编者按

本期我们选取了8月下旬及9月上旬Operations Research文章2篇，Management Science文章4篇期刊文章，着眼于各种不同场景下对于风险的预测、量化及管理，通过聚焦于风险这一主题，体系化地形成文章精选。

文章1

Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach

系统风险度量的计算：混合整数规划方法

基本信息

● 作者：Çağın Ararat，Nurtai Meimanjan

● 发表时间：2023.9.22

● 原文链接：https://doi.org/10.1287/opre.2021.0040

● 关键词：

• Financial Engineering（金融工程）

• systemic risk measure（系统风险度量）

• set-valued risk measure（集值风险度量）

• Eisenberg–Noe model（艾森伯格-诺模型）

• Rogers–Veraart model（罗杰斯-维拉特模型）

• mixed-integer programming（混合整数规划）

• vector optimization（向量优化）

主要内容

摘要：

Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic risk measures have been proposed in the literature that are used to determine capital requirements for the members subject to joint risk considerations. We address the problem of computing systemic risk measures for systems with sophisticated clearing mechanisms. In particular, we consider an extension of the Rogers–Veraart network model where the operating cash flows are unrestricted in sign. We propose a mixed-integer programming problem that can be used to compute clearing vectors in this model. Because of the binary variables in this problem, the corresponding (set-valued) systemic risk measure fails to have convex values in general. We associate nonconvex vector optimization problems with the systemic risk measure  and provide theoretical results related to the weighted-sum and  Pascoletti–Serafini scalarizations of this problem. Finally, we test the  proposed formulations on computational examples and perform sensitivity analyses with respect to some model-specific and structural parameters.

• 最近，文章中提出了几种系统风险度量方法，用于确定受联合风险影响的成员的资本要求。

• 解决如何计算具有复杂清算机制的系统的系统风险度量。特别的，文章考虑了Rogers–Veraart网络模型的扩展，其中运营现金流的符号不受限制。

• 文章提出了一个混合整数规划问题，可用于计算该模型中的清算向量。由于该问题中存在二元变量，因此相应的（集合值）系统风险度量一般不具有凸值。文章将非凸向量优化问题与系统风险度量联系起来，并提供了与该问题的加权和及 Pascoletti-Serafini 标量化相关的理论结果。

• 最后，文章在计算实例中测试了所提出的公式，并对一些特定模型和结构参数进行了敏感性分析。

文章2

Robust Risk Quantification via Shock Propagation in Financial Networks

通过金融网络中的冲击传播进行稳健风险量化

基本信息

● 作者：Dohyun Ahn，Nan Chen，Kyoung-Kuk Kim

● 发表时间：2023.9.1

● 原文链接：https://doi.org/10.1287/opre.2020.0722

● 关键词：

• Financial Engineering（金融工程）

• risk quantification（风险量化）

• financial network（金融网络）

• robust optimization（鲁棒优化）

• information uncertainty（信息不确定性）

主要内容

摘要：

Given limited network information, we consider robust risk quantification under the Eisenberg–Noe model for financial networks. To be more specific, motivated by the fact that the structure of the interbank network is not completely known in practice, we propose a robust  optimization approach to obtain worst-case default probabilities and  associated capital requirements for a specific group of banks (e.g.,  systemically important financial institutions) under network information uncertainty. Using this tool, we analyze the effects of various incomplete network information structures on these worst-case quantities and provide regulatory insights into the collection of actionable network information. All claims are numerically illustrated using data from the European banking system.

• 在网络信息有限的情况下，文章考虑了金融网络Eisenberg–Noe模型下的稳健风险量化。

• 文章提出了一种鲁棒优化方法，以获得网络信息不确定情况下特定银行群体（如具有系统重要性的金融机构）的最坏违约概率和相关资本要求。

• 利用这一工具，文章分析了各种不完整网络信息结构对这些最坏情况数量的影响，并为收集可操作的网络信息提供了监管见解。文章使用欧洲银行系统的数据对所有结论进行了数值说明。

