C8 - Rui Ro Compatibility Mode

Chng 8: Ri ro v
bt nh trong phn
tch d n
B mn Ti Chnh Khoa Qun l Cng nghip

i hc Bch Khoa - TPHCM
Ni dung
1. Tng quan ri ro v bt nh
2. Phn tch nhy (sensitivity analysis)
3. Phn tch ri ro (risk analysis)
4. M phng theo Monte Carlo
Bi ging Lp v phn tch d n
Cn phn bit mt s khi nim
Chc chn (tt nh, certainty) khi ta bit
kh nng chc chn xut hin ca cc trng thi.
Ri ro (risk): khi ta bit c xc sut xut hin
ca cc trng thi.
Khng chc chn (bt nh, uncertainty): khi
chng ta khng bit c xc sut xut hin ca
cc trng thi hoc khng bit c cc d liu
lin quan n vn cn gii quyt
Xc sut khch quan: thng qua php th khch
quan v suy ra xc sut => trong kinh t , khng

c c hi th .
Xc sut ch quan: Khi khng c thng tin y
, ngi ra quyt nh t gn xc sut mt cch
ch quan i vi kh nng xut hin ca trng
thi.
=> Ta khng cn thit phi phn bit ri ro v bt
nh v ta c th gn xc sut ch quan vo phn
tch bt nh tr thnh phn tch ri ro.
4
Nhng ri ro c th c trong khi thc hin d n:
Trong qu trnh chun b / xy dng d n
Chi ph xy dng vt d kin
Thi gian xy dng vt d kin
Ngun kinh ph thiu ht, khng p ng kp
Trong qu trnh vn hnh / trin khai
Thin tai
Ngun cung ng nguyn vt liu thiu ht
Ngun kinh ph thiu ht
Th trng bin ng mnh, khng hong
Thiu ht ngun nhn lc ch cht
5
Ri ro xy ra c th nh hng n:
gi tr dng tin t CF vo v ra ca d n
sut chit khu (i%)
Lm thay i cc kt qu thm nh
(PW, IRR, B/C )
Cc phng thc hn ch ri ro v bt nh:
Tng cng tin cy ca thng tin u vo
Thc hin cc phn tch da trn cc m
hnh ton lm c s ra quyt nh
Nhm m hnh m t (descriptive model)
Nhm m hnh c tiu chun hay c nh
hng (normative or prescriptive model)
Nhm m hnh m t - descriptive model:
m t cc nh tnh ca phng n u t v
xem xt nhng kh nng bin i c th c ca
chng (t MH ny, ta cha c kt lun cui
cng m ch c thng tin lin quan lm c s
cho vic ra quyt nh.
+ V d: xc nh gi tr hin ti PW ca mt
phng n
Nhm m hnh c tiu chun hay c nh
hng- normative/prescriptive model: c
cha hm mc tiu cn phi t cc tr (t MH
ny, ta c c kt lun cui cng)
+ V d: t mc tiu t gi tr PW cc i
2. Phn tch nhy Sensitivity analysis

Mc ch:
- Xem xt li tnh kh thi ca d n trong trng
hp mt s yu t quan trng nh hng ln n
kt qu thm nh thay i.
V d:
+ MARR thay i trong bin 5% th PW
thay i nh th no?
+ Doanh thu hng nm thay i trong bin
15% th PW thay i nh th no ?
10

+ V d: nh hng ca sut chit khu MARR n PW
(hoc NPV)
M hnh phn tch nhy thuc loi m hnh m t

11

+ Tuy nhin, nhc im ca phn tch nhy:
Ch xem xt tc ng ca tng tham s ring l
(trong khi kt qu thm nh li chu tc ng
ca nhiu tham s cng lc)
Khng trnh by c xc sut xut hin ca
cc tham s v xc sut xy ra ca cc kt qu
=> Phn tch ri ro (risk analysis) s khc phc
nhc im ny
12

