金融風(fēng)險(xiǎn)分析essay需求-Risk Analysis|Risk management involves identification, analysis, response planning and monitoringRisk Management Planning|Risk Analysis|Risk Management Planning|•Risk identification|•Risk analysis|•Risk response planning|•Risk monitoring|Risk Identification|•Potential impact onIncorporatingUncertainty and Risk(2)-Risk Analysis
Risk Management Planning
Risk Analysis
Risk Management Planning
•Risk identification
•Risk analysis
•Risk response planning
•Risk monitoring
Risk Identification
•Potential impact on
–Project implementation (cost and schedule)
–Achievement of project objectives (performance indicators)
–Different stakeholders
•Proactive (anticipation) or…
•Reactive (inspection and review)
•Internal (potentially controllable) or….
•External (uncontrollable)
Risk Analysis
•Evaluation of scale and need for response (probability x impact)
•Quantitative (e.g. Monte Carlo simulation) and/or …..
•Qualitative (e.g. high, medium, low, descriptive analysis)
Risk Response Planning
•Avoidance
–Don’t take risks but….
–……excessive risk aversion may lead to missed opportunity
•Mitigation
–Take action to counteract risk but……
–….may have resource implications
•Acceptance
–Accept that adverse circumstances may occur but…
–…may need a contingency plan
•Transfer or sharing (insurance or contract)
Risk Monitoring
•Identify critical parameters
•Ensure that they are monitored so that….
•Effective action can be taken before it is too late
•Logical framework can be useful in helping define…
–Critical risks and assumptions
–Objectively verifiable indicators for monitoring
Logical Framework
Narrative Summary
Verifiable Indicators
Means of Verification
Assumptions/Risks
Goals
Purpose
Outputs
Activities
Inputs
Risk Analysis
•Need to know which parameters are important and the range of probable values
•Step 1 –determine the parameters to which the project is most sensitive#p#分頁標(biāo)題#e#
•Step 2 –assign a probability distribution to the selected range of values
–e.g. Beta or Normal distribution –choice may be based on past records, experience etc.
Risk Analysis
•Step 3 –allot numbers (e.g. 01 to 100 or 00 to 99) in accordance with the probability of the values of the chosen parameters
–e.g. (for Beta distribution)
lowest estimate00 to 16
most likely17 to 82
highest estimate83 to 99
Risk Analysis
•Step 4 –Undertake a Monte Carlo simulation
–Use random number tables (or the random number function of a spreadsheet) to select combinations of values for different parameters
–Calculate the NPV at selected discount rates and the IRR. Repeat as many times as possible (100 or more) and tabulate results
Risk Analysis
•Step 5 –Calculate
–the Expected Value of the NPV (mean value) and its variance
–the probability of a negative NPV
–the expected size of the negative NPV (mean of negative NPVs)
–Note that the Expected Value of the NPV (EVNPV) can be estimated without doing a Monte-Carlo simulation:
where piis the probability of value NPVitaking place
–but …..this does not tell us anything about the size of the potential risk of an adverse outcome or the possible size of the loss
???niiiNPVNPVpEV1
Risk Analysis
•Step 6 –Interpret results
–What is the attitude to risk (various criteria)?
–Should the government or large companies be risk averse?
–What is the trade off between:
•The risk and potential size of a loss and….
•The probability and size of a potential gain?
•In the following example…
–The probability of a positive NPV is 69% and the average size of the positive NPV values is ($’000) 12,957
–The probability of a negative NPV is 31% and the average size of the negative NPV values is ($’000) –9,288
–Would you risk losing $ 9 million in the hope of gaining $13 million?
