Supply portfolio risk

Haksöz, Çağrı and Kadam, Ashay (2008) Supply portfolio risk. [Working Paper / Technical Report] Sabanci University ID:SU_FMAN_2008/0001

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A manufacturer procuring raw materials via a portfolio of fixed-price long-term contracts is exposed to supply and demand side risks. The single period framework developed focuses on the risks arising from demand uncertainty and intentional contract breach by suppliers. It assumes the presence of a spot market that can be effectively used to mitigate the impact of both risks. The event (and probability) of contract breach is determined endogenously via the spot market price evolution. The buyer copes with the supplier breach or with shortfall/excess in demand by trading in the spot market. The extension to portfolio context is based on the CreditRisk+ framework which is well known in finance literature.
Item Type: Working Paper / Technical Report
Uncontrolled Keywords: Supply Chain Contracts, Contract Breach, Procurement, Portfolio Risk Management, Spot Market, CreditRisk+
Subjects: H Social Sciences > HG Finance > HG4001-4285 Financial management. Business finance. Corporation finance
H Social Sciences > HD Industries. Land use. Labor > HD0061 Risk Management
T Technology > TS Manufactures > TS0155-194 Production management. Operations management
Divisions: Sabancı Business School > Operations Management and Information Systems
Depositing User: Çağrı Haksöz
Date Deposited: 23 Oct 2008 00:05
Last Modified: 26 Apr 2022 10:46

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