第五讲资本预算中的风险评估研讨.ppt

Topics Covered Some “What If” Questions Sensitivity Analysis Scenario Analysis Break Even Analysis Real Options and the Value of Flexibility How To Handle Uncertainty Sensitivity Analysis - Analysis of the effects of changes in sales, costs, etc. on a project. Scenario Analysis - Project analysis given a particular combination of assumptions. Simulation Analysis - Estimation of the probabilities of different possible outcomes. Break Even Analysis - Analysis of the level of sales (or other variable) at which the company breaks even. Sensitivity Analysis Example Given the expected cash flow forecasts listed on the next slide, determine the NPV of the project given changes in the cash flow components using an 8% cost of capital. Assume that all variables remain constant, except the one you are changing. Sensitivity Analysis Example – continued (,000s) Sensitivity Analysis Example - continued Possible Outcomes Sensitivity Analysis Example - continued NPV Calculations for Pessimistic Investment Scenario Sensitivity Analysis Example - continued NPV Possibilities Scenario Analysis Example - continued Cash Flows (years 1-12) Break Even Analysis Example Given the forecasted data on the next slide, determine the number of planes that the company must produce in order to break even, on an NPV basis. The company’s cost of capital is 10%. Break Even Analysis Break Even Analysis Answer (Accounting) The break even point Break Even Analysis Answer (Finance) The break even point, is the # of Planes Sold that generates a NPV=$0. The present value annuity factor of a 6 year cash flow at 10% is 4.355 Thus, Break Even Analysis Point at which the NPV=0 is the break even point Otobai Motors has a breakeven point of 85,000 units sold. Monte Carlo Simulation Step 1: Modeling the Project Step 2: Specifying Probabilities Step 3: Simulate the Cash Flows 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 Decision Trees Decision Trees Decision Trees Decision Trees