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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:/,天气状况：“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:/,4月天气指数下降了15.5点，跌至102.7点，是自去年10月以来的最低,4月新增就业人数的下降可能至少部分与天气因素有关。,4月的零售销售情况令人失望。我们预计4月的建筑材料商店销售下降1.5-2%,http:/,天气对经济活动影响重大,Weather represents an important determinan
2、t 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 inventory levels were higher than normal for the second straight quarter as below-normal temperatures crimped demand(Timberlake and Wiles 2005),http:
3、/,天气影响重大（续）,The unfavorable weather conditions hurt demand not only in North America,but also in EuropeCadbury Schweppes 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 whol
4、e where cold and wet weather in 2004 was compared with record summer temperatures in 2003“,http:/,天气影响重大（续）,Coca-Cola and Unilever also blamed 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 impa
5、ct 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 al.,2002).,http:/,天气的自然风险（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
6、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:/,天气衍生品（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。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:/
7、,例子：期权,天气期权是一种期货期权，表示投资者在未来某一日期有权买卖某一个天气指数期货合同 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,http:/,例：11月15日 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:/,USA天气衍生品合约交易
8、面额（单位：百万美元）,2005/06：$450 亿美元 2006/07：$192亿美元（来源：www.wrma.org),http:/,全球天气衍生品合同数量的地区分布,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:/,回顾李乐德教授的话,变动（Variation）是 挑战 机会,http:/,Three Research Projects,Managing Weather-Related Demand Uncertainty with Price Postponement and Weather Rebates(管理天气相关需
9、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:/,Why Studying such Problems?,Are inventory/operations decisions related to the weather?Not yet,bu
10、t 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:/,Managing Weather-Related Demand Uncertain
11、ty 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：C.A.Yano（UC Berkeley）,http:/,问题的提出,Consider 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-sensitiv
12、e.,我们知道，由于 Double Marginalization,供应链的整体效益 未达最优！,http:/,矿泉水销售与气温相关性,19C:sales of mineral water improve significantly,7-11 订货系统有多个天气预测变量！,http:/,The Supply Chain,A risk-neutral or risk-tolerant manufacturer(supplier)sells to a retailer who in turn sells to a market.The retailer chooses both the order
13、 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:/,问题的提出（续）,The 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 decision until better information i
14、s available about the weather take advantage of a supplier-offered weather rebate contract.,Rebate:退还部分付款,http:/,The 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 that the price decision is made,co
15、upled 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:/,Weather-linked 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 public at a fairly low co
16、st in recent years;e.g.,extensive weather data are available at,http:/,Examples,The 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 its winter collect
17、ion 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 suffer and retailers are l
18、eft with a surplus that they cannot sell the following year when fashions have changed,Source:www.environmental-,http:/,Several years ago,Bombardier Inc.,a Canadian snowmobile manufacturer,offered an incentive that helped to protect itself against the lower sales and leftover inventory that accompan
19、y 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 from$7,000 to$9,
20、000.)Sales increased 38%from the prior year!(Davis and Meyer 2000).,http:/,The manufacturer provides the retailer an incentive to purchase more by offering a rebate if the actual seasonal average temperature is higher than a pre-determined threshold,with the rebate amount increasing in the deviation
21、 of the average temperature above the threshold.,http:/,Conditional Rebate,K():Rebate$t*:Strike temperature q:Order quantity,k():Rebate rate functiont:Realized temperature,温度越高越不利！,http:/,Two Rebate Forms,K():Rebate$t:Temperature q:Order quantity,k:Rebate ratet*:Strike temp.,:Threshold quantity,l=0-
22、1 variable,http:/,Agenda of Rest Talk,The Basic Model Price Postponement Numerical Examples/DiscussionOther Two Models,http:/,I.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 4.Supplier pays rebate
23、if any,http:/,Retailers Profit Function,r():Retailers expected profitq:Order quantity p:Selling price,R(q,p):Expected net revenue,w:wholesale price,Conditional rebate,http:/,Suppliers Profit Function,s():Suppliers expected profitq:Order quantity,w:unit production cost,Conditional rebate,http:/,Analy
24、sis: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:/,Analysis:with a rebate,Consider a class of weather rebate scheme Such a rebate sche
25、me 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:/,Advantages,Compared with returns/buyback contract,No
26、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:/,II.Price Postponement,Pre-season Stage 1,Season be
27、gins 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:/,Price Postponement,Its a two-stage Stackelberg“game”:At Stage 2,the retailer decides on selling price,given(t,w,q)At Stage 1,t
28、he 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:/,III.An Example,Assume the demand functionA closed-form solution is obtained,http:/,Pricing Early/Late,With/without reba
29、te,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:/,小结,Introduced and analyzed weather rebate co
30、ntracts 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,unlike other rebat
31、es 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:/,小结,The rebate can be incorporated
32、 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 function reveal that the retailers ability to price lat
33、e 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 mitigation to the retaile
34、r while increasing his expected profit,and the supplier still obtains incremental benefits,http:/,Three Research Projects,Managing Weather-Related Demand Uncertainty with Price Postponement and Weather RebatesJoint Optimal Ordering and Weather Hedging Contract Decisions:a Newsvendor ModelConditional
35、 Weather-Based Rebate and Advance Selling,http:/,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,合作者：Fei Gao and Xiuli Chao,http:/,问题的提出和研究目的,企业（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 position,n
36、.问题：同时决策：（，）？,http:/,苏宁的经验,年代前期，国内家电是“卖方市场”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:/,Model Formulation,CVaR or CVaR+Mean Other criteria(Mean-Variance,Utility Functions)Buy/sell
37、weather options,What have we obtained:Operationalizing the joint decision is tractable Existence of hedging substantially changes a firms risk profile,http:/,Three Research Projects,Managing Weather-Related Demand Uncertainty with Price Postponement and Weather RebatesJoint Optimal Ordering and Weat
38、her Hedging Contract Decisions:a Newsvendor ModelConditional Weather-Based Rebate and Advance Selling,http:/,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:/,苏宁的经验（续）,“向厂家淡季订货，反季节打款”已是“行业规则”。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:/,研究的问题,可以想象
39、（对卖方企业）的好处：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:/,总结,天气多变是“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:/,结束,谢谢！,http:/,麦哲伦基金的林奇是投资界的一个传奇人物。他也曾经讲过怎么在鸡尾酒会上判断股市泡沫。在鸡尾酒会上有四个阶段：第一个阶段，你跟别人说你是基金经理，大家马上会离开你，谈论天气、球赛，或是找牙医谈牙斑。这说明股市基本健康；第二个阶段，你说你是基金经理，别人跑过来跟你聊两分钟股票，又去找牙医了。这说明股市开始进入牛市；到第三个阶段，听说你是基金经理，所有的人，包括牙医在内，都过来听你谈股票；最后一个阶段，大家开始向你推荐股票，连牙医也会头头是道地讲，你该买什么股票。毫无疑问，这时候就是泡沫即将崩溃的前夕。,http:/,