文章3

Voluntary Disclosure, Moral Hazard, and Default Risk

自愿披露、道德风险和违约风险

基本信息

● 作者：Shiming Fu,Giulio Trigilia

● 发表时间：2023.8.30

● 原文链接：https://doi.org/10.1287/mnsc.2023.4860

● 关键词：

• voluntary disclosure（自愿披露）

• default risk（违约风险）

• dynamic moral hazard（动态道德风险）

• funding liquidity（资金流动性）

• earnings guidance（盈利指导）

• loss firms（亏损企业）

• non-GAAP reporting（非公认会计准则报告）

主要内容

摘要：

We study a dynamic moral hazard setting where the manager has private evidence that predicts the firm’s cash flows. Bad-news disclosure is rewarded by a lower borrowing cost relative to the no-evidence case, whereas no disclosure leads to higher borrowing costs. For a given capital structure, disclosure reduces the firm’s default risk by lowering its pay-for-performance sensitivity. However, for a set of low-profitability firms, the anticipation of future disclosure  of information by managers lowers both firm value and managerial rents  at the financing stage because of a reduction in the firm’s initial  liquidity. The model can reconcile the empirical evidence on the effects  of providing earnings guidance, especially for loss firms.

• 文章研究了一种动态道德风险环境，在这种环境中，管理者拥有预测公司现金流的私人证据。相对于无证据的情况，披露坏消息会降低借贷成本，而不披露坏消息则会导致更高的借贷成本。在给定的资本结构下，信息披露会降低绩效报酬的敏感性，从而降低公司的违约风险。

• 然而，对于一组低盈利能力的公司来说，由于预期管理者未来会披露信息，在融资阶段会降低公司价值和管理者租金，因为公司的初始流动性降低了。该模型可以调和有关提供盈利指导影响的经验证据，尤其是对亏损企业的影响

文章4

Managing Weather Risk with a Neural Network-Based Index Insurance

用基于神经网络的指数保险管理天气风险

基本信息

● 作者：Zhanhui Chen，Yang Lu，Jinggong Zhang，Wenjun Zhu

● 发表时间：2023.8.28

● 原文链接：https://doi.org/10.1287/mnsc.2023.4902

● 关键词：

• neural networks（神经网络）

• weather risk（天气风险）

• index insurance（指数保险）

• basis risk（基础风险）

• utility maximization（效用最大化）

主要内容

摘要：

Weather risk affects the economy, agricultural production in particular. Index insurance is a promising tool to hedge against weather risk, but current piecewise-linear index insurance contracts face large basis risk and low demand. We propose embedding a neural network-based optimization scheme into an expected utility maximization problem to design the index insurance contract. Neural networks capture a highly nonlinear relationship between the high-dimensional weather variables and production losses. We endogenously solve for the optimal insurance premium and demand. This approach reduces basis risk, lowers insurance premiums, and improves farmers’ utility.

• 天气风险影响着经济，尤其是农业生产。指数保险是规避天气风险的一种有前途的工具，但目前的零散线性指数保险合同面临较大的基础风险，且需求量较低。

• 文章建议将基于神经网络的优化方案嵌入预期效用最大化问题中，以设计指数保险合同。神经网络捕捉了高维天气变量与生产损失之间的高度非线性关系。

• 文章对最优保险费和需求进行内生求解。这种方法降低了基础风险，降低了保险费，提高了农民的效益。

文章5

Operational Risk Management: Optimal Inspection Policy

运营风险管理：最优检查政策

基本信息

● 作者：Youngsoo Kim，Yuqian Xu

● 发表时间：2023.9.13

● 原文链接：https://doi.org/10.1287/mnsc.2021.00322

● 关键词：

• operational risk（操作风险）

• financial regulation（金融监管）

• Inspection（检查）

• Principal-agent（委托代理）

• operations-finance interface（业务-金融接口）

主要内容

摘要：

Major banks around the world lost nearly $210 billion during the period of 2011–2016 due to operational risk  events. To mitigate the severe consequences that can arise from such  events, the Basel Regulatory Committee has mandated that financial  institutions worldwide conduct inspections on operational risk. In light of the importance of operational risk and its current regulation in the industry, this paper proposes a continuous-time principal-agent model that explores the optimal inspection policy of a financial firm (principal) and the effort of its employees (agent) to reduce the occurrence of risk events. First, we characterize the optimal inspection strategy under two commonly used policies in practice, namely random and periodic policies. This characterization reveals the conditions for two different modes of inspection (effort inducement and error correction), as well as the nuanced interactions among the inspection frequency, the penalty charged for errors, and the wage paid to employees. Next, by comparing random and periodic policies, we find that the random policy outperforms the periodic policy if and only if the inspection cost is high. Furthermore, we propose a hybrid policy that strictly dominates the random policy and weakly dominates the periodic policy, suggesting that a proper reduction of the random element in the inspection policy, in the manner of our proposed hybrid policy, can always improve its performance. Finally, we examine the complete information benchmark (without moral hazard),  supplemental mitigation strategies, and numerical studies to provide  further insights and show the robustness of our main findings.

