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1、Weather Risks, Hedging and Operations Management/Decisions 天气变动风险，对冲和运作管理/决策,http:/ “非常/反常”太热,太冷,“热夏”, “凉夏”, 多雨天，。 非一定是天灾性 台风，洪水，。,http:/ %,http:/ 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 s
2、ector, Wal-Mart reported (June 2005): its inventory levels were higher than normal for the second straight quarter as below-normal temperatures crimped demand (Timberlake and Wiles 2005),http:/ unfavorable weather conditions hurt demand not only in North America, but also in Europe Cadbury Schweppes
3、 beverage business was hit by cold summer weather 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 bl
4、amed the weather for low sales of soft drink 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 unfavorabl
5、e weather for its lower sales in 2001 (Lee et 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。,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
6、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。 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 opt
7、ion) 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,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:/ （单位：百万美元）,2005/06： $450 亿美元 2006/07：$192亿美元 （来源：www.wrma.org),http:/ 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,Managing Weather-Related Demand Uncertai
8、nty with Price 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) 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 ) 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 inven
9、tory/operations decisions related to the weather? 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
10、oper. decisions,http:/ Weather-Related Demand Uncertainty with Price 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： C. A. Yano （ UC Berkeley ）,http:/ a manufacturer-retailer supply chain for a seasonal product which is exposed to weather risks The retailer sells the good to the
11、 market, whose demand is weather- and price-sensitive.,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 significantly,7-11 订货系统有多个天气预测变量！,http:/ Supply Chain,A risk-neutral or risk-tolerant manufacturer (supplier) sells to a retailer who in turn sells to a m
12、arket. The retailer chooses both the order quantity and the retail price.,我们知道， 由于 Double Marginalization, 供应链的整体效益 未达最优！,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: postpone his pricing dec
13、ision until better information is available about the weather 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 timing th
14、at 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 context,http:/ 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 p
15、ublic at a fairly low cost in recent years; e.g., extensive weather data are available at ,http:/ 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 retailers to buy
16、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 season, sales suffe
17、r 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 inventory tha
18、t 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 snowmobiles ranges f
19、rom $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 amount increasing
20、 in the deviation of the average temperature above the threshold.,http:/ Rebate,K (): Rebate $ t*: Strike temperature q: Order quantity,k (): Rebate rate function t: Realized temperature,温度越高越不利！,http:/ Rebate Forms,K (): Rebate $ t: Temperature q: Order quantity,k: Rebate rate t*: Strike temp.,: Th
21、reshold quantity,l = 0-1 variable,http:/ of Rest Talk,The Basic Model Price Postponement Numerical Examples / Discussion Other Two Models,http:/ The Basic Model,Pre-season Stage 1,Season begins Stage 2,1. Supplier offers wholesale price & rebate 2. Retailer decides quantity & price,3. Retailer sells
22、 4. Supplier pays rebate if any,http:/ Profit Function,r (): Retailers expected profit q: Order quantity p: Selling price,R(q,p): Expected net revenue,w: wholesale price,Conditional rebate,http:/ Profit Function,s ( ): Suppliers expected profit q: Order quantity,w: unit production cost,Conditional r
23、ebate,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 class of weather rebate scheme
24、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:/ with returns/buyback contract,
25、 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 Postponement,Pre-season Stage 1,Sea
26、son begins Stage 2,1. 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 any,http:/ Postponement,Its a two-stage Stackelberg “game”: At Stage 2, the retailer decides on selling price, given (t, w
27、, q) At Stage 1, the retailer decides on order quantity q, given distribution of t and w Knowing the response of the retailer, the supplier decides on the wholesale price w With/without a rebate,http:/ An Example,Assume the demand function A closed-form solution is obtained,http:/ Early/Late,With/wi
28、thout 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的！,http:/ and analyzed weat
29、her 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 wholesale price. More importantly, un
30、like 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 easy to implement.,http:/ rebate can be
31、incorporated both in instances where the retailer chooses his selling price at the same time as he places an order (before receiving a signal about the weather) or when he can adjust retail prices in response to the weather. Results for the case of power demand function reveal that the retailers abi
32、lity 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 partial substitutes. Both provide risk mitig
33、ation to the retailer while increasing his expected profit, and the supplier still obtains incremental benefits,http:/ Research Projects,Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates Joint Optimal Ordering and Weather Hedging Contract Decisions: a Newsvendor
34、 Model 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 posit
35、ion, n. 问题：同时决策： （，）？,http:/ 苏宁以买（批发）空调为主 模式创新： 年前， “先卖货，后进货” 入年代， “向厂家淡季订货，反季节打款” 此创新 风险很大， 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 wea
36、ther options,What have we obtained: Operationalizing the joint decision is tractable Existence of hedging substantially changes a firms risk profile,http:/ Research Projects,Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates Joint Optimal Ordering and Weather Hed
37、ging Contract Decisions: a Newsvendor Model 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:/ 问题？ 能不能在晚春初夏 卖空调冰箱？ 一日本企业保证买家（消费者）在月前买入空调，如果夏季平均温度低于 去三年的平均，退款万日元！,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:/