rui ro va bat dinh trong phan tich du an

Rui ro va bt inh

trong phn tich d an

Lp v phn tch d n

Ni dung

Tng quan v rui ro v bt inh 1

Phn tch rui ro (Risk Analysis) 3

Phn tch nhay (Sensitivity Analysis) 2

Khi nim ri ro bt nh

Mt nh khoa hc cho rng :Ch c mt iu chc chn l khng chc chn. Trong mi hot ng con ngi u tn ti

yu t ngu nhin , bt nh.

Ri ro: bit c xc sut xut hin .

Bt nh : khng bit c xc sut hay thng tin v s xut hin.

Ri ro Bt nh

Cch i ph :

B qua tnh cht bt nh trong tng lai , gi nh mi vic s xy ra nh mt k hoch nh v thch nghi vi nhng bin i.

C gng ngay t u , tin liu tnh bt trc v hn ch tnh bt nh thng qua vic chn la phng php trin vng nht.

Xc xut khch quan ch quan

Xc xut khch quan:thng qua php th khch quan v suy ra xc xut => trong kinh t , khng c c hi th .

Xc xut ch quan : Khi khng c thng tin y , NRQ t gn xc sut mt cch ch quan i vi kh nng xut hin ca trng thi.

Ri ro & Bt nh trong phn tch d n

Trong iu kin chc chn : dng tin t , sut chit tnh , tui th d n =>chc chn .

Xt ri ro bt nh :

S thay i gi tr ca chui dng tin t n kt qu d n.

Sut chit tnh nh hng n kt qu d n.

X l ri ro bt nh trong kinh t

Tin hnh theo hai hng :

Tng cng tin cy ca thng tin u vo: t chc tip th b sung , thc hin nhiu d n san s ri ro .

Thc hin phn tch d n thng qua cc m hnh ton lm c s.

M hnh ton x l

Cc m hnh chia thnh hai nhm :

Nhm m hnh m t (description models). V d :M hnh xc nh gi tr hin ti.

Nhm m hnh c tiu chun hay c nh hng (Normative or prescriptive models)

V d : Hm mc tiu cc i gi tr hin ti.

II.PHN TCH NHY (Sensitivity Analysis )

1. nh ngha :

Phn tch nhy l phn tch nhng nh hng ca cc yu t c tnh bt nh n:

o hiu qu kinh t ca cc phng n so snh

Kh nng o ln kt lun v cc phng n so snh

V d : nh hng ca sut chit khu MARR n NPV

II.PHN TCH NHY (Sensitivity Analysis )

+ M hnh phn tch nhy thuc loi m hnh m t + Trong phn tch nhy cn nh gi c bin s quan trng (l bin c c nh hng nhiu n kt qu v s thay i ca bin c c nhiu tc ng n kt qu )

NHC IM CA PHN TCH NHY

Ch xem xt tng tham s trong khi kt qu 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

Trong phn tch ri ro s cp n cc vn trn

PHN TCH NHY THEO MT THAM S

(One at a time Procedure)

Cch thc hin:

Mi ln phn tch ngi ta cho mt yu t hay mt tham s thay i v gi nh n c lp vi cc tham s khc


(One at a time Procedure)

-Vd: Cho d n u t mua my tin A vi cc tham s c c tnh nh sau:

u t ban u (P): 10 triu ng Chi ph hang nm (C): 2,2 Thu nhp hng nm (B):5,0 Gi tr cn li (SV): 2,0 Tui th d n (N): 5 nm MARR (i %): 8% Yu cu: phn tch nhy ca AW ln lt theo

cc tham s : N, MARR, C


(One at a time Procedure) Gii:

AW= -10(A/P,i%,N)+5-C+2(A/F,i%,N)

Kt qu :

NHN XT

AW ca d n kh nhy i vi C v N nhng t nhy i vi MARR

D n vn cn ng gi khi : N gim khng qu 26% gi tr c tnh

MARR khng tng ln qu gp i (103%)

C khng tng qu 39%

Nu vt qu nhng gi tr trn s o ln quyt nh

Trong phm vi sai s ca cc tham s + - 20% d n vn cn ng gi

PHN TCH NHY CA CC PHNG N SO SNH

Nguyn tc:

