Negative default dependence in supplier networks |
| |
Authors: | Stephan M Wagner Christoph Bode Philipp Koziol |
| |
Institution: | aChair of Logistics Management, Department of Management, Technology, and Economics, Swiss Federal Institute of Technology Zurich, Scheuchzerstrasse 7, 8092 Zurich, Switzerland;bChair of Finance, Georg-August-University of Gottingen, Platz der Gottinger Sieben 3, 37073 Gottingen, Germany |
| |
Abstract: | The financial defaults of suppliers in a supplier network are significant risks and causes of uncertainty for buying firms. Hitherto, it has been largely neglected that default probabilities of suppliers in supplier networks are not independent of each other. We aim to overcome this shortcoming by studying negative supplier default dependencies: situations where a surviving supplier may benefit from the default of another supplier, resulting in a lower default probability. We use empirical data from the automotive supplier industry and copula functions, a method of representing joint distribution functions with particular marginals, to capture the default dependency between automotive suppliers and simulate various scenarios with negative default dependency. We also conduct a comparative static analysis illustrating the significant impact of negative default dependence. Our findings should spur managers to analyze their supplier networks with respect to default dependencies, and to take this phenomenon into consideration when making sourcing decisions. |
| |
Keywords: | Supplier default Supplier network Default dependence Negative default correlation Copula function Dependence measure Monte Carlo simulation |
本文献已被 ScienceDirect 等数据库收录! |
|