第五讲资本预算中的风险评估

资本预算中的风险评估TopicsCoveredSome“WhatIf”QuestionsSensitivityAnalysisScenarioAnalysisBreakEvenAnalysisRealOptionsandtheValueofFlexibilityHowToHandleUncertaintySensitivityAnalysis-Analysisoftheeffectsofchangesinsales,costs,etc.onaproject.ScenarioAnalysis-Projectanalysisgivenaparticularcombinationofassumptions.SimulationAnalysis-Estimationoftheprobabilitiesofdifferentpossibleoutcomes.BreakEvenAnalysis-Analysisofthelevelofsales(orothervariable)atwhichthecompanybreakseven.SensitivityAnalysisExample Giventheexpectedcashflowforecastslistedonthenextslide,determinetheNPVoftheprojectgivenchangesinthecashflowcomponentsusingan8%costofcapital.Assumethatallvariablesremainconstant,excepttheoneyouarechanging.SensitivityAnalysisExample–continued(,000s)NPV=$478SensitivityAnalysisExample-continued

PossibleOutcomesSensitivityAnalysisExample-continuedNPVCalculationsforPessimisticInvestmentScenario NPV=($121)SensitivityAnalysisExample-continued NPVPossibilitiesScenarioAnalysisExample-continued CashFlows(years1-12)BreakEvenAnalysisExample Giventheforecasteddataonthenextslide,determinethenumberofplanesthatthecompanymustproduceinordertobreakeven,onanNPVbasis.Thecompany’scostofcapitalis10%.BreakEvenAnalysisBreakEvenAnalysisAnswer(Accounting) Thebreakevenpoint

BreakEvenAnalysisAnswer(Finance) Thebreakevenpoint,isthe#ofPlanesSoldthatgeneratesaNPV=$0.

Thepresentvalueannuityfactorofa6yearcashflowat10%is4.355 Thus,Answer Solvingfor“PlanesSold”BreakEvenAnalysisBreakEvenAnalysisPointatwhichtheNPV=0isthebreakevenpointOtobaiMotorshasabreakevenpointof85,000unitssold.Sales,000’sPV(Yen)Billions40020019.685200BreakevenNPV=0PVInflowsPVOutflowsMonteCarlo方法：亦称统计模拟方法，statisticalsimulationmethod

利用随机数进行数值模拟的方法MonteCarlo名字的由来：是由Metropolis在二次世界大战期间提出的：Manhattan计划，研究与原子弹有关的中子输运过程；MonteCarlo是摩纳哥（monaco)的首都，该城以赌博闻名NicholasMetropolis(1915-1999)Monte-Carlo,MonacoMonteCarloSimulationMonteCarloSimulationStep1:ModelingtheProjectStep2:SpecifyingProbabilitiesStep3:SimulatetheCashFlowsModelingProcess例：电动小摩托项目的模拟步骤1：建立项目模型

步骤2：设定事件概率步骤3：模拟现金流步骤4：计算现值DecisionTrees960(.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)-550NPV=?-250NPV=?-1500orTurbopropPistonDecisionTrees960(.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)-550NPV=?-250NPV=?-1500or812456660364148TurbopropPistonDecisionTrees960(.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)-550NPV=?-250NPV=?-1500or812456660364148TurbopropPistonDecisionTrees960(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)-550NPV=?-250NPV=?-1500or812456660364148+150(.6)+30(.4)+100(.6)+50(.4)*450331TurbopropPistonDecisionTrees960(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)-550NPV=?-250NPV=?-1500or812456660364148+150(.6)+30(.4)+100(.6)+50(.4)NPV=444.55NPV=888.18NPV=550.00NPV=184.55*450331TurbopropPistonDecisionTrees960(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)812456660364148+150(.6)710.73+30(.4)+100(.6)403.82+50(.4)-1500*450331orNPV=444.55NPV=888.18NPV=550.00NPV=184.55-550NPV=?-250NPV=?TurbopropPistonDecisionTrees960(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)812456660364148+150(.6)710.73+30(.4)+100(.6)403.82+50(.4)-550NPV=96.12-250NPV=117.00-1500*450331orNPV=444.55NPV=888.18NPV=550.00NPV=184.55TurbopropPistonDecisionTrees960(.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)812456660364148+150(.6)710.73+30(.4)+100(.6)403.82+50(.4)-550NPV=96.12-250NPV=117.00-1500*450331orNPV=444.55NPV=888.18NPV=550.00NPV=184.55TurbopropPistonFlexibility&RealOptionsDecisionTrees-Diagramofsequentialdecisionsandpossibleoutcomes.DecisiontreeshelpcompaniesdeterminetheirOptionsbyshowingthevariouschoicesandoutcomes.TheOptiontoavoidalossorproduceextraprofithasvalue.TheabilitytocreateanOptionthushasva