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 them s thay i ny

V D

C 2 phng n A v B , nhy ca PW theo tui th N ca 2 phng n nh sau:

NHN XT

Nu tui th c tnh ca 2 d n l nh nhau th : A tt hn B khi N >10 nm

B tt hn A khi 7

PHN TCH NHY THEO NHIU THAM S(SCENARIO ANALYSIS )

xem xt kh nng c s thay i tng tc gia s thay i ca cc tham s kinh t cn phi nghin cu nhy ca cc phng n theo nhiu tham s

Phng php tng qut : to thnh cc vng chp nhn v vng bc b

PHN TCH NHY THEO NHIU THAM S(SCENARIO ANALYSIS )

Phn tch ri ro (Risk Analysis) M hnh tng qu ca bi ton phn tch ri ro

S1 S2 Sj Sn

A1

A2

Ai

Am

R11 R12 R1j R1n

R21 R22 R2j R2n

Ri1 Ri2 Rij Rin

Rm1 Rm2 Rmj Rmn

Xc sut ca cc trng thi Pi P1 P2 Pj Pn

Phng n Ai Trng thi Si

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

Rij: Chn phng n Ai v trng thi 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)

Phn tch ri ro (Risk Analysis)

1

( ) ( * )n

i ij j

j

E A R P

2

1

( ) ( ( )) *n

i ij i j

j

A R E A P

Gi tr k vng E(Ai) ca hiu qu ca phng n Ai

lch chun: Kh nng xy ra kt qu lch xa gi tr k vng E(Ai) ca hng n Ai

ri ro tng i gia cc phng n Cv: Phng n no c Cv cng ln th mc ri ro cng cao

( )

( )i

V

i

AC

E A


1( )E A

1( )A

Phng n Ai Trng thi Si S1 S2 Sj Sn

A1

A2

Ai

Am

Xc sut ca cc trng thi Pi

Phng n Ai

R11 R12 R1j R1n

R21 R22 R2j R2n

Ri1 Ri2 Rij Rin

Rm1 Rm2 Rmj Rmn

P1 P2 Pj Pn

= R11 P1 * R12 P2 * R1j Pj

* R1n Pn * + + + ..+

= (R11- E(A1))2*P1 (R12- E(A1))

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

1

1

( )

( )v

AC

E A


V d: 1 cng ty xem xt 3 phng n A1, A2, A3 v cc tnh trng kinh doanh c th xy ra l kh khn, trung bnh v thun li cng vi cc xc sut xy ra tng ng.

Kh khn Trung bnh Thun li

A1

A2

A3

Xc sut trng thi

Phng n

Trng thi

-1 %

-6 %

1 %

4 %

4 %

4 %

9 %

14 %

7 %

25 % 50 % 25 %

Yu cu: Xc nh k vng, mc ri ro v h s bin ha ca cc phng n


1( )E A

3( )E A

Kh khn Trung bnh Thun li

A1

A2

A3

Xc sut trng thi

Phng n

Trng thi

-1 %

-6 %

1 %

4 %

4 %

4 %

9 %

14 %

7 %

25 % 50 % 25 %

2( )A

3( )A

1( )A

1( )VC A 2( )VC A 3( )VC A

2( )E A

=

=

=

=

=

=

= = =

0.01 *0.25 0.04 * 0.5 0.07 * 0.25 + + = 4%

-0.01 *0.25 0.04 * 0.5 0.09 * 0.25 + + = 4%

-0.06 *0.25 0.04 * 0.5 0.14 * 0.25 + + = 4%

(0.01 0.04)2*0.25 (0.04 0.04)2* 0.5 (0.07 0.04)2 * 0.25 + + = 2.12 %

(-0.01 0.04)2*0.25 (0.04 0.04)2* 0.5 (0.09 0.04)2 * 0.25 + + = 3.54 %

(-0.06 0.04)2*0.25 (0.04 0.04)2* 0.5 (0.14 0.04)2 * 0.25 + + = 7.07 %

2.12 %

4 %

= 0.53 = 3.54 %

4 %

0.88 = 7.07 %

4 %

1.77

3( )VC A Max Phng n A3 c ri ro cao nht

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Tnh ton xc sut theo phn phi chun

