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Risk management in Supply Chain Based on Conditional Value at Risk Control: Modeling, Strategies and Case Study in China

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2 Author(s)
Wang Zongrun ; Business school, Central South University, Hunan Changsha, 410083, PRC; Economics and Management school, Beihang University, Beijing, 100083, PRC. ; Zhou Yanju

In this paper, we develop a quantitative risk assessment model of supply chain in which conditional value-at-risk (CVaR) is used as a risk measure tool. The model consists of three tiers of agents: the suppliers, the manufacturers, and the distributors/retailers and all of them are listed companies. Since stock price often reflects much information, i.e., certainty and uncertainty, the past and future, we select the volatility of stock return as a measure of supply chain risk exposure. This method reduces the difficulty and complexity of assessing supply chain risk greatly. In this paper, we investigate supply chain risk exposures standing on the viewpoint of manufactures. According to the calculated CVaR of stock return as well as the weighted factors of different risk agents we can obtain the degree of supply chain risk exposures. The selection of weighted factor is based on the trading scale between two agents. Finally, we illustrate our model and the computational procedure through TV industry in China

Published in:

2006 IEEE International Conference on Management of Innovation and Technology  (Volume:2 )

Date of Conference:

21-23 June 2006