Järjestelmätoimittajan sopimusriskien hallinta: Case Oy Teräs-Astra Ab

Järjestelmätoimittaja toimii yritysten muodostamassa yhteistyöverkostossa. Sillä on alihankkijansa ja osatoimittajansa samalla, kun se toimittaa tuotantoaan päähankkijalle. Yhteistyöhön pohjautuvissa toimitussopimuksissa jatkuvat muutokset ovat normaalia toimintaa. Tutkimusmenetelmänä käytetään empiiristä ja normatiivista tutkimusta. Empiiria koostuu järjestelmätoimittajana toimivan caseyrityksen sopimusten tarkastelusta ja sopimuksia laativien henkilöiden haastatteluista. Normatiivinen osuus muodostuu kirjallisuuskatsauksen pohjalta syntyvästä eri teorioita yhdistävästä synteesistä. Työssä kartoitetaan toimitussopimusten riskejä ja ne minimoiva sopimustekniikka. Tavoitteena on laatia caseyritykselle tarkistuslista sopimusten laadintaan. Parhaimmat keinot sopimusriskien hallintaan ovat luotettavien kumppanien valinta, toimintojen onnistunut integrointi, yhteistyötaidot ja kyky joustaa yhteisten päämäärien saavuttamiseksi. Tämän lisäksi sopimuksissa erityishuomiota tulisi kiinnittää muutosten hallintaan.

Sopimusriskit kansainvälisissä hankinnoissa

Tässä työssä on tutkittu sopimusriskejä, jotka liittyvät kansainvälisiin hankintoihin sekä sitä, miten yritykset voivat suojautua näiltä riskeiltä. Lisäksi työssä on erotettu kansainvälinen hankinta kotimaan hankintatoimesta ja pohdittu siihen liittyviä erityispiirteitä.

Sopimusriskit kansainvälisessä kaupassa

Tutkimuksen tavoitteena on tuoda esille yleisimmät riskit liittyen kansainvälisessä kaupassa tehtyihin sopimuksiin. Tutkimus pyrkii avaamaan kansainvälisen kaupan ominaispiirteitä, jonka avulla saavutetaan yleiskäsitys kansainvälisen kaupan 2 sisällöstä. Kansainvälisen kaupan lisäksi tutkimus perehtyy sopimuksiin, niiden laadintaan, hyväksikäyttöön sekä sopimusriskien syy- ja seuraussuhteeseen.

Assessment of irrigators’ preferences for different water supply risk management tools: option contract and insurance.

Irrigators face the risk of not having enough water to meet their crops’ demand. There are different mechanisms to cope with this risk, including water markets (option contracts) or insurance. A farmer will purchase them when the expected utility change derived from the tool is positive. This paper presents a theoretical assessment of the farmer’s expected utility under two different option contracts, a drought insurance and a combination of an option contract and the insurance. We analyze the conditions that determine farmer’s reference for one instrument or the other and perform a numerical application that is relevant for a Spanish region.

Risk Analysis and Behavior of Electricity Portfolio Aggregator

The scope of this paper is to adapt the standard mean-variance model of Henry Markowitz theory, creating a simulation tool to find the optimal configuration of the portfolio aggregator, calculate its profitability and risk. Currently, there is a deep discussion going on among the power system society about the structure and architecture of the future electric system. In this environment, policy makers and electric utilities find new approaches to access the electricity market; this configures new challenging positions in order to find innovative strategies and methodologies. Decentralized power generation is gaining relevance in liberalized markets, and small and medium size electricity consumers are also become producers (“prosumers”). In this scenario an electric aggregator is an entity that joins a group of electric clients, customers, producers, “prosumers” together as a single purchasing unit to negotiate the purchase and sale of electricity. The aggregator conducts research on electricity prices, contract terms and conditions in order to promote better energy prices for their clients and allows small and medium customers to benefit improved market prices.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Less Risk, More Effort : Demand Risk Allocation in Incomplete Contracts

This article investigates the allocation of demand risk within an incomplete contract framework. We consider an incomplete contractual relationship between a public authority and a private provider (i.e. a public-private partnership), in which the latter invests in non-verifiable cost-reducing efforts and the former invests in non-verifiable adaptation efforts to respond to changing consumer demand over time. We show that the party that bears the demand risk has fewer hold-up opportunities and that this leads the other contracting party to make more effort. Thus, in our model, bearing less risk can lead to more effort, which we describe as a new example of âeuro~counter-incentivesâeuro?. We further show that when the benefits of adaptation are important, it is socially preferable to design a contract in which the demand risk remains with the private provider, whereas when the benefits of cost-reducing efforts are important, it is socially preferable to place the demand risk on the public authority. We then apply these results to explain two well-known case studies.

