extensive weather data are available at /sundae_mengWeather-linked Rebate/Guarante ExamplesThe market demand is temperature-dependent: the higher is the average seasonal temperature, the lower is the market demand. For example, a European clothing manufacturer tried to encourage retailers

19、to buy its winter collection early by offering a rebate if adverse weather conditions prevailed. The clothing maker produces winter clothes that are 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, sale

20、s suffer and retailers are left with a surplus that they cannot sell the following year when fashions have changed Source: /2004/0403mar/hedge.htm/sundae_meng ExamplesThe market demand is Several years ago, Bombardier Inc., a Canadian snowmobile manufacturer, offered an incentive that helped to prot

21、ect itself against the lower sales and leftover inventory that accompany a mild winter. In the winter of 1998, the company offered buyers in the US Midwest 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 th

22、e 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). /sundae_mengSeveral years ago, BombardierThe manufacturer provides the retailer an incentive to purchase more by offering a rebate if the actual season

23、al average temperature is higher than a pre-determined threshold, with the rebate amount increasing in the deviation of the average temperature above the threshold. /sundae_mengThe manufacturer provides the Conditional Rebate K (): Rebate $t*: Strike temperature q: Order quantityk (): Rebate rate fu

24、nctiont: Realized temperature 溫度越高越不利！/sundae_mengConditional Rebate K (): Reba Two Rebate FormsK (): Rebate $t: Temperature q: Order quantityk: Rebate ratet*: Strike temp. : Threshold quantity l = 0-1 variable Conditional rebate！/sundae_meng Two Rebate FormsK (): RebatAgenda of Rest Talk The Basic

25、Model Price Postponement Numerical Examples / DiscussionOther Two Models /sundae_mengAgenda of Rest Talk The Basic I. The Basic Model Pre-season Stage 1Season begins Stage 21. Supplier offers wholesale price & rebate 2. Retailer decides quantity & price3. Retailer sells 4. Supplier pays rebate if an

26、y/sundae_mengI. The Basic Model Pre-seasoRetailers Profit Functionr (): Retailers expected profitq: Order quantity p: Selling priceR(q,p): Expected net revenuew: wholesale priceConditional rebate /sundae_mengRetailers Profit Functionr (Suppliers Profit Functions ( ): Suppliers expected profitq: Orde

27、r quantity w: unit production costConditional rebate /sundae_mengSuppliers Profit Functions (Analysis: without a rebate Retailer (qr, pr): Optimal order quantity & price dr (qr, pr): Max. profit Supplier wd : Wholesale price ds (qr, wd ): Max. profit Replace r, d with c: we obtain the solutions for

28、a centralized supply chain /sundae_mengAnalysis: without a rebate ReAnalysis: 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 Varying combinations of w an

29、d ,Pareto improvement results Changing t* and k() leads to different risk-sharing among the two /sundae_mengAnalysis: with a rebate ConsiAdvantages Compared with returns/buyback contract, No physical confirmation is required temperature record is “public information” Compared with markdown money, No

30、t to protect the margin for the retailer No stipulation on retail prices, sales effort, and how to mark down the unsold Literature Review？/sundae_mengAdvantages Compared with returII. Price Postponement Pre-season Stage 1Season begins Stage 21. Supplier offers wholesale price w & rebate K()2. Retail

31、er decides quantity q 3. Updating temp. Retailer sets price and sells: p 4. Supplier pays rebate if any/sundae_mengII. Price Postponement Pre-seaPrice 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 decides

32、on order quantity q, given distribution of t and wKnowing the response of the retailer, the supplier decides on the wholesale price w With/without a rebate /sundae_mengPrice Postponement Its a two-III. An Example Assume the demand functionA closed-form solution is obtained/sundae_mengIII. An Example

33、 Assume the dePricing Early/LateWith/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 factor of 1.3 (early, 1.7) 延遲

34、定價和回扣是部分相互替代的！ /sundae_mengPricing Early/LateWith/without小結(jié) 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 impr

35、ovement 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 ef

36、fect on sales effort. As such, the contract is easy to implement. /sundae_meng小結(jié) Introduced and analyzed w小結(jié) 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

37、 adjust retail prices 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 s

38、trong when the retailer 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 benefits/sundae_meng小結(jié) /sundThree Research Projects Managing Weather-Rela

39、ted Demand Uncertainty with Price Postponement and Weather RebatesJoint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor ModelConditional Weather-Based Rebate and Advance Selling /sundae_mengThree Research Projects ManagJoint Optimal Ordering and Weather Hedging Contract Decisio

40、ns: a Newsvendor Model最佳訂貨量和天氣對沖決策：一個報童模型 合作者： Fei Gao and Xiuli Chao /sundae_mengJoint Optimal Ordering and Wea問題的提出和研究目的企業(yè) （報童）在季節(jié)來前 購入 一種產(chǎn)品，數(shù)量 Q 其季節(jié)的市場需求 是 不確定的， 與某一天氣指數(shù)有關(guān)； 例如， 與季節(jié)的平均氣溫呈負(fù)相關(guān) 由于天氣衍生品的存在，報童可以參與對沖市場，taking position, n.問題：同時決策：（，）？/sundae_meng問題的提出和研究目的企業(yè) （報童）在季節(jié)來前 http:/蘇寧的經(jīng)驗?zāi)甏捌?，國?nèi)家電是“賣方市場”蘇寧以買（批發(fā)）空調(diào)為主模式創(chuàng)新：年前，“先賣貨，后進(jìn)貨”入年代，“向廠家淡季訂貨，反季節(jié)打款”此創(chuàng)新風(fēng)險很大， 屬“豪賭”張近東：“那時候我比誰都關(guān)心長期天氣預(yù)報，關(guān)心明年是”熱夏“還是”涼夏“。 “有一次簽付給春蘭千萬元預(yù)付款，自己在支票上簽字時，手直發(fā)抖。”“向廠家淡季訂貨，反季節(jié)打款”已是“行業(yè)規(guī)則”。問題？/sundae_men