本文關鍵詞：基于CVaR的供應鏈風險評估研究　出處：《山東理工大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 供應鏈 風險評估 CVaR模型

【摘要】：供應鏈的復雜性導致風險會從一個節(jié)點企業(yè)傳導至其他節(jié)點企業(yè),并在整個供應鏈中不斷擴散和蔓延。對于供應鏈而言,風險傳導不僅僅是一種物理活動過程,更是一種經(jīng)濟活動,因此對供應鏈風險進行評估具有重要的意義。但是由于供應鏈上節(jié)點企業(yè)數(shù)量眾多,且每個節(jié)點企業(yè)都面臨了多種風險因素,要將所有風險源都集成到一個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)供應鏈風險評估方法所面臨的困境。 在這樣的背景下,本文將金融領域研究的比較成熟的CVaR模型應用于企業(yè)和供應鏈的風險評估中,并以汽車制造供應鏈為對象,研究了基于CVaR模型的風險問題,取得了以下研究成果： 首先,在綜述現(xiàn)有風險評估方法的基礎上,通過對比,分析現(xiàn)有風險評估方法的不足和將CVaR方法應用于供應鏈風險評價中的適用性和其優(yōu)越性。 其次,對比分析了供應鏈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,并最終選用蒙特卡羅模擬法作為本文模型的計算方法。 最后,構(gòu)建了基于CVaR的供應鏈風險評估模型,以15家汽車制造的上市公司為研究對象,對節(jié)點企業(yè)風險、供應鏈風險進行了綜合評估,并根據(jù)風險評估結(jié)果提出了相應的優(yōu)化供應鏈的措施。 CVaR理論是在一種在金融領域應用廣泛的風險評估方法,本論文將其引入到供應鏈風險評估研究中,并以汽車制造業(yè)為研究對象進行了實證分析,這對供應鏈風險評估,優(yōu)化提供了一種新的思路與方法,對于指導企業(yè)的供應鏈實踐具有一定的參考價值。
[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.

【學位授予單位】：山東理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F274;F426.471

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