The Storage And Procurement Model Based On The Algorithm Of VaR And CVaR

The dissertation mainly studies the basic tools of the supply chain risk management as well as their inside problems. And the paper also trys to improve and explore other supply chain management methods and ideas through bringing in financial quantitative algorithms—VaR and CVaR. Basing on the principle of risk management theory, the basic tools of simulation and programming approach, and under the guidance of practical application ideas of VaR and CVaR in supply chain risk management, this paper studies how to use the algorithms—VaR and CVaR in the procurement model, storage model and risk evaluation model.In the fierce competitive market environment, enterprisers have to concern the risks and uncertainties. Every companies are suffering from unprecedented votality and frangibility. Therefore more and more manufacturing companies are paying attention to the risk factors and trying to find an integrated model to control the unpredictable market risks, economic fluctuation and avenue waving risks. However, according to the current literatures, most models focus their researching direction on some single points, and few people presents the ideas how to combine separate models together in order to concerntrate the management. Then this paper provides the idea that we could use the quantitative methods in financial risk management so that we could combine the separate models together and bring up a new optimum strategy.This paper tries to use the kernel ideas of VaR and CVaR in procument management models, so that we could establish the models and continue the risk analyses. In the traditional procurement models, we add the option contracts in order to control the risk caused by the fluctuating prices and variable outside demands. What is more, this paper also tries to use the CreditMetrics model to evaluate the supplier's credit levels so that we could calculate the CVaR of the suppliers'default losses. The calculating results show that the idea of VaR and CVaR is very suitable to establish the model in the area of materials purchase and order.