Transcript 天气状况

Weather Risks, Hedging and
Operations Management/Decisions
天气变动风险，对冲和运作管理/决策
陈友华
香港中文大学
第九届全国MBA <生产运作管理〉教学和学术研讨会
内蒙古工业大学， 2007年7月23日
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，。。。
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
4月新增就业人数的下降可
降1.5-2
%
能至少部分与天气因素有
关。
天气对经济活动影响重大
• Weather represents an important
determinant 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)
天气影响重大（续）
• The unfavorable weather conditions hurt
demand not only in North America, but also in
Europe
– Cadbury 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 whole where cold
and wet weather in 2004 was compared with
record summer temperatures in 2003“
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 impact of poor weather on demand for icecream 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).
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
对生产/运作的挑战，但是对
• 天气变化/变动的不确定性往往引起某些商
金融财务来说是机会！
品的生产成本和市场需求发生很大波动，
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
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。
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
买入期权买方
最大赔额
平均温度
“临界温度”
费用
例：11月15日– 2月15日，交割日 3月15日
USA天气衍生品合约交易面额
（单位：百万美元）
$8,363
$9,000
$8,000
$7,000
$6,000
$4,339
$5,000
$4,000
$4,188
$4,578
CME Winter
CME Summer
OTC Winter
OTC Summer
$2,517
$3,000
$2,000
$1,000
$0
2000/1
2001/2
2002/3
2003/4
2004/5
• 2005/06： $450 亿美元
• 2006/07：$192亿美元 （来源：www.wrma.org)
全球天气衍生品合同数量的地区分布
5,000
4,500
4,000
Other
Europe
Asia
NA East
NA Mwest
NA South
NA West
3,500
3,000
2,500
2,000
1,500
1,000
500
0
2000/1
2001/2
• 2005/06： >1百万 份
• 2006/07：~ 75万 份
2002/3
2003/4
2004/5
亚洲区：日本，韩国，台湾，
澳大利亚，印度等
回顾李乐德教授的话
变动 （Variation）是
• 挑战
• 机会
Three Research Projects
1. Managing Weather-Related Demand
Uncertainty with Price 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)
2. 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 )
3. Conditional Weather-Based Rebate and
Advance Selling (与天气指数挂钩的有
Why Studying such Problems?
• Are inventory/operations decisions related
to the weather?
– Not yet, but 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
Managing Weather-Related Demand
Uncertainty with
Price 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 ）
问题的提出
• Consider a manufacturer-retailer supply
chain for a seasonal product which is
exposed to weather risks
• The retailer sells the good to the market,
whose demand is weather- and pricesensitive.
我们知道， 由于 Double Marginalization, 供应
链的整体效益 未达最优！
矿泉水销售与气温相关性
Mineralwasserabsatz in %
R2 = 0,9549
7-11 订货系统有多
个天气预测变量！
> 19°C:
sales of mineral water
improve significantly
15,0
20,0
25,0
30,0
Tem peratur in °C
35,0
40,0
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:
1) postpone his pricing decision until better
information is available about the weather
2) take advantage of a supplier-offered weather
rebate contract.
Rebate: 退还部分付款
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
报童问题的框架
和零售商及供应链的影响)
In a newsvendor context
• To understand the impact of the
timing that the price decision is
made, coupled with a rebate
program （在有天气回扣协议下定价
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 cost in recent years;
e.g., extensive weather data are available at
climetrix.com
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 collection 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 left with a
surplus that they cannot sell the following year when
fashions have changed
Source: www.environmental-finance.com/2004/0403mar/hedge.htm
• 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 accompany 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 $9,000.)
– Sales increased 38% from the prior year! (Davis and
Meyer 2000).
• The manufacturer provides the retailer an
incentive to purchase more by offering a
rebate if the actual seasonal average
temperature is higher than a predetermined threshold, with the rebate
amount increasing in the deviation of the
average temperature above the threshold.
Conditional Rebate
温度越高越不利！
K (t*, q) 
K (): Rebate $$$
t*: Strike temperature
q: Order quantity

