风险管理总能创造价值么?——基于产品市场竞争的研究

Will risk management make more money:A theoretical analysis with product market consideration

本文考虑当企业的产品市场存在竞争时,其风险管理与产品市场战略之间的交互作用,研究发现:在古诺(完全替代产品)竞争中,当双方均可使用完美对冲时,企业的风险管理行为使双方在产品市场上“过度竞争”,从而陷入“囚徒困境”,而轻度的金融摩擦将减轻囚徒困境的影响,从而使双方期望利润水平提升;随后,我们使用经济学文献中广泛使用的b测度方法对产品的替代(互补)率进行建模,当产品替代率降低时,竞争企业的期望利润水平明显提高,因此提高产品的差异化程度可以打破古诺均衡的“囚徒困境”;最后,我们还研究了决策顺序对于企业战略的影响,斯塔克伯格博弈表明当领导企业不能很好地管理金融风险时,其产品市场的竞争优势很容易被可以使用完美金融对冲的跟随企业所替代。研究表明,企业在风险管理战略实施时,除了考虑自身面临的风险,还需要根据市场竞争的具体形式确定其最优战略:当竞争对手不能很好地管理自身风险时,企业应努力提升自身风险管理水平;当对方具备较好的风险管理体系时,应该努力加大产品差异化程度。

As the business risks growing, how to cooperate operationally together with financial decisions for the firm’s better performance are troubling the managers. There are so many tragedies that happened with the ignorance of risk identification and risk management even for some famous corporations. Ford, the famous automobile manufacturer, suffers a loss up to 1 billion dollars due to the fluctuation of the steel’s price. There are more and more corporations apply financial tools, such as futures and options, to deal with all kinds of uncertainties. According to a survey, 40% of the US non-financial corporations hedge their risks with derivatives. This phenomenon attracts the attention of the academy. There is some existing literature dealing with integrated decision-making problem from a single firm’s perspective. But in reality, the firm’s optimal decision depends on the competitors’ actions. There is some industrial practice which justifies our points. We take the United Airlines and Southwest Airlines, which compete in the US aviation industry, as an example. In early 2000, the price of aircraft fuel increased by 70%. The United Airlines lost 22.6% market share and 32% profit because the firm only hedges 10% of the total risk exposures, whereas the Southwest Airline’s market share and profit grew by 27% and 22% separately with the hedging of 80% of the total risks. The example shows us that apart from managing your own risks well, also, you should take the other’s action into consideration. In this paper, we study the interaction between a firm’s risk management strategy together with production and marketing strategies by considering different production substitution rate, in both simultaneous as well as sequential game settings. We show that only the competitors’ action being taken into consideration could the firm makes better-integrated risk management, thus achieving a higher profit level. In the perfect substitution products market scenario, we build a theoretical model when two firms compete in quantity. The clearance price is determined endogenously by the total output in the market. Apart from the production decision, these two firms are accessible to the financial market, where they can perfectly hedge their risks. We show that competition and prisoner’s dilemma happens when perfect financial hedging is available to both market participants, while slight market frictions improve both firms’ performance. Then, we extend our model to the case when products are not necessarily a perfect substitute. We find that the profit increases when the substitution rate decreases (complementary rate increases), which reduces the effects of prisoner’s dilemma. The firm should determine its own strategy by taking the others’ into consideration, which means that when one of the competitors can’t manage its own risks, the firm itself should carry out risk management strategy. When the competitor can manage his risks well, the firm should decrease the substitution rate. A more innovative product environment is more beneficial for both firms under this scenario. Finally, we expand our discussion into a sequential game, which means these two firms are making decision sequentially. Under this setting, the leader makes operational as well as financial decisions at the start. Observing the leader’s actions, the follower makes the same decisions. Through the analysis, we find that though the leader has first mover advantage. This advantage is replaced easily by the follower when the leader is unable to manage risks. Through this research, we show several managerial insights for the managers. When the competitor can’t manage its own risks well, the company should pay more attention to the risk reduction. When faced with a well-managed competitor, the company should try his best to invest more in the product differentiation. It’s very important to take the competitor’s risk management strategy into account when making such decisions. We show the value of integrated operational and financial decisions when taking the production market competition into account.