考慮市場價格波動下承受或墊償供應鏈契約設計之研究

Take-or-Pay Supply Chain Contract under Market Price Volatility

蔣明晃(David Chiang) ； 郭瑞祥(Ruey-Shan Guo) ； 陳明賢(Ming-Hsien Chen) ； 白凢芸(Fan-Yun Pai)

《管理學報》 24卷1期 (2007/02) Pp. 1-16

https://doi.org/10.6504/JOM.2007.24.01.01

摘要

在現今高度變化供應體系下，企業必需在許多不確定下進行決策，為降低不確定下所產生的風險，企業常會利用買賣契約來達成避險的目的，然而在學術研究上，先前學者多著重於買方對於契約的評價，而非以契約提供者的角度出發。有鑑於此，本研究嘗試改以賣方的角度，探討契約提供者如何設計出一個對雙方皆有利的買賣契約。本文首先以市價服從幾何布朗運動出發，在滿足買方期望契約價值為正下，找尋賣方如何透過不同參數設計出一附有具承受或墊償概念之契約，以達到賣方利潤極大；接著針對市場價格標準差、買方期初最低承諾購買量、賣方給與買方價格折扣的幅度及違約成本等對賣方期望利潤差異進行敏感度分析，並利用實驗設計的方式，探討四個因素對賣方期望利潤的影響。以協助買賣雙方規避自身的風險，進而增加個別的實質利益。透過本研究之分析可以得知承受或墊償契約不僅可協助買賣雙方規避自身的風險，並且能夠帶給決策者更大的決策彈性，進而增加個別的實質利益。

關鍵字

承受或墊償契約 ； 最低承諾購買量 ； 二項式評價模型

並列摘要

In the rapidly changed supply chain system, companies have to make decisions under many uncertainties. Thus, they often try to reduce risks by signing contracts. Due to their products can't be preserved for a long period of time, capital intensive and energetic industries need to use contracts to avert risks especially. Therefore, it has developed kinds of supply contracts such as quantity flexibility supply contracts and option-based supply contracts. In these kinds of industries, besides contracting with a specific supplier, there usually exists a spot market. This market can give buyers more flexibility and provide sellers a new way to resell excess products.
In financial field, it has been a long time to develop contracts to reduce risks. Nevertheless, most of relative researches assumed deterministic demand and took buyers' point of view to evaluate contracts. In this thesis, we try to play the role of the contract provider, that is, the seller, and design a contract which is beneficial both to buyers and sellers.
First, we assume that market price is a random variable which follows Geometric Brownian Motion. We then model a take-or-pay contract based on the scenario that a spot market exists and a buyer can purchase twice for a period of time. The buyer's and seller's expected profit model are constructed respectively. An optimal take-or-pay contract is defined to maximize seller's profit; meanwhile the buyer's expected contract value must be positive. An example is, then, provided to derive the optimal take-or-pay contract.
After constructing the model, parameter analysis is conducted. Although the initial market price, penalty payment, minimum commitment quantity and volatility of spot market price are the critical factors for contract design, the initial market price can not be manipulated by the buyer or the seller. Thus, we simply analyze the impact of penalty payment, the minimum commitment quantity and volatility of spot market price with respect to the expected contract value for the buyer and the expected profit for the seller.
Finally, an experimental design is employed to determine which factor has the greatest impact on the seller's profit. This study employs a 2 (standard deviation of the market price: high and low level) × 2 (minimum commitment quantity: high and low level) × 2 (discount rate: high and low level) × 2 (penalty payment: high and low level) design. ANOVA analysis results indicates that the main effect of all the four factor and the interaction of the standard deviation of the market price and penalty payment have the significant impact on the seller's profit. Regression analysis is also conducted and managerial insights are given accordingly.
Through the research, we demonstrate that take-or-pay contracts not only enable buyers and sellers to avert risks but also offer them more decision flexibility. By properly manipulating minimum commitment and penalty payment, take-or pay contracts can help increase both buyers' and sellers' profit significantly.

並列關鍵字

Take-or-pay Contract ； Minimum Commitment ； CRR Model

參考文獻

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