• 在 2011-2016 年期间，全球各大银行因操作风险事件损失了近 2100 亿美元。为减轻此类事件可能造成的严重后果，巴塞尔监管委员会规定全球金融机构必须对操作风险进行检查。鉴于操作风险的重要性及其当前的行业监管，本文提出了一个连续时间委托-代理模型，探讨金融公司（委托人）的最优检查政策及其员工（代理人）为减少风险事件发生所做的努力。

• 首先，文章描述了实践中两种常用政策（即随机政策和定期政策）下的最优检查策略。这一特征揭示了两种不同检查模式（努力诱导和错误纠正）的条件，以及检查频率、对错误的惩罚和支付给员工的工资之间微妙的相互作用。

• 接下来，通过比较随机政策和定期政策，文章发现只有当检查成本较高时，随机政策的效果才会优于定期政策。

• 此外，文章还提出了一种混合政策，它严格地支配随机政策，弱地支配定期政策，这表明按照文章提出的混合政策的方式适当减少检查政策中的随机因素，总能提高其性能。

• 最后，文章研究了完全信息基准（无道德风险）、补充缓解策略和数值研究，以提供进一步的见解，并展示文章主要发现的稳健性。

文章6

Text-Based Measure of Supply Chain Risk Exposure

基于文本的供应链风险暴露度量

基本信息

● 作者：Di (Andrew) Wu

● 发表时间：2023.9.19

● 原文链接：https://doi.org/10.1287/mnsc.2023.4927

● 关键词：

• natural language processing（自然语言处理）

• supply chain risk（供应链风险）

• empirical operations management（实证运营管理）

主要内容

摘要：

Using textual analysis techniques, including seeded word embedding and bag-of-words-based content analysis, I develop a firm-level measure of supply chain risk exposure from a novel source of unstructured data—the discussion between managers and equity analysts on supply chain-related topics during firms’ quarterly earnings conference calls. I validate the measure by showing that (1) the measure exhibits intuitive variations over time and across firms, successfully capturing both routine and systematic supply chain risk events; and (2) the measure is about risk exposure,  as it significantly correlates with realized and options-implied stock  return volatility, even after controlling for well-known aggregate risk measures. I then demonstrate that the measure is specifically indicative of the supply chain component of risk exposure. (3) Consistent with theoretical predictions, firms facing higher supply chain risks  have higher inventory buffers, particularly in raw materials and  intermediate inputs, increased cash holdings in lieu of investments, and  significantly lower trade credit received from suppliers. Moreover, (4) during unexpected risk episodes, such as the Tohoku earthquake, firms with higher ex ante risk exposure have worse operating and financial performance. These results indicate that the text-based measure provides a credible quantification of firm-level exposure to supply chain risks and can thus be reliably utilized as outcome or explanatory variables in empirical supply chain research.

• 利用文本分析技术（包括种子词嵌入和基于词袋的内容分析），文章从一个新颖的非结构化数据源--公司季度收益电话会议期间经理与股票分析师就供应链相关话题的讨论--中开发出了一种公司层面的供应链风险暴露度量。

• 文章验证了这一指标，表明：(1) 该指标在不同时期和不同公司之间表现出直观的变化，成功地捕捉到了常规和系统性供应链风险事件；(2) 该指标与风险敞口有关，因为它与已实现和期权隐含的股票收益波动率显著相关，即使在控制了众所周知的总体风险指标之后也是如此。然后，我证明该指标能具体反映风险敞口的供应链部分。(3）与理论预测一致，面临较高供应链风险的企业具有较高的库存缓冲，尤其是原材料和中间投入品，增加现金持有量以代替投资，以及从供应商获得的贸易信贷显著减少。此外，（4）在东北大地震等突发风险事件中，事前风险敞口较高的企业经营和财务表现较差。

• 这些结果表明，基于文本的度量方法对企业层面的供应链风险暴露进行了可靠的量化，因此可以在实证供应链研究中可靠地用作结果或解释变量。