–The average (expected) value of the NPV is $ 4.4 million
TABLE 15.2 FREQUENCY DISTRIBUTION FOR VALUES OF THE
NPV AT SELECTED DISCOUNT RATES
NPV at Market Prices NPV to Equity
4% 8% 12% 4% 8% 12%
Less than -30000 4
-30000 to -20000 11 25 34 23 25 16
-20000 to -10000 30 55 86 38 55 69
-10000 to 0 57 113 187 97 135 195
0 to 10000 105 138 130 156 179 170
10000 to 20000 111 104 51 115 91 48
20000 to 30000 85 51 11 53 13 2
30000 to 40000 56 12 1 12 2
40000 to 50000 35 2 2
More than 50000 10
Total Observations 500 500 500 500 500 500
Expected Value of NPV 14694 4370 -2543 5212 1187 -1449
Standard Deviation 17651 13817 11056 13880 10951 8798
Probability NPV < 0 20% 39% 61% 32% 43% 56%
Average Value of Loss 10223 9288 9528 10286 8702 7515#p#分頁標(biāo)題#e#
Source: Project Planning and Analysis for Development p. 319
Figure 15.2 Frequency Distribution of Values for the Project NPV at
Market Prices at 8% Discount Rate
0
20
40
60
80
100
120
140
160
Less
than -
30000
-30000
to -
20000
-20000
to -
10000
-10000
to 0
0 to
10000
10000
to
20000
20000
to
30000
30000
to
40000
40000
to
50000
More
than
50000
Class Interval for NPV
Number of Observations
Source: Project Planning and Analysis for Development p. 320
Figure 15.3 Frequency Distribution of Values for the NPV to Equity
at 8% Discount Rate
0
20
40
60
80
100
120
140
160
180
200
Less
than -
30000
-30000
to -
20000
-20000
to -
10000
-10000
to 0
0 to
10000
10000
to
20000
20000
to
30000
30000
to
40000
40000
to
50000
More
than
50000
Class Interval for NPV
Number of Observations
Source: Project Planning and Analysis for Development p. 320
TABLE 15.3 FREQUENCY DISTRIBUTION FOR VALUES OF THE IRR
IRR at Market Prices IRR to Equity
Less than -28% 9
-28% to -24% 9
-24% to -20% 6
-20% to -16% 12
-16% to -12% 2 10
-12% to -8% 5 16
-8% to -4% 19 25
-4% to 0% 19 26
0% to 4% 53 49
4% to 8% 95 53
8% to 12% 114 65
12% to 16% 83 52
16% to 20% 66 51
20% to 24% 31 43
24% to 28% 11 25
28% to 32% 2 29
32% to 36% 8
36% to 40% 7
More than 40% 5
Total Observations 500 500
Expected Value of IRR 10.0% 9.2%
Standard Deviation 7.6% 14.9%
Source: Project Planning and Analysis for Development p. 319
Figure 15.5 Frequency Distribution of Values for the Project IRR at
Market Prices
0
20
40
60
80
100
120
Less than -28%
-28% to -24%
-24% to -20%
-20% to -16%
-16% to -12%
-12% to -8%
-8% to -4%
-4% to 0%
0% to 4%
4% to 8%
8% to 12%
12% to 16%
16% to 20%
20% to 24%
24% to 28%
28% to 32%
32% to 36%
36% to 40%
More than 40%
Class Interval for IRR
Number of Observations
Source: Project Planning and Analysis for Development p. 321
Figure 15.6 Frequency Distribution of Values for the IRR to Equity
0
10
20
30
40
50
60
70
Less than -28%
-28% to -24%
-24% to -20%
-20% to -16%
-16% to -12%
-12% to -8%#p#分頁標(biāo)題#e#
-8% to -4%
-4% to 0%
0% to 4%
4% to 8%
8% to 12%
12% to 16%
16% to 20%
20% to 24%
24% to 28%
28% to 32%
32% to 36%
36% to 40%
More than 40%
Class Interval for IRR
Number of Observations
Source: Project Planning and Analysis for Development p. 321
Risk Analysis and Decision Making
•Risk analysis only provides information –it clarifies the information used for decision making but it doesn’t make the decision
•Ultimately the decision rests on the risk of loss and the opportunity cost of foregone opportunity
•What is more important a risk avoided or an opportunity foregone?
Attitudes to Uncertainty and Risk
•Investors can be risk takers or risk avoiders
•Usually the smaller the enterprise the more risk averse it is because…….
•The size of a new investment relative to the enterprise concerned may be larger and….
•The capacity of the enterprise to absorb a loss may be lower
•In principle the attitude to risk can be defined by a utility function….
–For a risk taker Δu/u > Δy/ywhen Δy > 1
–For a risk neutral investor Δu/u = Δy/ywhen Δy >1
–For a risk averse investor Δu/u < Δy/ywhen Δy >1
Summary
•Risk management involves identification, analysis, response planning and monitoring
•Risk identification involves investigation of probability and potential impact
•Risk analysis can be quantified using Monte Carlo simulation but…..
•…ultimately decisions taken depend on attitudes to risk and….
•…risk avoidance has an opportunity cost