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1、Weather Risks, Hedging and Operations Management/Decisions天气天气变动变动风险，对冲和运作管理风险，对冲和运作管理/ /决策决策http:/ /反常反常”太热太热, ,太冷太冷, ,“热夏热夏”, , “凉夏凉夏”, ,多雨天，。多雨天，。 非一定是天灾性非一定是天灾性 台风，洪水，。台风，洪水，。http:/ 4月天气指数下降了月天气指数下降了15.515.5点，点，跌至跌至102.7102.7点，是自去年点，是自去年1010月以来的最月以来的最低低4 4月新增就业人数的下降可月新增就业人数的下降可能至少部分与天气因素有能至少部分与天
2、气因素有关。关。 4 4月的零售销售情况令人失望。我月的零售销售情况令人失望。我们预计们预计4 4月的建筑材料商店销售下月的建筑材料商店销售下降降1.5-2 % 1.5-2 % http:/ Weather represents an important determinant of demand for many products.46% of U.S. GDP is affected by weather （ U.S. National Research Council）In the retail sector, Wal-Mart reported (June 2005): its inv
3、entory levels were higher than normal for the second straight quarter as below-normal temperatures crimped demand (Timberlake and Wiles 2005)http:/ The unfavorable weather conditions hurt demand not only in North America, but also in EuropeCadbury Schweppes beverage business was hit by cold summer w
4、eather in 2004, forcing the firm to lower its profit expectations. The company said the poor sales were in line with the industry as a whole where cold and wet weather in 2004 was compared with record summer temperatures in 2003“http:/ and Unilever also blamed the weather for low sales of soft drink
5、 and ice cream products and issued profit warnings, and Nestle attributed its missing the half-year targets to the impact of poor weather on demand for ice-cream and bottled water (Kleiderman 2004)The Hong Kong based Giordano also blamed to the unfavorable weather for its lower sales in 2001 (Lee et
6、 al.,2002). http:/ （Weather Risks）国民经济中许多重要部门都与天气变化密切相关：农业、能源（电力）、零售，交通、建筑、旅游等天气变化/变动的不确定性往往引起某些商品的生产成本和市场需求发生很大波动，从而引起企业收益的不确定性变化，这被称为天气风险天气风险。李黎，张羽 : :农业自然风险的金融管理：天气衍生品的兴起, 证券市场导报, 2006年03期 对生产/运作的挑战，但是对 金融财务来说是机会！http:/ （Weather Derivatives）金融工具，其结算是以一个或多个天气因素为交易对象，比如降水量、积雪深度、气温或风速,开泠气天数，需开暖气天数等。
7、最早的天气衍生品产生于20世纪90年代中期的能源行业。1996年8月，安然安然公司与佛罗里达西南电力公司交易了世界上第一笔天气衍生合同。天气衍生产品的出现，主要源于一些公司为解决市场萎缩而设计出来的转移天气风险天气风险的工具。 http:/ 天气期权是欧式期权，即买方只能在到期日行使权利，不能提前执行。在期权合约的执行日期，以官方发布天气记录，进行结算 天气期权 - 买入期权和卖出期权 买入期权(Call option) 的买方是为了防止天气的某些因素水平过高，而卖方则认为天气因素不会过高；卖出期权(Put option) 的买方是为了防止天气的某些因素水平过低，而买方则认为天气因素不会过低
8、http:/ 2月15日，交割日 3月15日费用“临界温度”平均温度 最大赔额买入期权买方http:/ 2005/06： $450 亿美元 2006/07：$192亿美元 （来源：www.wrma.org)http:/ 2005/06： 1百万 份 2006/07： 75万 份亚洲区：日本，韩国，台湾，澳大利亚，印度等http:/ （Variation）是 挑战 机会http:/ Research Projects 1.Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates
9、(管理天气相关需求的不确定性：定价延迟和与天气指数挂钩的回扣) 2.Joint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor Model (最佳订货量和天气对冲决策：一个报童模型 ) 3.Conditional Weather-Based Rebate and Advance Selling (与天气指数挂钩的有条件回扣和提前销售 )http:/ Studying such Problems?Are inventory/operations decisions related to the weath
10、er? Not yet, but now we show that they should be Most of the case studies/reports of weather risk hedging/management were based on the relationship between a weather index and net revenue， estimated through historical data, and they ignore the impact on oper. decisions http:/ Weather-Related Demand
11、Uncertainty withPrice Postponement and Weather Rebates管理天气相关需求的不确定性：定价延迟和与天气指数挂钩的回扣合作者：合作者： C. A. Yano（ UC Berkeley ）http:/ a manufacturer-retailer supply chain for a seasonal product which is exposed to weather risksThe retailer sells the good to the market, whose demand is weather- and price-sensi
12、tive. 我们知道， 由于 Double Marginalization, 供应链的整体效益 未达最优！ http:/ 19C: sales of mineral water improve significantly7-11 订货系统有多个天气预测变量！http:/ supplier can offer a weather-linked rebate to encourage the retailer to purchase more The retailer may be able to increase his profit in two ways: 1)postpone his pr
