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Supply Chain Outsourcing in Enterprise Risk Management: A DEA VaR Model Desheng Dash Wu University of Toronto Reykjavik University RiskLab dash@risklab.ca Call for paper Computers Operations Research (SCI/EI, Impact factor 1.147) /authored_subject_sections/S03/S03_cfp/CAOR_CfP_DashWuRiskManagement.pdf “OR in Risk Management ” Due date: March 31, 2009 Guest editor: Desheng Dash Wu, David L. Olson and John Birge Approximate date for final submission of accepted manuscripts: Nov, 2009 Outline Introduction Enterprise Risk Management (ERM 全面风险管理) Supply Chain Outsourcing, Vendor Evaluation Contribution: ERM steps in Supply Chain Outsourcing Risk Data envelopment analysis (DEA) + Value at Risk (VaR): Intuition Conclusions and Future Research (银行链, 金融危机) Review of Risk Management Tools风险管理工具介绍 Risk Management tools mean-variance framework of portfolio theory i.e., selection and diversification (Markowitz 1952) Capital Asset Pricing Model (Sharpe 1964; Lintner 1965; Mossin 1966) Arbitrage Pricing Theory ( Ross, 1976) Option pricing theory (Black 1972; Black 1973) Value at Risk (VaR), RiskMetrics (Jorion 1997) Prob { 1 day Loss ≤ VaR}=1- α Min {VaR︱ P (VaR) ≥ α} Enterprise Risk Management Professional organization, Consultant, Rating agency, Academics 31% adopted ERM in Canadian risk insurance [Kleffner 2003] Why ERM? Toyota Definition of ERM Systematic, integrated approach Manage all risks facing organization External Economic (market - price, demand change) Financial (insurance, currency exchange) Political/Legal Technological Internal Human error Fraud Systems failure Disrupted production Stochastic OR Models for Risk Management (Beneda [2005], Dash Kajiji [2005])) Multiple criteria analysis Subjective Simulation Probabilistic; Can be subjective (system dynamics) Data envelopment analysis (DEA) Optimization Objective, subjective, probabilistic ERM Research and Steps Step 1: Determine the corporation’s objectives Step 2: Identify the r