考慮市場價格波動下承受或墊償契約設計之研究

Abstract

在現今高度變化供應體系下，企業需要在許多不確定下進行決策。當處在這些情境下，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。尤其在一些高資本密集及能源產業，具有產品無法長期保存及市場價格波動迅速之特性，因此，實務上發展出各式各樣具有避險功\\\能的買賣契約，如數量彈性供應鏈契約、具有選擇權特性之供應鏈契約等。通常在能源、高資本密集產業中，買方除與特定供應商簽訂契約外，仍存在有一現貨市場，而這個市場不僅可以給予買方更大的決策彈性空間，也提供賣方轉售多餘產能的管道。 在財務上，利用契約進行避險的作法已發展多年，然而相關研究均較著重於買方對於契約的評價，本研究鑑於此，嘗試改以賣方的角度，探討契約的提供者如何設計出一個對雙方皆有利的買賣契約，以規避買賣方所面對的風險，進而補足對過去研究在此方面不足之處。在分析的過程中，本研究假定市價服從幾何布朗運動(Geometric Brownian Motion)，並在滿足買方期望契約價值為正的前提下，找尋賣方如何透過不同參數設計出一附有具承受或墊償(Take-or-pay)概念之契約，以達到賣方利潤極大。本研究首先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比較，接著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。 透過本研究之分析可以得知利用承受或墊償契約(Take-or-pay Contract)，買方可規避因現貨市場價格上升導致採購成本提高的風險，而賣方也可利用買方期初最低承諾購買量減少生產波動的狀況；另外，賣方也可以在買方未完全履約下，收取部分違約金，並且將因此造成的多餘產能，而必須折價銷售至市場的風險降至最低。綜合以上，承受或墊償契約可協助買賣雙方規避自身的風險，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。

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 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. Then we use the standard deviation of the market price, penalty payment, minimum commitment quality, and discount to analyze how they affect the seller. Finally, experimental design is used to determine which factor has the greatest impact on the seller’s profit. 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.