13、icing decision until better information is available about the weather 2)take advantage of a supplier-offered weather rebate contract. Rebate: 退还部分付款 http:/ Objectives研究目的To investigate the impact of rebate on both parties and the supply chain (回扣对制造商/供应商和零售商及供应链的影响)To understand the impact of the t
14、iming that the price decision is made, coupled with a rebate program （在有天气回扣协议下定价时机的影响）报童问题的框架In a newsvendor contexthttp:/ Rebate/Guarantee天气挂钩的回扣/保证协议Such a guarantee can take the form of a rebate scheme that is linked to a weather index (Malinow, 2002)Supporting data have become accessible to the
15、 public at a fairly low cost in recent years; e.g., extensive weather data are available at http:/ ExamplesThe market demand is temperature-dependent: the higher is the average seasonal temperature, the lower is the market demand. For example, a European clothing manufacturer tried to encourage ret
16、ailers to buy its winter collection early by offering a rebate if adverse weather conditions prevailed. The clothing maker produces winter clothes that are usually ordered by retailers in the summer to sell in late autumn and early winter. If the weather is milder than usual during the selling seaso
17、n, sales suffer and retailers are left with a surplus that they cannot sell the following year when fashions have changed Source: www.environmental- years ago, Bombardier Inc., a Canadian snowmobile manufacturer, offered an incentive that helped to protect itself against the lower sales and leftover
18、 inventory that accompany a mild winter. In the winter of 1998, the company offered buyers in the US Midwest a $1,000 rebate on its snowmobiles if a pre-set amount of snow did not fall that season. (The pre-set amount was half the average snowfall of the past three years, and the price of its snowmo
19、biles ranges from $7,000 to $9,000.) Sales increased 38% from the prior year! (Davis and Meyer 2000). http:/ manufacturer provides the retailer an incentive to purchase more by offering a rebate if the actual seasonal average temperature is higher than a pre-determined threshold, with the rebate amo
20、unt increasing in the deviation of the average temperature above the threshold. http:/ Rebate K (): Rebate $t*: Strike temperature q: Order quantityk (): Rebate rate functiont: Realized temperature 温度越高越不利！http:/ Two Rebate FormsK (): Rebate $t: Temperature q: Order quantityk: Rebate ratet*: Strike
21、temp. : Threshold quantity l = 0-1 variable Conditional rebate！http:/ of Rest Talk I.The Basic Model II.Price Postponement III.Numerical Examples / DiscussionIV.Other Two Models http:/ The Basic Model Pre-season Stage 1Season begins Stage 21. Supplier offers wholesale price & rebate 2. Retailer deci
22、des quantity & price3. Retailer sells 4. Supplier pays rebate if anyhttp:/ Profit Functionr (): Retailers expected profitq: Order quantity p: Selling priceR(q,p): Expected net revenuew: wholesale priceConditional rebate http:/ Profit Functions ( ): Suppliers expected profitq: Order quantity w: unit
23、production costConditional rebate http:/ without a rebate Retailer (qr, pr): Optimal order quantity & price dr (qr, pr): Max. profit Supplier wd : Wholesale price ds (qr, wd ): Max. profit Replace r, d with c: we obtain the solutions for a centralized supply chain http:/ with a rebate Consider a cla
24、ss of weather rebate scheme Such a rebate scheme can coordinate the supply chain. Supply chain profit can be allocated in any ratio between the supplier and retailer Varying combinations of w and ,Pareto improvement results Changing t* and k() leads to different risk-sharing among the two http:/ Com
