Research On The Procurement Model Based On Spot Market And Conditional Value-at-Risk

As early as 90 years since the last century, supply chain management, as a hot practical and research topic, is being widely recognized. With economic development and information technology progress, spot market trading has been widely existed in different types of industries, such as agricultural products, petroleum, steel, DRAM and so on. Spot markets have changed cooperating relationships of supply chain enterprises from only contract markets to coexistence of contract markets and spot markets, which will absolutely add complexity of supply chain management, and also bring a new subject for supply chain study.The spot markets have changed the original structure of the supply chain and increased the flexibility and convenience of supply chain decisions. However, the emergence of spot markets also increases the risk of supply chain management. Supply chain companies not only face uncertainty of market demand, but also face the fluctuation of spot market prices. How to control the risk of demand and spot market prices by supply chain contracts is the key issue of supply chain management. This article focuses on supply chain purchasing strategy based on the coexistence of spot markets and contract markets. Consider two dimensions, from long-term fixed contracts to option contracts and from risk-neutral and risk-averse type, and establish purchasing model. Further, deeply discuss two situations: demand-certain and demand-uncertain. This thesis supported by a national natural science foundation program (70772065). In the following are two innovations:First, before this thesis, few papers have considered coexistence of spot market and contract market. Especially, risk management of fluctuation of spot market price and uncertainty of market demand is not researched at all. This thesis researches on risk neutral and risk-averse procurement strategy, based on spot market and contract market.Second, use CVaR (conditional value at risk) as a measure of risk. This method takes less than a certain percentile of the average profits, which better reflects risk-averse buyers'attitude.