Analysis of Supply Chain Efficiency under VaR and C-VaR Risk Preferences

Nowadays, uncertain environment of business provides variant risk for industrial companies which results in lower performances. In addition, under different risk factors, firms and supply chains are struggling with limitations for developing markets and achieving higher profits. In particular in domain of risk analysis there are different risk measures to model market risk factors. Herein, motivated by Value at Risk (VaR) and Conditional Value at Risk (C-VaR) measures, we study a typical supply chain based on the classic newsvendor problem under VaR and CVaR preferences. At first, we analysis centralized supply chain with a retailer and a supplier. Thus it can be seen that different risk preferences provide different optimal ordering decisions. Then we analysis supply chain coordination under these risk preferences. The results show that for a risk-averse retailer the efficiency of supply chain is decreased with respect to higher wholesale prices. Moreover, the efficiency is dramatically declined under VaR and C-VaR preferences.

کلیدواژه ها:

Risk modeling ، Supply chain coordination ، Risk aversion ، Value at Risk (VaR) ، Conditional Value at Risk (C-VaR).