دانلود رایگان ترجمه مقاله مدیریت ریسک مالی و عملیاتی یکپارچه ریسک ارز خارجی (نشریه الزویر 2018)

مدیریت ریسک مالی و عملیاتی یکپارچه ریسک ارز خارجی، ریسک قیمت کالاهای ورودی و عدم قطعیت تقاضا

Integrated Financial and Operational Risk Management of Foreign Exchange Risk, Input Commodity Price Risk and Demand Uncertainty

Abstract

In this paper, we study the risk management performance of a supply chain which is exposed to foreign exchange risk, commodity price risk and demand uncertainty. We develop an integrated risk management model which uses both financial derivatives and operational methods to hedge the supply chain risks. Findings are discussed for the cases of exchange rate risk with and without hedging.

1 Introduction

In this paper, we develop a model that incorporates an integrated financial/operational approach to risk management when managing risks along a supply chain. The risks of the supply chain consist of foreign exchange risk, uncertainty in the price of its input commodity and uncertainty in the demand for its output. The risk management methods used by the supply chain consist of financial derivatives and the use of operational hedging methods. We examine the performance of the supply chain’s integrated risk management approach and focus on the impact of foreign exchange risk on this performance. We illustrate our model and its application by a study of a supply chain which consists of an aluminium can supplier, a brewery and a beer distributor. The domestic currency of the can supplier, brewery and beer distributor is the Canadian dollar (CAD). The input to the can supplier consists of aluminium sheets whose price is denominated in US dollars (USD). The volatility in the exchange rate between the USD and the CAD is the source of foreign exchange risk. The commodity price risk is due to fluctuation in the USD denominated price of the aluminium sheets. Demand uncertainty is due to variability in the demand for beer. Risk management is accomplished by controlling the inventory of aluminium sheets, aluminium cans and beer as well as by using options on aluminium futures, whose premiums as well as the underlying futures price are both denominated in CAD. The performance of the integrated risk management approach is quantified by the expected total opportunity cost of the supply chain.

Our paper adds to the existing literature on the benefits of integrating financial and operational methods in risk management. Operational approaches include real options such as switching production between plants located in different countries to supply different markets to protect against fluctuations in a currency exchange rate (Kogut and Kulatilaka 1994, Huchzermeier and Cohen 1996). The use of real options is integrated with the use of financial instruments in models developed by Mello et al. (1995), Chowdhry and Howe (1999) and Hommel (2003) to manage demand uncertainty and foreign exchange risk. Ding et al. (2007) use postponing of capacity allocation in addition to foreign currency options. Triantis (2000) notes that firms exposed to exchange rate risk can use financial derivatives to manage the short term impacts of transaction risk but cannot affect the long term effects of competitive risk. In their studies of multinational and non-financial firms, Allayannis et al. (2001), and Kim et al. (2006) find that geographical dispersion of a firm’s activities is an operational hedging strategy that is complemented by the use of currency derivatives to hedge against foreign exchange risk. However, Aabo and Simkins (2005), who survey firms to determine their use of real options and financial instruments to manage foreign exchange risk, find that a majority of the firms would prefer to manage their exposure with real options.

Financial and operational risks faced by the beer supply chain studied are presented in Section 2. We describe in detail the integrated risk management model incorporating financial and operational hedging instruments in Section 3. Findings and concluding remarks are discussed in Section 4 and in Section 5, respectively.