480_4 Analysi Kindynou Ependisewn
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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
description
Μεθοδολογία για την ανάλυση των κινδύνων που αντιμετωπίζει ένας επενδυτής, στην υλοποίηση της επένδυσής του.
Transcript of 480_4 Analysi Kindynou Ependisewn
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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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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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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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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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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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Monte Carlo Simulation
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11- 12 , ()
.
..
(Options) .
(Options)
.
() .
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NPV=0
($200,000)
NPV=$2million
NPV=0
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11- 14 ()
1. ()
2. 3. 4.
( )
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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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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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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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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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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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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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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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