C th phn tch nhy trn excel: DATA TABLE
Chn tham
s cn thay i
PW
IRR
13

Phn tch nhy ca cc phng n so snh:
Khi so snh 2 hay nhiu phng n do dng

tin t ca cc phng n khc nhau nn
nhy ca cc ch s hiu qu kinh t i vi
cc tham s cng khc nhau nn cn phn tch
thm s thay i ny
14

Phn tch nhy ca cc phng n so snh:
C 2 phng n A v B , nhy ca PW theo tui
th N ca 2 phng n nh sau:
A tt hn B khi N >10 nm
B tt hn A khi 7<N<10 nm
A&B u khng ng gi khi N<7 nm
15

Phn tch nhy theo nhiu tham s scenario analysis:
Mc ch: so snh trng hp c s vi

mt hay nhiu trng hp khc (tt nht, t
nht) xc nh cc kt qu thm nh khc
nhau ca d n.
16

Phn tch nhy theo nhiu tham s scenario analysis:
Tham s c th
thay i gi tr
S lng sp
TH t nht
TH c s
TH tt nht
1,600
2,000
2,400
Gi bn ($)
48
50
53
CP bin i($)
17
15
12
CP c nh ($)
11,000
10,000
8,000
Gi tr cn li ($)
30,000
40,000
50,000
PW (15%)
-$5,856
$40,169
$104,295
17
3. Phn tch ri ro risk analysis

nh ngha:
L phn tch m t cc nh hng i vi o

hiu qu kinh t ca cc phng n u t trong
iu kin c ri ro.
18

M hnh tng qut ca bi ton phn tch ri ro
A1
A2
Ai
S1
S2
Sj
R11
R21
Ri1
R12
R22
Ri2
R1j
R2j
Rij
Xc sut ca cc trng thi Pi P1
P2
Pj
Ai: Phng n u t Si: Kt qu xy ra (Kh khn, thun li )

Rij: Chn phng n Ai v kt qu Sj th s c c kt qu l Rij
Pi: Xc sut trng thi Sj xy ra (nu l bt nh th s khng xc
nh c Pi)
19

Gi tr k vng (expected value): ca d n Ai
n
E ( Ai )
(R
ij
* Pj )
j 1
lch chun (standard deviation): o mc ri ro ca

D/A, cho bit kt qu lch xa gi tr k vng E(Ai) bao nhiu
n
( Ai )
(R E(A )) *P
ij
j1
H s bin thin Cv (coefficient of variation): o ri ro

tng i gia cc D/A, D/A no c Cv cng ln th mc
ri ro cng cao
( Ai )
CV
E ( Ai )
20

Trng thi Si
Phng n Ai
S1
A1
A2
S2
Sj
Sn
R11
R12
R1j
R21
R22
R2j
R1n
R2n
Ai
Am
Ri1
Ri2
Rij
Rin
Rm1
Rm2
Rmj
Rmn
Xc sut ca cc trng thi Pi
P1
P2
Pj
Pn
E ( A1 ) = R11 * P1 + R12 * P2 + ..+ R1j * Pj + R1n * Pn

( A1 ) =
(R11- E(A1))2*P1 + (R12- E(A1))2*P2 +...+(R1n- E(A1))2*Pn

C
( A
E ( A
1
1
)
)

Tnh xc sut theo phn phi chun normal distribution
Bin ngu nhin X c gi l tun theo phn phi
chun nu hm mt xc sut c dng:
f ( x)
1
e
2
( x )2
2 2
l s trung bnh ca bin ngu nhin X

E( X )
2 l phng sai ca bin ngu nhin X

Var ( X )
l lch chun ca bin ngu nhin X


K hiu :
X ~ N ( , 2 ) (phn phi chun)

(phn phi chun ha)
Z ~ N (0,1)
P(a<X<b) = S
b
1
S
e
2 a
( x )2
2 2
dx

X
t Z
X ~ N(, 2) Z ~ N(0,1)
P(a X b) P(a Z b)
P(
a
b
Z
)
f(z)
S
0
zo
C 3 loi bng tra


