资源描述
Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,#,Supply Chain Outsourcing in,Enterprise Risk Management:,A,DEA VaR Model,Desheng Dash Wu,University of Toronto,Reykjavik University,RiskLab,dashrisklab.ca,Extracted from,Olson D.L.and Wu D.,Enterprise Risk Management,.World Scientific Publisher.2007 Wu D.and Olson D.L.,A Comparison of Stochastic Dominance and Stochastic DEA for,Vendor Evaluation,.Int J of Production Research.2007(1).,Nov,2008,Call forpaper,Outline,Introduction,Enterprise RiskManagement,(,(ERM全面风,险,险管理),SupplyChainOutsourcing,VendorEvaluation,Contribution,:,:,ERMstepsinSupply Chain Outsourcing Risk,Data envelopment analysis(DEA),+,+ValueatRisk(VaR):Intuition,ConclusionsandFutureResearch(银行链,金融危,机,机),ReviewofRiskManagement Tools风险管,理,理工具,介,介绍,Risk Managementtools,mean-variance frameworkofportfoliotheory i,.,.e.,selectionanddiversification(Markowitz1952),Capital Asset PricingModel,(,(Sharpe1964;Lintner 1965,;,;Mossin1966),ArbitragePricingTheory,(,(Ross,1976),Optionpricingtheory,(,(Black 1972,;,;Black 1973,),),ValueatRisk(VaR,),),RiskMetrics,(,(Jorion 1997,),),Prob 1dayLoss,VaR,=,=1-,MinVaRP(VaR,),),Enterprise RiskManagement,Professionalorganization,Consultant,Ratingagency,Academics,31%adoptedERMinCanadianrisk,&,&insurance,Kleffner2003,WhyERM?Toyota,ReviewofRiskManagement Tools,(cont.,),),Various Risks:,$,$Measurement,Definition of ERM,Systematic,integrated approach,Manageall risks facingorganization,External,Economic,(,(market-price,demandchange,),),Financial,(,(insurance,currencyexchange,),),Political,/,/Legal,Technological,Internal,Humanerror,Fraud,Systems failure,Disruptedproduction,Stochastic OR ModelsforRiskManagement(Beneda,2005,Dash&Kajiji 2005),),),Multiplecriteriaanalysis,Subjective,Simulation,Probabilistic;Canbesubjective,(,(system dynamics),Data envelopment analysis(DEA,),),Optimization,Objective,subjective,probabilistic,ERMResearchand Steps,Step 1:,Determinethe corporationsobjectives,Step 2:,Identifytheriskfactors,exposures,Step 3:,Quantifythefactors,exposures,Assesstheimpact,Step 4:,Examine alternative riskmanagementtools,Step 5:,Selectappropriaterisk managementapproach,Step 6:,Implementandmonitorprogram,More than80frameworks:problem-oriented,descriptive,frameworks,SpecificERM,:,:SupplyChainOutsourcingRisk,Supplier,Manufacturer,Retailer,Endcustomer,Warehouse,A SupplyChainModel,SupplyChainVendor Selection,SupplyChainVendor Selectiongoods,input,bads,(risk,uncertainty,?,?)(risk,uncertainty,?,?),Efficiency=output,/,/input,Supplier,P,erformance,Data Envelopment Analysis(DEA,),),-,-Deterministic,Charnes,Cooper,Rhodes,n Vendors,(,(DMUs)tobeevaluated.,m differentinputsXij,sdifferent outputsYrj.,Thedeterministic DEAmodel,DEAefficiencyforDMUj:,DeterministicDEA(cont.,),),CCRMultiplierform,DEAVaR-Stochasticmodel,j:,aspiration level,;j:,risk criterion;,0 j,j 1,Intuition,:,:1)Atwhat confidencelevel,it is efficienttoselectthe?thVendor,?,?,2)Atwhat confidencelevel,it is enoughtoreducethe?thcost in order to makethe?thVendorefficient?,(1),StochasticDEA,Assumingmultivariatenormal distribution:,(2),Equivalent linearprogramming,:,(3),Metrics in VendorSelection,Olson,&,&Wu,Criteria,Number of studies using,Price/cost,12,Acceptance/quality,12,On-time response/logistics,12,R&D in technology/innovation/design,7,Production facilities/assets,6,Flexibility/agility,6,Service,4,Management&organization,2,Data Set,Moskowitz,Tang,&,&Lam,2000,DecisionSciences31,327-360,9 vendors,V,j,Mean,Standard deviation,Normally distributed,12 Criteria each with weight,W,i,Quality personnel,Quality procedure,Concern for quality,Company history,Price-quality,Actual price,Financial ability,Technical performance,Delivery history,Technical assistance,Production capability,Manufacturing equipment,Sampledatademonstration,Criteria,V1,V2,V3,V4,V5,V6,V7,V8,V9,1 Quality personnel,85,(5.2),82,(4.2),90,(3.1),78,(12.8),95,(1.5),75,(2.9),90,(1.7),70,(12.2),75,(2.8),2 Quality procedure,80,(3.3),88,(4.2),85,(5.1),90,(4.2),75,(5.6),82,(2.2),82,(4.2),90,(33),78,(3.8),3 Delivery history,80,(4.7),83,(5.5),70,(5.5),75,(14.3),85,(5.8),85,(1.9),75,(5.9),90,(2.4),90,(1.1),4 Company history,90,(5.5),88,(4.5),75,(7.0),85,(5.6),70,(5.6),80,(4.1),80,(4.6),85,(4.5),82,(3.7),SimulatedweightsandParameter Sensitivity,Equalweights,Usefultoidentifydominated solutions,V20.03,V40.08,V60.36,V80.53,Ordinal weights,Reflect decision maker preference,More usefultomake decision:selectnondominated solutions,Used centroid weights,Olson&Dorai,V20.71,V40.22,V60.07,V80,Adjustedrisk criterion0 j 1,AdjustedRHSs withj,DEAefficiencyscores,:,:equalweight,%,V1,V2,V3,V4,V5,V6,V7,V8,V9,Average,V1,95.40,94.33,93.58,94.62,75.11,95.33,95.16,94.32,89.72,91.95,V2,93.56,95.60,94.63,95.02,79.37,93.93,94.53,92.15,90.02,92.09,V3,94.98,85.17,95.37,92.27,94.83,88.55,92.96,94.71,92.25,92.34,V4,89.61,90.28,95.93,98.11,89.23,93.88,94.32,97.45,94.88,93.74,V5,85.86,83.01,91.04,95.63,98.10,83.64,88.80,91.08,86.16,89.26,V6,92.69,92.87,
展开阅读全文