Research On The Models Of Supply Chain Contracts With The Risk Measure Based On Conditional Value At Risk

Because of the increasing complication of market and the more uncertainty, the riks management of supply chain is now a new problem in the research of operation management. Because of the lower cost and the legal protect, the contract of supply chain is a common way to manage the risk in the supply chain. The thesis researches the models of price contract, the capacity reservation contract and a new style entrustment contract based on the assumption that the corporations in supply chain are all riks-aversion and sensitive to down risk using the Conditional Value at Risk which always uses in Finance Engineering to measure risk in order to guide the correct decisions to corporations in supply chain. So the research has important theoretical and practical significances for correct decision to corporations in supply chain.According to the trade-off cost theory, agent theory and the expection theory, the thesis proposes a new definition about risk of supply chain from the uncertain, expectation and recognizaiton combining the essential with the practice of risk management in supply chain; analyzes the theories and the applications of variance model and VaR model in finance engineering, and points out the disadvantages of the two ways to measure the risks in supply chain. Based on above research, the thesis proposes the CVaR model to measure the risk aversion and the downside risk in the supply chain from the expectational loss in the new definition. These all provide the theoretical basis for the research of models of supply chain contracts.The models of the wholesale price contract and the dual purchase contract under the risk-neutral assumption in a two-level supply chain are proposed. Based on the basis models, the different forms of models which can reach the equivalent front after introduceing the CVaR model are analysised. Then the Mean-CVaR models of revenue of retailer in the two style contracts in which the goal is to minimize the revenue loss with the CVaR as the contrains while considering the upper limit of the order quantity is proposed. A numerical example is used to validate the model and the analytical results.The model of capacity reservation contract based on the risk-neutral assumption in a two-level supply chain is proposed, and the optimal quantity of capacity reservation is resolved by analytic method. Based on the basis equation of CVaR, a capacity reservation model with the objective to maximize the revenue with considering the cost which is measured by CVaR is proposed according to the CVaR equivalent model with an assistant variable. The optimal order quantities under the risk aversion assuption are gotten by a two-step dynamical programming method, and the two kinds of optimal order quantities under different assumption are compared to illustrate the impact to optimal order quantities caused by the risk attitudes of the sellor. A numerical example is used to validate the model and the analytical results.The models of cash inflow, outflow and netflow are proposed in a three-level supply chain under the assumption that the the process of consumer demand is a AR(1) process. Then the risks of the three kinds of cash flow are measured by the simulation CVaR methods. According to a numerical example, the impacts to risks of cash flow and turnover speed of cash flow caused by some managements of supply chain-such as discout are analysised. Based on this, a new kind of supply chain contract, entrustment contract, is proposed to trade off the conflict between the hedging of cash flow risk and the increasing of the speed of cash turnover. Therefore, based on the same assumption about the supply chain framework and the consumer demand, the different impacts of the two different kinds of supply chain contract to the risk of cash flow and the speed of cash turnover are analysised.