Impawn rate optimisation in inventory financing: A canonical vine copula-based approach

Zhi, Bangdong; Wang, Xiaojun; Xu, Fangming

doi:10.1016/j.ijpe.2020.107659

Cited by 13 publications

(8 citation statements)

References 42 publications

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“…Considering the enormous number of scientific contributions working with and applying simplified pair-copulas (see, e.g., [5,6,7,32,36,38,37]) it is quite surprising that, apart from a few critical voices (see, e.g., [2,8,15]), no analytic and systematic study on the approximation quality and flexibility of these concepts seems to have been published so far.…”

Section: Introductionmentioning

confidence: 99%

How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond

Mroz

Fuchs

Trutschnig

2021

Electron. J. Statist.

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Motivated by the increasing popularity and the seemingly broad applicability of pair-copula constructions underlined by numerous publications in the last decade, in this contribution we tackle the unavoidable question on how flexible and simplifying the commonly used 'simplifying assumption' is from an analytic perspective and provide answers to two related open questions posed by Nagler and Czado in 2016. Aiming at a simplest possible setup for deriving the main results we first focus on the three-dimensional setting. We prove that the family of simplified copulas is flexible in the sense that it is dense in the set of all three-dimensional copulas with respect to the uniform metric d∞ -considering stronger notions of convergence like the one induced by the metric D 1 , by weak conditional convergence, by total variation, or by Kullback-Leibler divergence, however, the family even turns out to be nowhere dense and hence insufficient for any kind of flexible approximation. Furthermore, returning to d∞ we show that the partial vine copula is never the optimal simplified copula approximation of a given, non-simplified copula C, and derive examples illustrating that the corresponding approximation error can be strikingly large and extend to more than 28% of the diameter of the metric space. Moreover, the mapping ψ assigning each three-dimensional copula its unique partial vine copula turns out to be discontinuous with respect to d∞ (but continuous with respect to D 1 and to weak conditional convergence), implying a surprising sensitivity of partial vine copula approximations. The afore-mentioned main results concerning d∞ are then extended to the general multivariate setting.

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Section: Introductionmentioning

confidence: 99%

How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond

Mroz

Fuchs

Trutschnig

2021

Electron. J. Statist.

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“…To solve the financing problems faced by SMEs, there are many financing methods related to supply chain finance (SCF), such as accounts receivable financing, prepayment financing, and inventory financing [7][8][9]. However, these financing methods require financial institutions to take considerable effort in verifying the authenticity of bills and check the status of collateral, which increases the cost of enterprise financing [10][11][12].…”

Section: Introductionmentioning

confidence: 99%

Framework of Blockchain-Supported E-Commerce Platform for Small and Medium Enterprises

Chen

2021

Sustainability

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Small and medium enterprises (SMEs) play an important role in promoting the national economy and providing employment opportunities. E-commerce platforms may facilitate transactions between these enterprises. However, transactions on the e-commerce platform are non-face-to-face, strongly virtual, and variable, resulting in SMEs often facing moral hazards and opportunistic behaviors. Blockchain is a distributed ledger consisting of an encryption algorithm, consensus mechanism, and smart contracts, having the characteristics of authenticity, security, transparency, and unforgeability. Thus, the problems faced by SMEs can be resolved by combining e-commerce platforms and blockchain technology. In this study, we first provide a conceptual framework for blockchain-supported e-commerce platforms for SMEs. Second, based on this conceptual framework, we build a total business architecture. Finally, we propose three key applications to illustrate how the platform facilitates SMEs in solving financing and trading problems. This study provides significant guidance for the operation and management of blockchain-supported e-commerce platforms for these enterprises.

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“…This approach is made simpler than others, such as simulation ( Qian, Li, & Hu, 2017 ). In this context, it is essential to have excellent goodness of fit to actual data for a theoretical description of the marginal statistical distributions ( Alavifard, 2019 , Zhi et al, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

Inventory pooling decisions under demand scenarios in times of COVID-19

Rojas

Bravo

Tan

2021

Computers & Industrial Engineering

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Governments have been challenged to provide timely medical care to face the COVID-19 pandemic. The aim of this research is to propose a novel inventory pooling model to help determine order sizes and safety inventories in local hospital warehouses. The current study attempts to portray the availability of pharmaceutical items in public hospitals facing COVID-19 challenges. Different from previous studies, this research builds upon the consecrated theory of inventory pooling, extending it to pandemic circumstances where the intractability of kurtosis and skewness in inventory models are critical issues for making sure that medicines have high availability at a low cost. These effects on the total cost of inventory are explored and compared to a supply system with no consolidation. A continuous-review model is assumed with allocation rules for centralization and regular transshipment given different skewness and kurtosis structures for the demand, describing them by the copula method. This method models a multivariate demand considering that the marginal distributions of the demand can be specified by the Generalized Additive Model for Location, Scale and Shape, which offers advantages to model demands considering virtually any marginal statistical distribution. Numerical simulations and an illustrative example show that distributions of demands with more negative skewness and high kurtosis favor to a greater extent obtaining lower total costs with regular supply transshipment systems. Our study points out important considerations for supply chain decision makers when having demands with skewness and kurtosis patterns.

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Impawn rate optimisation in inventory financing: A canonical vine copula-based approach

Cited by 13 publications

References 42 publications

How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond

How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond

Framework of Blockchain-Supported E-Commerce Platform for Small and Medium Enterprises

Inventory pooling decisions under demand scenarios in times of COVID-19

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