(Normal Distribution)

Tnh ton xc sut theo phn phi chun (Normal Distribution)

Nhc li : Bin ngu nhin X c gi l tun theo phn phi

chun nu hm mt xc sut c dng:

Trong :

l s trung binh ca bin ngu nhin X

l phng sai ca bin ngu nhin X

l lch chun ca bin ngu nhin X

2

2

2

)(

2

1)(

x

exf

2

)(XE

2)( XVar


Ky hiu :

(phn phi chun)

(phn phi chun hoa Standard Distribution)

),(~ 2NX

)1,0(~ NZ

P(a


t

)()( bZaPbXaP

X

Z

Trong : F(X) l hm phn phi chun (dung bng tra)

)(

bZ

aP

)()(

aZP

bZP

aF

bF

)1,0(~),(~ 2 NZNX


Vi du: i vi phng an A1 trong vi du trc. Tim xac sut co RR sau thu cua c phn nm

trong khoang:

a).4% n 5%

b).5% n 6%

)1(AE

)1(A = 4%

=2.12%

%12.2

%4%4

%12.2

%4%5FF%)5%4(). RRPa

)0()47.0( FF 0%08.18 =18.08%

%)6%5(). RRPb

%12.2

%4%5

%12.2

%4%6FF

47.094.0 FF %08.18%64.32 = 14.56%

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Rui ro trong dong tin t (Cash Flow CF)

Rui ro trong chui dong tin t (Cash Flow CF)

Gi tr hin ti ca dng tin:

N

j

j

j AiPW0

)1(

Ky vng Gi tr hin ti ca dng tin:

N

j

j

j AEiPWE0

)()1()(

Phng sai gi tr hin ti ca dng tin:

N

j

j

j AVariPWPWVar0

22 )()1()()(


lch chun gi tr hin ti ca dng tin:

L gi tri biu thi mc rui ro cua d n.

N

j

j

j AVariPW0

2 )()1()(

nh l gii hn trung tm(Central Limit Theorem): Khi N tng ln, PW se tun theo phn phi chun co s

trung binh l E(PW) v phng sai Var(PW) , hay:

PWPWENPWN 2,~)(


Vi du: Mt cng ty d inh u t vao mt dy chuyn san

xut vi: P = 2000 tr vn u t (xem nh bit chc chn)

A = 1000 tr - thu nhp rong trung binh hang nm (xem nh bin ngu nhin c lp tun theo phn phi chun).

lch chun thu nhp rong hang nm

N = 3 nm

MARR = 10% = i%

SV = 0

Yu cu: tinh xac sut PW


J 0 1 2 3

P - 2 000

A 1 000 1 000 1 000

SV 0

- 2 000 1 000 1 000 1 000

200*200

= 40 000

200*200

= 40 000

200*200

= 40 000

jA

)(

)(

2

j

j

A

AVar

N

j

j

j iAPWE0

)1()(

3

1

0 1.01j

j

jAA

3

1

%)101(10002000j

j )3%,10,/(10002000 AP

4869.2*10002000 = 486.9 tr


J 0 1 2 3

P - 2 000

A 1 000 1 000 1 000

SV 0

- 2 000 1 000 1 000 1 000

200*200

= 40 000

200*200

= 40 000

200*200

= 40 000

jA

)(

)(

2

j

j

A

AVar

= 82 957.

N

j

j

jAVariPWPWVar

0

22 1)(

N

j

j

jAVariiAVar

1

2

0 21)(

3

1

%211000400j

j

)3%,21,/(00040 AP


)(PWVarPW 82957 = 288 tr PWE = 487 tr

Gia s PW tun theo quy lut phn phi chun:

)288,487(~ 2NPW

Xac sut PW co gia tri m:

288

4870)0( ZPPWP

)69.1( ZP

)69.1( F = 4.55% (tra bang)

Mc rui ro tng theo thi gian

NN 0

lch chun thi oan th N

n

N

0 lch chun thi oan th 0

Thi gian quy hoach cang dai

thi mc rui ro cang cao

rui ro va bat dinh trong phan tich du an

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