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Supporting data for “Two Essays on the Interface of Finance,Operations, and Risk Management”

posted on 2023-08-25, 03:43 authored by Jin YaoJin Yao

The data is for Chapter 2 (Essay One: How Does Risk Hedging Impact Operations? Insights from a Price-Setting Newsvendor Model) of the PhD Thesis. Two sets of data are used: one is financial data(raw data), and the other is operational data from AutoMFR(processed data) which a prominent automotive manufacturer. The financial asset in our context is the WTI crude oil, a primary global oil benchmark. The data source is the Federal Reserve Bank of St. Louis database. The financial data includes daily spot prices from 2010 to 2019. AutoMFR’s operational
data, including monthly sales volumes and manufacturer-suggested retail prices (MSRPs),was purchased from a commercial vendor specializing in automotive business data. We focus on two popular models manufactured by AutoMFR—Sport (fuel-inefficient, low MPG) and Compact (fuel-efficient, high MPG). The data for Sport ranges from January 2011 to December 2019, and the data for Compact ranges from January 2010 to May 2018. We implement the hedging model developed in this paper using real-world financial and automotive sales/price data sets. With the asset and demand models calibrated from data, we conduct a comprehensive numerical study11 to illustrate various aspects of the analytical results derived in Sections 2.4 and 2.5.


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