0
k (t ,q )
if t *  t
if t *  t
k (): Rebate rate function
t: Realized temperature
Two Rebate Forms
K (): Rebate $$$
t: Temperature
q: Order quantity
: Threshold
quantity

(1) K (t , q)  k  (t  t*)  (q   
Conditional
rebate！
k: Rebate rate
t*: Strike temp.
l=
0-1 variable
Agenda of Rest Talk
I.
II.
III.
IV.
The Basic Model
Price Postponement
Numerical Examples / Discussion
Other Two Models
I. The Basic Model
1. Supplier offers
wholesale price &
rebate
2. Retailer decides
quantity & price
Pre-season
Stage 1
3. Retailer sells
4. Supplier pays
rebate if any
Season begins
Stage 2
Retailer’s Profit Function
r (): Retailer’s expected profit
q: Order quantity
p: Selling price
Conditional
rebate
 r (q, p)  R(q, p)  wq  E{K (t*, q)}
R(q,p): Expected
net revenue
w: wholesale
price
Supplier’s Profit Function
s ( ): Supplier’s expected profit
q: Order quantity
Conditional
rebate
 s (q, w)  (w  c)q  E{K (t*, q)}
w: unit
production cost
Analysis: 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
Analysis: with a rebate
Consider a class of weather rebate scheme


t*
k (t , q) f (t )dt  ( w  c)( q  )

where the value of   qc is pre - set.
• Varying
combinations
w and ,the supply
Such
a rebate
scheme can of
coordinate
Pareto
results
chain. improvement
Supply chain profit
can be allocated in any
•ratio
Changing
andsupplier
k() leads
different riskbetweent*the
andtoretailer
sharing among the two
Advantages
• Compared with returns/buyback contract,
– No 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？
II. Price Postponement
1. Supplier offers
wholesale price w &
rebate K()
3. Updating temp.
Retailer sets price
and sells: p
2. Retailer decides
quantity q
4. Supplier pays
rebate if any
Pre-season
Stage 1
Season begins
Stage 2
Price Postponement
• It’s a two-stage Stackelberg “game”:
– At Stage 2, the retailer decides on selling
price, given (t, w, q)
– At Stage 1, the retailer decides on order
quantity q, given distribution of t and w
• Knowing the response of the retailer, the
supplier decides on the wholesale price w
• With/without a rebate
III. An Example
• Assume the demand function
D( p, t )  a(t )  p


where  is the constant price elasticity ,
 is a random var.
• A closed-form solution is obtained
Pricing Early/Late
• With/without rebate, 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！
小结
• Introduced and analyzed weather rebate contracts 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 rebates 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.
小结
• The rebate can be incorporated both in instances where
the retailer chooses his selling price at the same time
as he places an order (before receiving a signal about
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 retailer's ability to price late 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 retailer while increasing his
expected profit, and the supplier still obtains incremental benefits
Three Research Projects
1. Managing Weather-Related Demand
Uncertainty with Price Postponement and
Weather Rebates
2. Joint Optimal Ordering and Weather
Hedging Contract Decisions:
a Newsvendor Model
3. Conditional Weather-Based Rebate and
Advance Selling
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
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 ａ position, n.
–问题：同时决策：
（Ｑ，ｎ）？
苏宁的经验
• １９９０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：
• １９９０年前， “先卖货，后进货”
• 入１９９０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５
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？
Model Formulation
• CVaR or CVaR + Mean
• Other criteria (Mean-Variance, Utility
Functions)
• Buy/sell weather options
What have we obtained:
• Operationalizing the joint decision is tractable
• Existence of hedging substantially changes a
firm’s risk profile
Three Research Projects
1. Managing Weather-Related Demand
Uncertainty with Price Postponement and
Weather Rebates
2. Joint Optimal Ordering and Weather
Hedging Contract Decisions:
a Newsvendor Model
3. Conditional Weather-Based Rebate and
Advance Selling
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
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７月前买入空
调，如果夏季平均温度低于 去三年的平均，退
款１万日元！
研究的问题
• 可以想象（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！
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
结束
谢谢！
• 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。