《财务管理-企业财务规划最佳化模型》由会员分享，可在线阅读，更多相关《财务管理-企业财务规划最佳化模型（35页珍藏版）》请在金锄头文库上搜索。
1、Integration of Financial and Physical Supply ChainsJeremy F. Shapiro莫明鳳2003/4/29AgendanIntroductionnOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型nFinancial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題nA Network Illustration nFinancial Flows ModelnModeling Excha
2、nge Rate RisksnReal Options for Hedging Risks in the Global EconomynFinal Thoughts2003/4/292IntroductionnPurpose of integrationnImprove the firms financial performance.nStrategic supply chain planning.nHolistically optimize , not individually.nComplex for MNC.nGoal of this chapternExamine optimizati
3、on models.2003/4/293Optimization Models for Corporate Financial Planning nFinancial decision : strategic , tactical , operational.nModeling the Balance Sheet.nNumerical Example of an Optimization Model for Corporate Financial Planning.nModel and Methodological Extensions.2003/4/2949.1 Modeling Balan
4、ce Sheet -1nCA+FA-CL-L-E=0 資產-負債-股東權益=0n = change during a year.nE(t)=PR(t)-D(t) 股東權益=稅後利潤-股東紅利nPR(t)=(1-r)(EBIT(t)-iL(t) 稅後利潤=(1-稅率)*(稅前盈餘-長期負債*利率)nr=稅率 , i=利息nCA(t)+ FA(t)- CL(t)- L(t)- (1-r)(EBIT(t)-iL(t)+D(t)=0Balance Sheet XYZ CorporationBalance Sheet XYZ CorporationCurrent Assets (CA)Fixed Ass
5、ets (FA)Current Liabilities (CL)Long-Term Debt (L)Equity (E)2003/4/2959.1 Modeling Balance Sheet -2nFunds flowsnCA(t) - L(t) +(1-r)iL(t)=- FA(t)+CL(t)+(1-r)EBIT(t)+D(t)nLeft : under control of financial plannersnRight : outside their controlnDecision variablenDebt-to-equity constraintL(t) = KE(t) K=
6、 SiL(t) S=5nMinimum working capital constraintCA(t) = WCL(t) W=2股東權益=長期負債稅前利潤=5*長期負債流動資產=2*短期負債2003/4/2969.1 Numerical Example -1nAjax Computer Corporation.nGoalnMaximize weekly revenue from sales of these computers.n3-year strategy and new product (lambda).nDetail of investment options and constrai
7、ntsn1st year : design , identify suppliers , acquire equipments.nExpand production capacity.nExpand equipment.Balance Sheet AjaxBalance Sheet Ajax30萬 (CA)130萬 (FA)20萬 (CL)60萬 (L)80萬 (E)2003/4/2979.1 Numerical Example -2nDetail of investment options and constraintsnEBIT=gross revenue marketing and ov
8、erhead costs.nMaximize the companys equity at the end of 3 years.nTable 9.1 Optimization Modeln7C 7G 財務變數初始值n8C 8G 第一年的改變值C8= G8-D8+E8+F8D8=K8+F8E8=50F8=0G8=I9-J8CA= E- FA+ CL+ LFA= L+ 投資短期負債為外生變數長期負債=0E=PR-dividend2003/4/2989.1 Numerical Example -3nTable 9.1 Optimization ModelnH8 = C20*C21 + D20*D2
9、1 + E20*E21 3000nI9 = 0.65 * (H8-0.1*F9)nL9 = G9 F9 (M9)nH17 = 6240 + C30 (C31)nI30 = C29*C30 + D29*D30 + E29*E30 +F30 G30 H30nI38 = 0.9 * H18 + E49EBIT = gross revenue fixes marketing and overhead costPR = (1-r) (EBIT iL)L current needs.nObjective functionMaximize the net present value of earnings
10、(利潤的淨現值) in each period of planning horizon in all entities.2003/4/29229.4 FFM Results -1nTable 9.2 partial summarynFirst 3 runs對國外entities,保留盈餘的限制對目標函數影響不大Secondary objectiveTable 9.3 : breakdown of earning from run 3nRun 4Reduce the initial inventory of excess tax credits.Pronounced effort : divid
11、end paid for USH. nRun 5Non-US entities can receive primary component form the USD rather than B.The model pinpoints the magnitude of the increase.2003/4/29239.4 FFM Results -2nTable 9.4 nAll borrowing by entities for run 4 and contrasts these amounts with the dividends paid.nTable 9.5n保留盈餘限制的影子價格反應
12、出目標函數下降n利用其減少的部分轉換成sovereign risk factors.nSovereign risk factor : sacrifice 30 cents of each dollar.nSRF were inconsistent w/ constraints on retained earning.nMethodological extension : multiplier selection techniques. 2003/4/2924AgendanIntroductionnOptimization Models for Corporate Financial Plann
