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11- 1 ΑΝΑΛΥΣΗ ΚΙΝΔΥΝΟΥ ΕΠΕΝΔΥΤΙΚΩΝ ΣΧΕΔΙΩΝ Ανάλυση Ευαισθησίας – Ανάλυση Νεκρού Σημείου – Προσομοίωση Monte Carlo Επιχειρησιακή Ευελιξία, Επιχειρηματικά Δικαιώματα (Real Options) και Δένδρα Αποφάσεων
480_4 Analysi Kindynou Ependisewn
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Μεθοδολογία για την ανάλυση των κινδύνων που αντιμετωπίζει ένας επενδυτής, στην υλοποίηση της επένδυσής του.
Citation preview
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11- 1
Monte Carlo ,
(Real Options)
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11- 2
(Sensitivity Analysis)
..
(Scenario Analysis)
.
.
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11- 3
Sensitivity Analysis
Otobai Motor Scooter. , 10%.
( ).
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11- 4
Sensitivity AnalysisOTOBAI SCOOTER
315- FlowCashNet 3.0flow cash Operating1.5after taxProfit
1.5
3 1.5
3 30
37.515-
10-1 Years0Year
NPV= 3.43 billion Yen
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11- 5
Sensitivity AnalysisOTOBAI
bil 2bil 3bil 4 275,000300,000360,000 //
.380,000375,000350,000
.16.1.04 mil 1.1mil 1.0mil .9
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11- 6
Sensitivity AnalysisExample - continuedNPV
NPV= +5.7 bil yen
3.3815- 3.38 1.88 1.8850% 3.75 1.5
3 33
41.2515-
10-1 Years0Year
+
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11- 7
Sensitivity Analysis
NPV ( Yen)
6.53.40.4 11.13.415.0- 5.03.44.2-
17.33.410.4- 5.73.41.1
MRange
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11- 8
NPV Break Even Analysis NPV=0
Scooter, 000s
PV (Yen)400
200
19.6
85 200
Break even
NPV=0
PV
PV
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11- 9
Break Even Analysis .
;
scooter 000s
(Yen)Billions
60
40
20
60 200
Break even
=0
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11- 10
Monte Carlo
1:
2:
3:
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11- 11
Monte Carlo Simulation
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11- 12 , ()
.
..
(Options) .
(Options)
.
() .
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11- 13
NPV=0
($200,000)
NPV=$2million
NPV=0
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11- 14 ()
1. ()
2. 3. 4.
( )
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11- 15
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
+150(.6)
+30(.4)
+100(.6)
+50(.4)
-550
NPV= ?
-250
NPV= ?
-150
0or
Turboprop
Piston
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11- 16
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
+150(.6)
+30(.4)
+100(.6)
+50(.4)
-550
NPV= ?
-250
NPV= ?
-150
0or
812
456
660
364
148
Turboprop
Piston
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11- 17
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
+150(.6)
+30(.4)
+100(.6)
+50(.4)
-550
NPV= ?
-250
NPV= ?
-150
0or
812
456
660
364
148( ) ( ) 81220.22080.960 =+
Turboprop
Piston
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11- 18
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
-550
NPV= ?
-250
NPV= ?
-150
0or
812
456
660
364
148
+150(.6)
+30(.4)
+100(.6)
+50(.4)
*450
331
45015010.1
660=
Turboprop
Piston
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11- 19
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
-550
NPV= ?
-250
NPV= ?
-150
0or
812
456
660
364
148
+150(.6)
+30(.4)
+100(.6)
+50(.4)
NPV=444.55
NPV=888.18
NPV=550.00
NPV=184.55
*450
331
18.88815010.1
812=+
Turboprop
Piston
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11- 20
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
812
456
660
364
148
+150(.6)710.73
+30(.4)
+100(.6)
403.82
+50(.4)
-150
0
*450
331
or
NPV=444.55
NPV=888.18
NPV=550.00
NPV=184.55
-550
NPV= ?
-250
NPV= ?
( ) ( )40.55.44460.18.888 +=
Turboprop
Piston
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11- 21
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
812
456
660
364
148
+150(.6)710.73
+30(.4)
+100(.6)
403.82
+50(.4)
-550
NPV=96.12
-250
NPV=117.00
-150
0
*450
331
or
NPV=444.55
NPV=888.18
NPV=550.00
NPV=184.55
12.9655010.1
73.710=
Turboprop
Piston
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11- 22
Decision Trees
960
(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)
812
456
660
364
148
+150(.6)710.73
+30(.4)
+100(.6)
403.82
+50(.4)
-550
NPV=96.12
-250
NPV=117.00
-150
0
*450
331
or
NPV=444.55
NPV=888.18
NPV=550.00
NPV=184.55
Turboprop
Piston
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11- 23
Web Resources
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