V d: Tm xc sut phng n u t A1 c sut
thu li (RR) sau thu nm trong khong:
a) 4% n 5%
b) 5% n 6%
Bit
E ( A 1 ) = 4%
( A 1 ) =2.12%

5% 4%
4% 4%
F
2.12%
2.12%
a).P(4% RR 5%) F
F (0.47) F (0) 18.08% 0 =18.08%

6% 4%
5% 4%
b).P(5% RR 6%) F
F
2.12%
2.12%
F 0.94 F 0.47
32.64% 18.08% = 14.56%

Phn tch ri ro trong dng tin CF
+ Gi tr hin ti ca dng tin:
N
PW (1 i) j Aj
j 0
+ K vng Gi tr hin ti ca dng tin:

N
E ( PW ) (1 i ) j E ( A j )
j 0
+ Phng sai gi tr hin ti ca dng tin:

N
Var(PW ) 2 (PW ) (1 i) 2 j Var( Aj )

j0

+ lch chun gi tr hin ti ca dng tin:
L gi tr biu th mc ri ro ca d n.
N
( PW )
(1 i)
2 j
Var( Aj )
j 0
+ nh l gii hn trung tm(Central Limit Theorem):

Khi N tng ln, PW s tun theo phn phi chun c s
trung bnh l E(PW) v phng sai Var(PW) , hay:
( N ) PW ~ N EPW , 2 PW

V d:
Mt cng ty d nh u t vo mt dy chuyn sn xut vi:
P = 2000 tr vn u t (xem nh bit chc chn)
A = 1000 tr - thu nhp rng trung bnh hng nm (xem nh
bin ngu nhin c lp tun theo phn phi chun).
lch chun thu nhp rng hng nm l 200tr
N = 3 nm
MARR = 10% = i%
SV = 0
Yu cu: tnh xc sut PW<0 (d n khng ng gi)

J
- 2 000
1 000
1 000
1 000
1 000
1 000
1 000
SV
0
- 2 000
200*200 = 40 000 200*200 = 40 000 200*200 = 40 000

N
j 0
j 1
E ( PW ) A j (1 i ) j A0 A j 1 0.1
3
2000 1000(1 10%) j 2000 1000( P / A,10%,3)

j 1
2000 1000 * 2.4869 = 486.9 tr

10

N
Var( PW) 2 PW 1 i2 j VarAj

j0
Var(A0) 12i i2 VarAj 0 40000 / 1 21%

j
j 1
j1
40000(P / A,21%,3) = 82 957.

Var(PW ) 40000/1.1^ 2 40000/1.1^ 4 40000/1.1^6

PW
E PW
Var ( PW )
82957 = 288 tr
= 487 tr
Gi s PW tun theo quy lut phn phi chun:
PW ~ N ( 487 , 288 2 )
Xc sut PW c gi tr m:
0 487
P ( PW 0 ) P Z
288
P ( Z 1 . 69 )
F ( 1 . 69 )
= 4.55% (tra bng)


Mc ri ro tng
theo thi gian
N 0 N
lch chun thi on th N
lch chun thi on th 0
Thi gian quy hoch cng di

th mc ri ro cng cao
11

SV ch tham kho thm, khng thi phn m
phng Monte Carlo
nh ngha:
M phng Monte Carlo l mt phng php
phn tch m t cc hin tng cha yu t
ngu nhin (ri ro trong d n) nhm tm ra
li gii gn ng
c s dng trong phn tch ri ro khi vic
tnh ton bng gii tch qu phc tp

Th tc:
Thc cht l ly 1 cch ngu nhin cc gi tr c
th c ca cc bin ngu nhin u vo v tnh ra
kt qu thc nghim ca i lng cn phn tch
Qu trnh lp li nhiu ln c mt tp ln
cc kt qu th nghim
Tnh ton thng k tp hp cc kt qu c
cc c trng thng k ca kt qu cn phn tch

