Dynamic Risk Management of Commodity Operations: Model and Analysis
研究了商品加工企业在部分完备市场中的动态风险管理问题，通过联合优化运营和金融对冲决策，发现最优运营策略具有价格和时间阈值结构，并分析了财务困境成本的影响。
Adverse commodity prices can cause significant negative cash flows and expose firms that deal in commodities to financial distress. In this paper we consider the dynamic risk management problem for a commodity processor operating in a partially complete market, facing both price uncertainty and significant financial distress costs. The firm procures an input commodity, processes it to produce an output commodity, and trades the output commodity in each period over a multiperiod horizon. The firm’s objective is to dynamically and jointly plan operational and financial hedging decisions to maximize the market-based value of cash flows under a time-consistent risk measure. We show that the optimal operational policy has the same price and horizon dependent threshold structure that obtains when markets are complete. We also characterize conditions under which a myopic policy is optimal. We present numerical studies to illustrate that (i) compared to using a myopic policy or a policy that neglects to model financial distress costs, the advantage of using the optimal policy is significant for firms that face moderate financial distress costs and have excess procurement capacity; (ii) more acute financial distress costs reduce the firm’s market-based value and throughput; and (iii) financial hedging provides considerable benefit by reducing the incidence of large negative cash flows. The online appendix is available at https://doi.org/10.1287/msom.2017.0647 .