13、ing 企業財務規劃最佳化模型nFinancial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題nA Network Illustration nFinancial Flows ModelnModeling Exchange Rate RisksnReal Options for Hedging Risks in the Global EconomynFinal Thoughts2003/4/2925Modeling Exchange Rate Risks -1nDiscuss area of uncertai
14、nty and risks faced by MNCsnPresent modeling approaches that explicitly identify hedging strategies for mitigating risk.n以財務觀點來抗衡外匯率風險n以實際供應鏈角度來緩和全球風險 (Section 9.6)nOne approach is purely financial.nOptions and futures 選擇權與期貨nAnother approach is physical supply chain strategy.2003/4/2926Modeling Exc
15、hange Rate Risks -2nFinancial hedgingnCall option : right , buy an asset at strike price.nPut option : right , sell an asset at strike price.nEuropean option at the maturity date.nAmerican option up to and including the maturity date.nExampleA MNC has a US parent.Forecast PR in Germany will equal 10
16、0 M DM.The revenue will repatriated to the US parent on Oct 31.Less confident about .66 US $ per DM next Oct 31.2003/4/2927Modeling Exchange Rate Risks -3nFinancial hedgingnExampleProbability tree.Attain after-tax receipts from Germany at least US $60M.Exchange Rate(US $ / DM)After-tax revenue In US
17、 $ from 100M DMProbability of Occurrence .76.70.66.62.56.12.20.36.20.1276M70M66M62M56M2003/4/2928Modeling Exchange Rate Risks -4nFinancial hedgingnExampleBuy a European Put Option : sell 100M DM next Oct 31 at strike price .606 US $ per DM.The premium for the option is US $ 0.6M.Finished in the mone
18、y & finished out of the money.Insured Revenuesuninsured Revenues2003/4/2929Modeling Exchange Rate Risks -5nFinancial hedgingnExampleRisk neutral 風險中立66=76*.12 + 70*.20 + 66*.36 + 62*.20 + 56*.12Risk averse 風險反對65.952=76*.12 + 70*.20 + 66*.36 + 62*.20 + 60.6*.12 0.6Insured Revenuesuninsured RevenuesE
19、xchange Rate(US $ / DM)After-tax revenue In US $ from 100M DMProbability of Occurrence .76.70.66.62.56.12.20.36.20.1276M70M66M62M56M2003/4/2930AgendanIntroductionnOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型nFinancial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃
20、問題nA Network Illustration nFinancial Flows ModelnModeling Exchange Rate RisksnReal Options for Hedging Risks in the Global EconomynFinal Thoughts2003/4/2931Real Options for Hedging Risks in the Global Economy -1nChange radically and continue to do.nMajor source of uncertainty faced by a MNC.nProduct
21、 price and demandnCommodity price and supplynForeign exchange etc.nCurrent research aimed at developing tools to control risks.nCultural barriers & apply options.2003/4/2932Real Options for Hedging Risks in the Global Economy -2nStochastic programmingnReal options Wait / postponeExpandContractExitSw
22、itchImprovenTechnical issues for successful applicationProbabilistic descriptions of important financial and supply chain uncertainty can be very complex.Address only a finite number of scenarios of the future.Dive new method for incorporating financial options in stochastic programming.2003/4/2933A
23、gendanIntroductionnOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型nFinancial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題nA Network Illustration nFinancial Flows ModelnModeling Exchange Rate RisksnReal Options for Hedging Risks in the Global EconomynFinal Thought
24、s2003/4/2934Final ThoughtsnRealistic optimization models for corporate financial planning,which include linkages to supply chain models.nMultiobjective optimization modelnBalance Scorecard.nCapability of optimization models to holistically capture supply chain , marketing ,and financial planning within the firm.n4 areas.2003/4/2935
