MANAGING SUPPLY RISK USING VALUE AT RISK METHOD BASED ON EXTREME VALUE THEORY

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MEHRALI MASOUMEH; AAGHAIE ABDOLLAH; SETAK MOSTAFA

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Journal: Iranian Journal of Trade Studies Year:2013 | Volume:17 | Issue:66 Page(s): 161-194

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Information Journal Paper

Title

MANAGING SUPPLY RISK USING VALUE AT RISK METHOD BASED ON EXTREME VALUE THEORY

Author(s)

MEHRALI MASOUMEH | AAGHAIE ABDOLLAH | SETAK MOSTAFA | Issue Writer Certificate

Keywords

SUPPLY CHAIN RISK MANAGEMENTQ2

SUPPLY RISKQ2

VALUE AT RISKQ1

GENERALIZED EXTREME VALUE THEORYQ2

CASH FLOW AT RISKQ2

Abstract

The general trend to focus more on core competencies has forced companies to use outsourcing strategies and led to appearance of supply chain. Supply chain risks can arise from many sources, including political events, demand fluctuation, technological changes, financial instability and natural disasters. To be able to handle these risks, SUPPLY CHAIN RISK MANAGEMENT is needed. Managing SUPPLY RISK is an essential part of the SUPPLY CHAIN RISK MANAGEMENT and in this research we focus on SUPPLY RISK management. We use VALUE AT RISK, extreme value theory and CASH FLOW AT RISK to present a method for quantification of SUPPLY RISKs such as late delivery, quality risk, natural disasters risk and business risk (financial instability of suppliers). Furthermore, a model for supplier selection and order allocation based on these SUPPLY RISKs, has been proposed. Finally, a numerical example is presented and some computational result is reported.fluctuations of supply chain and market adjustments are considered one of the duties of this ministry. This study will help in removing barriers and presenting new innovative solutions for using scientific approaches based on system analysis in different governmental sectors.

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APA: Copy

MEHRALI, MASOUMEH, AAGHAIE, ABDOLLAH, & SETAK, MOSTAFA. (2013). MANAGING SUPPLY RISK USING VALUE AT RISK METHOD BASED ON EXTREME VALUE THEORY. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 17(66), 161-194. SID. https://sid.ir/paper/7450/en

Vancouver: Copy

MEHRALI MASOUMEH, AAGHAIE ABDOLLAH, SETAK MOSTAFA. MANAGING SUPPLY RISK USING VALUE AT RISK METHOD BASED ON EXTREME VALUE THEORY. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2013;17(66):161-194. Available from: https://sid.ir/paper/7450/en

IEEE: Copy

MASOUMEH MEHRALI, ABDOLLAH AAGHAIE, and MOSTAFA SETAK, “MANAGING SUPPLY RISK USING VALUE AT RISK METHOD BASED ON EXTREME VALUE THEORY,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 17, no. 66, pp. 161–194, 2013, [Online]. Available: https://sid.ir/paper/7450/en

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