25、pared with returns/buyback contract, No physical confirmation is required temperature record is “public information” Compared with markdown money, Not to protect the margin for the retailer No stipulation on retail prices, sales effort, and how to mark down the unsold Literature Review？http:/ Price
26、Postponement Pre-season Stage 1Season begins Stage 21. Supplier offers wholesale price w & rebate K()2. Retailer decides quantity q 3. Updating temp. Retailer sets price and sells: p 4. Supplier pays rebate if anyhttp:/ Postponement Its a two-stage Stackelberg “game”: At Stage 2, the retailer decide
27、s on selling price, given (t, w, q) At Stage 1, the retailer decides on order quantity q, given distribution of t and wKnowing the response of the retailer, the supplier decides on the wholesale price w With/without a rebate http:/ An Example Assume the demand functionA closed-form solution is obtai
28、nedhttp:/ Early/LateWith/without rebate, the retailer Order quantity: “price late” “price early” Supply chain profit: “price late” “price early” By how much with a rebate? When =1.1, pricing late by a factor of 1.17 (early, 1.27) When =1.5, pricing late by a factor of 1.3 (early, 1.7) 延迟定价和回扣是部分相互替代
29、的！ http:/ Introduced and analyzed weather rebate contracts for newsvendor settings that can achieve supply chain coordination and allow an arbitrary allocation of profits between the two parties.The proposed class of rebates also provides Pareto improvement without the need to increase the existing
30、wholesale price. More importantly, unlike other rebates designed to address issues surrounding excess end-of-season inventory, no inventory or markdown audits are necessary for enforcement of truth-telling and the contract does not have an adverse effect on sales effort. As such, the contract is eas
31、y to implement. http:/ The rebate can be incorporated both in instances where the retailer chooses hisselling price at the same time as he places an order (before receiving a signalabout the weather) or when he can adjust retail prices in response to the weather. Results for the case of power demand
32、 function reveal that the retailers ability to price late and the weather rebate both have multiplicative effects on profits in a compounding fashion, but the multiplicative effect of the weather rebate is not as strong when the retailer prices late, so late pricing and the weather rebates are parti
33、al substitutes.Both provide risk mitigation to the retailer while increasing his expected profit, and the supplier still obtains incremental benefitshttp:/ Research Projects 1.Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates2.Joint Optimal Ordering and Weather
34、Hedging Contract Decisions: a Newsvendor Model3.Conditional Weather-Based Rebate and Advance Selling http:/ Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor Model最佳订货量和天气对冲决策：一个报童模型 合作者： Fei Gao and Xiuli Chao http:/ （报童）在季节来前 购入 一种产品，数量 Q 其季节的市场需求 是 不确定的， 与某一天气指数有关； 例如， 与季节的平均气
35、温呈负相关 由于天气衍生品的存在，报童可以参与对冲市场，taking taking position, n.position, n.问题：同时决策：（，）？http:/ 属“豪赌”张近东：“那时候我比谁都关心长期天气预报，关心明年是”热夏“还是”凉夏“。 “有一次签付给春兰千万元预付款，自己在支票上签字时，手直发抖。”“向厂家淡季订货，反季节打款”已是“行业规则”。问题？http:/ Formulation CVaR or CVaR + Mean Other criteria (Mean-Variance, Utility Functions) Buy/sell weather options
36、 What have we obtained: Operationalizing the joint decision is tractable Existence of hedging substantially changes a firms risk profile http:/ Three Research Projects 1.Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates2.Joint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor Model3.Conditional Weather-Based Rebate and Advance Selling http:/ Weather-Based Rebate and Advance Selling与天气指数挂钩的有条件回扣和提前销售 http:/ 能力规划提前销售，降低需求不确定性有无更多的益处？“市场”变大！http:/ “永恒的主题”是挑战 又是机遇：研究与实践创新“有条件回扣” 值得 更多研究http:/ http:/