Recovery Risk and Labor Costs in Public-Private Partnerships : Contractual Choice in the US Water industry

We use an ordered logistic model to empirically examine the factors that explain varying degrees of private involvement in the U.S. water sector through public-private partnerships. Our estimates suggest that a variety of factors help explain greater private participation in this sector. We find that the risk to private participants regarding cost recovery is an important driver of private participation. The relative cost of labor is also a key factor in determining the degree of private involvement in the contract choice. When public wages are high relative to private wages, private participation is viewed as a source of cost savings. We thus find two main drivers of greater private involvement: one encouraging private participation by reducing risk, and another encouraging government to seek out private participation in lowering costs.

Uptake of a free coronary heart disease risk screening programme in community pharmacy: the Healthy Heart Assessment service

Introduction Health promotion (HP) aims to enhance good health while preventing ill-health at three levels of activity; primary (preventative), secondary (diagnostic) and tertiary (management).1 It can range from simple provision of health education to ongoing support, but the effectiveness of HP is ultimately dependent on its ability to influence change. HP as part of the Community Pharmacy Contract (CPC) aims to increase public knowledge and target ‘hard-to-reach’ individuals by focusing mainly on primary and tertiary HP. The CPC does not include screening programmes (secondary HP) as a service. Coronary heart disease (CHD) is a significant cause of morbidity and mortality in the UK. While there is evidence to support the effectiveness of some community pharmacy HP strategies in CHD, there is paucity of research in relation to screening services.2 Against this background, Alliance Pharmacy introduced a free CHD risk screening programme to provide tailored HP advice as part of a participant–pharmacist consultation. The aim of this study is to report on the CHD risk levels of participants and to provide a qualitative indication of consultation outcomes. Methods Case records for 12 733 people who accessed a free CHD risk screening service between August 2004 and April 2006 offered at 217 community pharmacies were obtained. The service involved initial self-completion of the Healthy Heart Assessment (HHA) form and measurement of height, weight, body mass index, blood pressure, total cholesterol and highdensity lipoprotein levels by pharmacists to calculate CHD risk.3 Action taken by pharmacists (lifestyle advice, statin recommendation or general practitioner (GP) referral) and qualitative statements of advice were recorded, and a copy provided to the participants. The service did not include follow-up of participants. All participants consented to taking part in evaluations of the service. Ethical committee scrutiny was not required for this service development evaluation. Results Case records for 10 035 participants (3658 male) were evaluable; 5730 (57%) were at low CHD risk (<15%); 3636 (36%) at moderate-to-high CHD risk (≥15%); and 669 (7%) had existing heart disease. A significantly higher proportion of male (48% versus 30% female) participants were at moderate- to-high risk of CHD (chi-square test; P < 0.005). A range of outcomes resulted from consultations. Lifestyle advice was provided irrespective of participants’ CHD risk or existing disease. In the moderate-to-high-risk group, of which 52% received prescribed medication, lifestyle advice was recorded for 62%, 16% were referred and 34% were advised to have a re-assessment. Statin recommendations were made in 1% of all cases. There was evidence of supportive and motivational statements in the advice recorded. Discussion Pharmacists were able to identify individuals’ level of CHD risk and provide them with bespoke advice. Identification of at-risk participants did not automatically result in referrals or statin recommendation. One-third of those accessing the screening service had moderate-to-high risk of CHD, a significantly higher proportion of whom were men. It is not known whether these individuals had been previously exposed to HP but presumably by accessing this service they may have contemplated change. As effectiveness of HP advice will depend among other factors on ability to influence change, future consultations may need to explore patients’ attitude towards change in relation to the Trans Theoretical Model4 to better tailor HP advice. The high uptake of the service by those at moderate-to-high CHD risk indicates a need for this type of screening programme in community pharmacy, perhaps specifically to reach men who access medical services less.

Contract cheating & the market in essays

We conduct the first empirical economic investigation of the decision to cheat by University students. We investigate student demand for essays, using hypothetical discrete choice experiments in conjunction with consequential Holt-Laury gambles to derive subjects risk preferences. Students stated willingness to participate in the essay market, and their valuation of purchased essays, vary with the characteristics of student and institutional environment. Risk preferring students, those working in a non-native language, and those believing they will attain a lower grade are willing to pay more. Purchase likelihoods and essay valuations decline as the probability of detection and associated penalty increase.

The trade-off between incentives and endogenous risk

Standard models of moral hazard predict a negative relationship between risk and incentives, but the empirical work has not confirmed this prediction. In this paper, we propose a model with adverse selection followed by moral hazard, where effort and the degree of risk aversion are private information of an agent who can control the mean and the variance of profits. For a given contract, more risk-averse agents suppIy more effort in risk reduction. If the marginal utility of incentives decreases with risk aversion, more risk-averse agents prefer lower-incentive contractsj thus, in the optimal contract, incentives are positively correlated with endogenous risk. In contrast, if risk aversion is high enough, the possibility of reduction in risk makes the marginal utility of incentives increasing in risk aversion and, in this case, risk and incentives are negatively related.

