《资本预算的中风险评估》由会员分享,可在线阅读,更多相关《资本预算的中风险评估(20页珍藏版)》请在金锄头文库上搜索。
1、 第七章 资本预算中的风险评估 掌握资本预算中的风险分析方法 学习要求Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.一、敏感性分析(Sensitity Analysis) 这是研究投资决
2、策方法(NPV、 IRR等)对项目假设条件变动的 敏感程度的一种分析方法。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.1. 敏感性分析的步骤第一步:基于对未来的预期,估算基础状态分析中
3、的现金流量和收益。基础状态分析是运用项目各要素最可能发 生的价值为基础资料所进行的项目分析。第二步:找出基础状态分析中的主要假设条件。通常基于以下两类假设的研究比较有意义: .最具影响力的因素;.最不确定的因素。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd
4、.Copyright 2004-2011 Aspose Pty Ltd.第四步:把变动结果列在图形或表格中,表示出每一个变量的变动对NPV或IRR的影响。第五步:把所得到的信息与基础状态分析相联系,从而决定该项目是否可行。第三步:改变分析中的一个假设条件,并保持其他假设条件不变,估算该项目在发生以上变化后的NPV或IRR。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Cl
5、ient Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.案例一l某投资方案第一年和第二年各投资1200万元,两 年建成,第三年投产后每年税后销售收入为800万 元,年生产成本为400万元,项目寿命期为20年, 固定资产余值为100万元。l分析年税后销售收入、年生产成本和投资额对内 部收益率的影响。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile
6、 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.项目税后收 入生产成 本投资固定资 产余值IRR (% ) 基本收 入800 4001200 1200 10014.20税后收 入880 7204001200 1200 10017.43 10.70 生产成 本800440 3601200 1200 10012.50 15.84 投资8004001320 1320
7、 1080 1080 10012.65 16.02Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.收入变化线IRR基准收益率IRR=10%基本方案成本变化线投资变化线因素变化率 临界值Ev
8、aluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.2. 敏感性分析的局限性 .无法给出每一个数值发生的可能性;. 现实中很多变量会同时发生变动;. 对敏感性分析结果的主观应用;Evaluatio
9、n only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.二、场景分析(Scenario Analysis)这是对一系列特定的远景概况 (基于宏观经济、产业和公司 因素)下项目NPV和IRR所进 行的分析。Evalu
10、ation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.1. 场景分析的步骤第一步:选择建立场景概况所需要的因素,通常基于公司经营业务的类型和影响项目未来成功的最大不确定性因素。第二步:估算每种场景下投资分
11、析变量的价值。 第三步:估算每种场景下项目的NPV和IRR。第四步:基于所有场景下的项目NPV进行决策。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.案例一项正在考虑之中的项目成本为20
12、0000美元, 经济寿命为5年,采用直线法,没有残值。贴 现率为12%,税率为34%。基本情况 下限上限销售量(件)600055006500 单位价格(美元) 807585 单位变动成本(美元) 605862 每年的固定成本(美元 ) (不包含折旧)500004500055000Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.
13、Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.情境净利润现金流量 净现值IRR基本情况19800598001556715.1%最坏的情况 -1551024490-111719-14.4%最好的情况 597309973015950440.9%Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3
14、.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.2. 场景分析的局限性 . 在许多情况下,这种假设并不现实;. 场景分析对投资分析变量预期价值的估算超出了基础状态的范畴;. 场景分析缺乏明确的建议以指导决策者如何运用该分析的结果进行项目决策。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created wi
15、th Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.三、盈亏平衡分析(Breakeven Analysis) 会计盈亏平衡是指公司为了保证避免 会计亏损(使会计利润为零)而必须 达到的销售量。财务盈亏平衡是指使公司的净现值 为零所必需的销售量。Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client
16、Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.亿美元产量(以销 售量为单位)固定成本变动成本总成本总收入盈亏平衡点Evaluation only.Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.Copyright 2004-2011 Aspose Pty Ltd.所以Evaluation only.Evaluatio