Chng 8: Ri ro v

bt nh trong phn
tch d n
Nguyn Hi Ngn H
nhnha@sim.hcmut.edu.vn

B mn Ti Chnh Khoa Qun l Cng nghip

i hc Bch Khoa - TPHCM

Ni dung

1. Tng quan ri ro v bt nh
2. Phn tch nhy (sensitivity analysis)
3. Phn tch ri ro (risk analysis)
4. M phng theo Monte Carlo

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Cn phn bit mt s khi nim
Chc chn (tt nh, certainty) khi ta bit
kh nng chc chn xut hin ca cc trng thi.
Ri ro (risk): khi ta bit c xc sut xut hin
ca cc trng thi.
Khng chc chn (bt nh, uncertainty): khi
chng ta khng bit c xc sut xut hin ca
cc trng thi hoc khng bit c cc d liu
lin quan n vn cn gii quyt

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Xc sut khch quan: thng qua php th khch
quan v suy ra xc sut => trong kinh t , khng
c c hi th .
Xc sut ch quan: Khi khng c thng tin y
, ngi ra quyt nh t gn xc sut mt cch
ch quan i vi kh nng xut hin ca trng
thi.
=> Ta khng cn thit phi phn bit ri ro v bt
nh v ta c th gn xc sut ch quan vo phn
tch bt nh tr thnh phn tch ri ro.
4

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Nhng ri ro c th c trong khi thc hin d n:
Trong qu trnh chun b / xy dng d n
Chi ph xy dng vt d kin
Thi gian xy dng vt d kin
Ngun kinh ph thiu ht, khng p ng kp
Trong qu trnh vn hnh / trin khai
Thin tai
Ngun cung ng nguyn vt liu thiu ht
Ngun kinh ph thiu ht
Th trng bin ng mnh, khng hong
Thiu ht ngun nhn lc ch cht
5

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Ri ro xy ra c th nh hng n:
gi tr dng tin t CF vo v ra ca d n
sut chit khu (i%)
Lm thay i cc kt qu thm nh
(PW, IRR, B/C )

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Cc phng thc hn ch ri ro v bt nh:
Tng cng tin cy ca thng tin u vo
Thc hin cc phn tch da trn cc m
hnh ton lm c s ra quyt nh
Nhm m hnh m t (descriptive model)
Nhm m hnh c tiu chun hay c nh
hng (normative or prescriptive model)

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Nhm m hnh m t - descriptive model:
m t cc nh tnh ca phng n u t v
xem xt nhng kh nng bin i c th c ca
chng (t MH ny, ta cha c kt lun cui
cng m ch c thng tin lin quan lm c s
cho vic ra quyt nh.
+ V d: xc nh gi tr hin ti PW ca mt
phng n

Bi ging Lp v phn tch d n

1. Tng quan ri ro v bt nh
Nhm m hnh c tiu chun hay c nh
hng- normative/prescriptive model: c
cha hm mc tiu cn phi t cc tr (t MH
ny, ta c c kt lun cui cng)

+ V d: t mc tiu t gi tr PW cc i

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Mc ch:
- Xem xt li tnh kh thi ca d n trong trng
hp mt s yu t quan trng nh hng ln n
kt qu thm nh thay i.
V d:
+ MARR thay i trong bin 5% th PW
thay i nh th no?
+ Doanh thu hng nm thay i trong bin
15% th PW thay i nh th no ?
10

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

+ V d: nh hng ca sut chit khu MARR n PW
(hoc NPV)

M hnh phn tch nhy thuc loi m hnh m t

11

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

+ Tuy nhin, nhc im ca phn tch nhy:

Ch xem xt tc ng ca tng tham s ring l
(trong khi kt qu thm nh 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
=> Phn tch ri ro (risk analysis) s khc phc
nhc im ny
12

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

C th phn tch nhy trn excel: DATA TABLE

Chn tham
s cn thay i

PW
IRR
13

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Phn tch nhy ca cc phng n so snh:

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
thm s thay i ny

14

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Phn tch nhy ca cc phng n so snh:
C 2 phng n A v B , nhy ca PW theo tui
th N ca 2 phng n nh sau:

A tt hn B khi N >10 nm
B tt hn A khi 7<N<10 nm
A&B u khng ng gi khi N<7 nm
15

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Phn tch nhy theo nhiu tham s scenario analysis:

Mc ch: so snh trng hp c s vi

mt hay nhiu trng hp khc (tt nht, t
nht) xc nh cc kt qu thm nh khc
nhau ca d n.