Essays on regulation and risk

In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil.

Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Compensation, Incentives and Risk: Economic Theory and Russian Practise

Mr. Pechersky set out to examine a specific feature of the employer-employee relationship in Russian business organisations. He wanted to study to what extent the so-called "moral hazard" is being solved (if it is being solved at all), whether there is a relationship between pay and performance, and whether there is a correlation between economic theory and Russian reality. Finally, he set out to construct a model of the Russian economy that better reflects the way it actually functions than do certain other well-known models (for example models of incentive compensation, the Shapiro-Stiglitz model etc.). His report was presented to the RSS in the form of a series of manuscripts in English and Russian, and on disc, with many tables and graphs. He begins by pointing out the different examples of randomness that exist in the relationship between employee and employer. Firstly, results are frequently affected by circumstances outside the employee's control that have nothing to do with how intelligently, honestly, and diligently the employee has worked. When rewards are based on results, uncontrollable randomness in the employee's output induces randomness in their incomes. A second source of randomness involves the outside events that are beyond the control of the employee that may affect his or her ability to perform as contracted. A third source of randomness arises when the performance itself (rather than the result) is measured, and the performance evaluation procedures include random or subjective elements. Mr. Pechersky's study shows that in Russia the third source of randomness plays an important role. Moreover, he points out that employer-employee relationships in Russia are sometimes opposite to those in the West. Drawing on game theory, he characterises the Western system as follows. The two players are the principal and the agent, who are usually representative individuals. The principal hires an agent to perform a task, and the agent acquires an information advantage concerning his actions or the outside world at some point in the game, i.e. it is assumed that the employee is better informed. In Russia, on the other hand, incentive contracts are typically negotiated in situations in which the employer has the information advantage concerning outcome. Mr. Pechersky schematises it thus. Compensation (the wage) is W and consists of a base amount, plus a portion that varies with the outcome, x. So W = a + bx, where b is used to measure the intensity of the incentives provided to the employee. This means that one contract will be said to provide stronger incentives than another if it specifies a higher value for b. This is the incentive contract as it operates in the West. The key feature distinguishing the Russian example is that x is observed by the employer but is not observed by the employee. So the employer promises to pay in accordance with an incentive scheme, but since the outcome is not observable by the employee the contract cannot be enforced, and the question arises: is there any incentive for the employer to fulfil his or her promises? Mr. Pechersky considers two simple models of employer-employee relationships displaying the above type of information symmetry. In a static framework the obtained result is somewhat surprising: at the Nash equilibrium the employer pays nothing, even though his objective function contains a quadratic term reflecting negative consequences for the employer if the actual level of compensation deviates from the expectations of the employee. This can lead, for example, to labour turnover, or the expenses resulting from a bad reputation. In a dynamic framework, the conclusion can be formulated as follows: the higher the discount factor, the higher the incentive for the employer to be honest in his/her relationships with the employee. If the discount factor is taken to be a parameter reflecting the degree of (un)certainty (the higher the degree of uncertainty is, the lower is the discount factor), we can conclude that the answer to the formulated question depends on the stability of the political, social and economic situation in a country. Mr. Pechersky believes that the strength of a market system with private property lies not just in its providing the information needed to compute an efficient allocation of resources in an efficient manner. At least equally important is the manner in which it accepts individually self-interested behaviour, but then channels this behaviour in desired directions. People do not have to be cajoled, artificially induced, or forced to do their parts in a well-functioning market system. Instead, they are simply left to pursue their own objectives as they see fit. Under the right circumstances, people are led by Adam Smith's "invisible hand" of impersonal market forces to take the actions needed to achieve an efficient, co-ordinated pattern of choices. The problem is that, as Mr. Pechersky sees it, there is no reason to believe that the circumstances in Russia are right, and the invisible hand is doing its work properly. Political instability, social tension and other circumstances prevent it from doing so. Mr. Pechersky believes that the discount factor plays a crucial role in employer-employee relationships. Such relationships can be considered satisfactory from a normative point of view, only in those cases where the discount factor is sufficiently large. Unfortunately, in modern Russia the evidence points to the typical discount factor being relatively small. This fact can be explained as a manifestation of aversion to risk of economic agents. Mr. Pechersky hopes that when political stabilisation occurs, the discount factors of economic agents will increase, and the agent's behaviour will be explicable in terms of more traditional models.

The Risk Management of Minimum Return Guarantees

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.