Scribd Logo
Upload

Welcome to Scribd!

  • Phân Tích R I Ro Monte Carlo

    Uploaded by

    banhbeoqn
    7 views6 pages
    phân tích rủi ro Monte Carlo

    Original Title

    phân tích rủi ro Monte Carlo

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    phân tích rủi ro Monte Carlo

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    7 views6 pages

    Phân Tích R I Ro Monte Carlo

    Uploaded by

    banhbeoqn
    phân tích rủi ro Monte Carlo

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    of 6
    ‘uyer hi Khoa hoc tan thit 17, Mo - Di dt, Ha Noi PHAN TICH RUI RO DU AN BAU TU VOI SU TRG GIUP CUA CHUONG TRINH EXCEL VA CRYSTAL BALL Lé Minh Tuan, Nguyén Thanh Tinh, Egorov S.V.,Vién NCKH&TK Phan Thi Mai, XNLD Vietsovpetro ‘Tom tat: Tham dé va khai thc ddu khi gdn lién véi dé riti ro cao do nhiing tham 36 gid dinh khi thiéi Idp du dn cé thé chua ré rang va chdc chdn. Qudn ly riti ro irong khai thac déu khi luén la doi wong phic tap duoc xem xét trong sudt qua trinh ddu tu. Crystal ball la m6t add-in cho Microsoft Excel duge hang Decisioneering phat trién (cem www.decisioneering.com). Crystal ball sit dung kj thudt mé phong Monte Carlo gid ldp nhiing tinh hudng trong thuc té dé igo va tink todn céc phuong dn cia mé hink. Bai viét nay la sit dung m6t s6 cong cu cla Microsoft Excel & Crystal Ball dé tinh todn riti ro cita du dn ddu we, béng viéc thiét lap mé hinh kink té voi 1dt cd cdc bién cd dnh hudng dén dong tién (sdn luong, chi phi ddu we, chi phi duy ti, thu nhdp...) va lién két tdi cd cde tham sé theo mét biéu thitc logic. Két qud tinh todn la cde chi tiéu thong ké va dé thi phdn bé xdc sudt cia NPV va IRR. 1. Mé dau Rai ro trong dau tu duge hiéu 1a lam giam thu nhap cia du dn. Da s6 cdc bign cb anh huéng 161 NPV, IRR déu cé mite do chéc chan khong cao, dé c6 thong tin va dit ligu cho cde dir béo chinh xéc céin phai c6 chi phi khong nhé. Phan t{ch rii ro nham giém thiéu kha nang thyc hién mot dur 4n “ti” trong khi khong b6 10 chap thuan mot du én “16t’. 2. co sé ly thuyét va phuong phap nghién ctu 2.1. Co so ly thuyét Phan 16n cdc cong ty dau khi sit dung 3 phuong php phan tich riti ro chinh: phan tich do nhay, phan tich kich ban va phan tich mo phong Monte Carlo. 2.1.1. Phan tich dé nhay Pay 1a bude dau tién cia phan tich rii ro bing céch kiém dinh gid tri NPV, IRR theo céc tham sO nhu: gid ban, chi phf dau tu, chi phi duy tri, he s6 sit dung v6n.... Két qua tinh ton 1 cdc bang tinh hoac minh hoa béi cdc dé thi, td két qua nhan duoc, tién hanh phan. lich “diéu gi sé xy ra néu..." (Whal-If) cho phép chting ta x4c dinh duce bién nao c6 tam quan trong nh 1a nguén g6c cia rire, Phan tich d6 nhay cé nhiing han ché do vic kiém dinh mot bién, d6 1& moi twong quan gilta cdc bin, vi dy néu ty 1¢ lam phat thay déi thi tat cd doanh thu, chi phi cing bién dong, gid sir sin lugng da ban (Q) tang thi céc chi phi cing sé tang nhung mtic d6 tang cla cdc bign 1a khéc nhau. Phan tich dé nhay khong tap trung vao céc mién thuc té va khéng thé hién xdc sudt d6i v6i timg mién gid ti. Déi véi da s6 cdc big, hudng tac dong da s6 1a rd rang, tuy vay van c6 nhing ngoai Ié: - Doanh thu tang sé lam cho NPV tang; - Chi phi tang sé lam cho NPV giam; - Lam phat kh6ng r6 rang cho viée xc dinh huéng bign dong. 2.1.2. Phdn tich kich ban Phan tich kich ban thira nhan cdc bién cé quan hé tuong hd, vi vay céc bign 06 thé duge thay d6i déng thdi. Tap hop tat ca cdc tinh hudng c6 kha nang két hop lai dé to thanh céc kich ban (scerarios); tru’mg hop xu nhét, trung binh va tot nhat. Viée phan tich kich ban ciing khong tinh dugc xdc sudt céc tru’ng hop néu trén. 293 in tay shi Kou hoe ldn thit 17, Dai hac Ma - Dia cuit ai, 2011012006 Phan tich kich ban gitip cho viée quyét dinh chap thuan dy 4n néu NPV>0 ngay cd trong trutmg hgp xau nhat, bac bd du én néu NPV

    You might also like