Mt d n u t c dng tin t nm v tui th
l nhng bin ngu nhin c phn phi xc sut
Thu nhp
rng hng
nm u A
(tr. )
Xc sut
P(A)
2000
3000
4000
0.20
0.50
0.30
Tui th d n N
(nm)
Xc sut P(N)
1
2
3
4
5
6
7
0.10
0.15
0.20
0.25
0.15
0.10
0.05
12

Yu cu: Xc nh gi tr k vng v phng sai ca
PW, kh nng u t vo d n l c li P(PW > 0)
Bc 1:
Tm cch pht ra mt cch ngu nhin cc gi tr ca 2
bin ngu nhin A & N sao cho chng tha mn phn
phi xc sut nh bi
Mun vy, ta dng trung gian 2 bin ngu nhin, c
phn phi u t 0 n 1

F
100%
70%
Phn phi tch ly

ca bin ngu nhin
phn b u a
20%
1
Phn phi
tch ly ca
bin ngu
nhin A
2000
3000 4000
F 100%
Phn phi
tch ly ca
bin ngu
nhin N
80%
Phn phi tch ly ca

bin ngu nhin phn
b u b
60%
40%
20%

Mi ln pht ra 2 s ngu nhin v phn phi u, da
vo 2 th trn ta suy ra c Ai v Ni tng ng
Bc 2: Tnh gi tr ca PWi theo 2 gi tr Ai v
Ni va chn bc 1
Bc 3: Lp li bc 1 & 2 m ln, vi m kh ln,
ta s c m gi tr PWi, i = 1,2,3,,m
Bc 4: Tnh E[PW], V[PW] t tp hp PWi c
c bc 3
T tnh c xc sut P[PW > 0]
13

Xc nh vn
Chn cc bin s quan trng
Xy dng m hnh m phng
Xc nh gi tr ca cc bin
Thc hin m phng
Phn tch kt qu
Chn gii php tt nht
14

C8 - Rui Ro Compatibility Mode

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C8 - Rui Ro Compatibility Mode

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Chng 8: Ri ro v

B mn Ti Chnh Khoa Qun l Cng nghip

Bi ging Lp v phn tch d n

Bi ging Lp v phn tch d n

quan v suy ra xc sut => trong kinh t , khng

Bi ging Lp v phn tch d n

Bi ging Lp v phn tch d n

Bi ging Lp v phn tch d n

Bi ging Lp v phn tch d n

Bi ging Lp v phn tch d n

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

M hnh phn tch nhy thuc loi m hnh m t

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Khi so snh 2 hay nhiu phng n do dng

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Mc ch: so snh trng hp c s vi

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

L phn tch m t cc nh hng i vi o

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Xc sut ca cc trng thi Pi P1

Ai: Phng n u t Si: Kt qu xy ra (Kh khn, thun li )

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

lch chun (standard deviation): o mc ri ro ca

H s bin thin Cv (coefficient of variation): o ri ro

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Xc sut ca cc trng thi Pi

E ( A1 ) = R11 * P1 + R12 * P2 + ..+ R1j * Pj + R1n * Pn

(R11- E(A1))2*P1 + (R12- E(A1))2*P2 +...+(R1n- E(A1))2*Pn

3. Phn tch ri ro risk analysis

l s trung bnh ca bin ngu nhin X

2 l phng sai ca bin ngu nhin X

l lch chun ca bin ngu nhin X

3. Phn tch ri ro risk analysis

X ~ N ( , 2 ) (phn phi chun)

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

C 3 loi bng tra

3. Phn tch ri ro risk analysis

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

F (0.47) F (0) 18.08% 0 =18.08%

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

+ K vng Gi tr hin ti ca dng tin:

+ Phng sai gi tr hin ti ca dng tin:

Var(PW ) 2 (PW ) (1 i) 2 j Var( Aj )

Bi ging Lp v phn tch d n

(R11- E(A1))2P1 + (R12- E(A1))2P2 +...+(R1n- E(A1))2*Pn

200200 = 40 000 200200 = 40 000 200*200 = 40 000