發(fā)布時(shí)間：2018-01-03 14:28

  本文關(guān)鍵詞：基于CVaR的供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估研究　出處：《山東理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 供應(yīng)鏈 風(fēng)險(xiǎn)評(píng)估 CVaR模型

【摘要】：供應(yīng)鏈的復(fù)雜性導(dǎo)致風(fēng)險(xiǎn)會(huì)從一個(gè)節(jié)點(diǎn)企業(yè)傳導(dǎo)至其他節(jié)點(diǎn)企業(yè),并在整個(gè)供應(yīng)鏈中不斷擴(kuò)散和蔓延。對(duì)于供應(yīng)鏈而言,風(fēng)險(xiǎn)傳導(dǎo)不僅僅是一種物理活動(dòng)過程,更是一種經(jīng)濟(jì)活動(dòng),因此對(duì)供應(yīng)鏈風(fēng)險(xiǎn)進(jìn)行評(píng)估具有重要的意義。但是由于供應(yīng)鏈上節(jié)點(diǎn)企業(yè)數(shù)量眾多,且每個(gè)節(jié)點(diǎn)企業(yè)都面臨了多種風(fēng)險(xiǎn)因素,要將所有風(fēng)險(xiǎn)源都集成到一個(gè)定量分析模型中難度很大,甚至不可能,這也是目前大多數(shù)供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估方法所面臨的困境。 在這樣的背景下,本文將金融領(lǐng)域研究的比較成熟的CVaR模型應(yīng)用于企業(yè)和供應(yīng)鏈的風(fēng)險(xiǎn)評(píng)估中,并以汽車制造供應(yīng)鏈為對(duì)象,研究了基于CVaR模型的風(fēng)險(xiǎn)問題,取得了以下研究成果： 首先,在綜述現(xiàn)有風(fēng)險(xiǎn)評(píng)估方法的基礎(chǔ)上,通過對(duì)比,分析現(xiàn)有風(fēng)險(xiǎn)評(píng)估方法的不足和將CVaR方法應(yīng)用于供應(yīng)鏈風(fēng)險(xiǎn)評(píng)價(jià)中的適用性和其優(yōu)越性。 其次,對(duì)比分析了供應(yīng)鏈VaR模型的三種求值方法,即方差-協(xié)方差法、歷史模擬法和蒙特卡洛模擬法各自的原理及優(yōu)缺點(diǎn),并最終選用蒙特卡羅模擬法作為本文模型的計(jì)算方法。 最后,構(gòu)建了基于CVaR的供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估模型,以15家汽車制造的上市公司為研究對(duì)象,對(duì)節(jié)點(diǎn)企業(yè)風(fēng)險(xiǎn)、供應(yīng)鏈風(fēng)險(xiǎn)進(jìn)行了綜合評(píng)估,并根據(jù)風(fēng)險(xiǎn)評(píng)估結(jié)果提出了相應(yīng)的優(yōu)化供應(yīng)鏈的措施。 CVaR理論是在一種在金融領(lǐng)域應(yīng)用廣泛的風(fēng)險(xiǎn)評(píng)估方法,本論文將其引入到供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估研究中,并以汽車制造業(yè)為研究對(duì)象進(jìn)行了實(shí)證分析,這對(duì)供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估,優(yōu)化提供了一種新的思路與方法,對(duì)于指導(dǎo)企業(yè)的供應(yīng)鏈實(shí)踐具有一定的參考價(jià)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.

【學(xué)位授予單位】：山東理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F274;F426.471

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 林輝,何建敏;VaR在投資組合應(yīng)用中存在的缺陷與CVaR模型[J];財(cái)貿(mào)經(jīng)濟(jì);2003年12期

2 鄭文通;金融風(fēng)險(xiǎn)管理的VAR方法及其應(yīng)用[J];國際金融研究;1997年09期

3 李貴春,李從東,李龍洙;供應(yīng)鏈績效評(píng)價(jià)指標(biāo)體系與評(píng)價(jià)方法研究[J];管理工程學(xué)報(bào);2004年01期

4 周革平;;VaR基本原理、計(jì)算方法及其在金融風(fēng)險(xiǎn)管理中的應(yīng)用[J];金融與經(jīng)濟(jì);2009年02期

5 蔣有凌;楊家其;尹靚;楊俊;;基于ANN的供應(yīng)鏈風(fēng)險(xiǎn)綜合評(píng)估模型與應(yīng)用[J];武漢理工大學(xué)學(xué)報(bào)(交通科學(xué)與工程版);2008年01期

6 宋娜娜;張利軍;;房地產(chǎn)價(jià)格隨機(jī)波動(dòng)與房地產(chǎn)收益風(fēng)險(xiǎn)值(VaR)的研究[J];價(jià)值工程;2009年05期

7 張畢西;陳嘉;;基于灰色多層次評(píng)價(jià)模型的供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估[J];科技與管理;2011年05期

8 姚紅貴;;基于未確知測度的供應(yīng)商選擇[J];物流科技;2007年08期

9 程鵬;;供應(yīng)鏈風(fēng)險(xiǎn)評(píng)估中貝葉斯網(wǎng)絡(luò)的應(yīng)用[J];生產(chǎn)力研究;2012年03期

10 黃健;李國印;;風(fēng)險(xiǎn)測量方法VaR的缺陷及其修正模型CVaR[J];時(shí)代經(jīng)貿(mào)(中旬刊);2008年S5期

，

本文編號(hào)：1374291