دانلود مقاله ISI انگلیسی شماره 48256
عنوان فارسی مقاله

مدل بیمه برای حفاظت از شرکت های بزرگ در برابر ورشکستگی تامین کنندگان با استفاده از مدل سیاه شولز-مرتون

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48256 2015 8 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
AN INSURANCE MODEL FOR THE PROTECTION OF CORPORATIONS AGAINST THE BANKRUPTCY OF SUPPLIERS BY USING THE BLACK-SCHOLES-MERTON MODEL
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : IFAC-PapersOnLine, Volume 48, Issue 3, 2015, Pages 513–520

کلمات کلیدی
مدل سیاه شولز-مرتون؛ امور مالی زنجیره تامین؛ بیمه های زنجیره تامین ؛ مدیریت ریسک زنجیره تأمین؛ شبیه سازی مونت کارلو برای زنجیره تامین
پیش نمایش مقاله
پیش نمایش مقاله مدل بیمه برای حفاظت از شرکت های بزرگ در برابر ورشکستگی تامین کنندگان با استفاده از مدل سیاه شولز-مرتون

چکیده انگلیسی

Many banks provide supply-chain finance solutions that might include insurance services that further mitigate trade risk such as the default of suppliers. This study proposes the development of an insurance model that uses the Black-Scholes-Merton Model (BSM) for default prediction and risk pooling management techniques as a way to reduce the risk due to supplier bankruptcy and estimate an insurance premium that banks can use to charge this service to their customers. In order to demonstrate the use of the proposed insurance model, a sample of companies is selected from the New York Stock exchange and data for historical stock prices from the CRSP database (Center for Research in Security Prices) is collected in order to calculate the probability of bankruptcy of a sample of sup- pliers from different industries by using the BSM model. Twelve pools of companies of different sizes are created and a VBA program for Excel is developed in order to calculate probability of bankruptcy tables of companies be- longing to the different pools. A Monte Carlo simulation to simulate the impact on risk and expected losses on the number of insurance policies sold is implemented with the use of simulation software. The results show that the simulation is useful to estimate the number of sold policies required in order to reduce the risk to a minimum level and predict with a high level of certainty the losses due to bankruptcy of suppliers. The expected losses for a risk pool can be used by a financial institution in order to price an insurance contract that hedges a company against the risk of default of suppliers.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.