16

Bi ging Lp v phn tch d n

2. Phn tch nhy Sensitivity analysis

Phn tch nhy theo nhiu tham s scenario analysis:
Tham s c th
thay i gi tr

TH t nht

TH c s

TH tt nht

1,600

2,000

2,400

Gi bn ($)

48

50

53

CP bin i($)

17

15

12

CP c nh ($)

11,000

10,000

8,000

Gi tr cn li ($)

30,000

40,000

50,000

PW (15%)

-$5,856

$40,169

$104,295

S lng sp

17

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

nh ngha:

L phn tch m t cc nh hng i vi o

hiu qu kinh t ca cc phng n u t trong
iu kin c ri ro.

18

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

M hnh tng qut ca bi ton phn tch ri ro
A1
A2
Ai
Xc sut ca cc trng thi Pi

S1
R11
R21
Ri1
P1

S2
R12
R22
Ri2
P2

Sj
R1j
R2j
Rij
Pj

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

Rij: Chn phng n Ai v kt qu 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)

19

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Gi tr k vng (expected value): ca d n Ai
n

E ( Ai )

( Rij * Pj )
j 1

lch chun (standard deviation): o mc ri ro ca

D/A, cho bit kt qu lch xa gi tr k vng E(Ai) bao nhiu
n

( Rij E ( Ai )) 2 * Pj

( Ai )
j 1

H s bin thin Cv (coefficient of variation): o ri ro

tng i gia cc D/A, D/A no c Cv cng ln th mc
ri ro cng cao
( Ai )
CV
E ( Ai )
20

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Trng thi Si S1

Phng n Ai
A1
A2

S2

Sj

Sn

R11

R12

R1j

R1n

R21

R22

R2j

R2n

Ai
Am

Ri1

Ri2

Rij

Rin

Rm1

Rm2

Rmj

Rmn

Xc sut ca cc trng thi Pi

P1

P2

Pj

Pn

E ( A1 ) = R11 * P1 + R12 * P2 + ..+ R1j * Pj + R1n * Pn

( A1 ) =

(R11- E(A1))2*P1 + (R12- E(A1))2*P2 +...+(R1n- E(A1))2*Pn

Cv

( A1 )
E ( A1 )
Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Tnh xc sut theo phn phi chun normal distribution

tun theo
n
ng:
1
e
2

f ( x)

s trung

(x
2

nh

)2
2

u nhin X

E( X )
2

phng sai

n
2

Var ( X )

ch

u nhin X

u nhin X
Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Tnh xc sut theo phn phi chun normal distribution
K

u:

n)

X ~ N( , )
Z ~ N (0,1)

a)

P(a<X<b) = S

1
2

(x
2

)2
2

dx

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Tnh xc sut theo phn phi chun normal distribution
t Z

X ~ N( , )

P(a X b) P(a
P(

Z ~ N (0,1)

b)
Z

)
f(z)

S
0

zo

C 3 loi bng tra

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Tnh xc sut theo phn phi chun normal distribution
: m c
t phng n u t
thu li (RR) sau thu m trong
ng:
a) 4% n 5%
b) 5% n 6%
Bit

sut

E ( A1) = 4%
( A1) =2.12%

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Tnh xc sut theo phn phi chun normal distribution
a).P(4%

RR

5% 4%
5%) F
2.12 %

4% 4%
F
2.12 %

F (0.47) F (0) 18.08% 0 =18.08%

6% 4%
5% 4%
b).P(5% RR 6%) F
F
2.12 %
2.12 %
F 0.94 F 0.47
32.64% 18.08% = 14.56%

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
+

n:
N

(1 i) j Aj

PW
j 0

n:
N

(1 i) j E ( Aj )

E ( PW )
j 0

n:
N

Var( PW )

(1 i) 2 j Var( Aj )

( PW )
j 0

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
+

n:

i ro

n.

(1 i ) 2 j Var( Aj )

( PW )
j 0

n trung tm(Central Limit Theorem):

E(PW)

(N

phng sai Var(PW) , hay:

PW ~ N E PW ,

PW

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
:
i:

P = 2000 tr
A = 1000 tr -

n)
n).

N = 3 nm
MARR = 10% = i%
SV = 0
u

ng nm l 200tr

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
J

- 2 000

1 000

3
1 000

SV

1 000

0
- 2 000

1 000

1 000

1 000

200*200 = 40 000 200*200 = 40 000 200*200 = 40 000

N

E ( PW )

Aj (1 i)
j 0
3

2000

A0

Aj 1 0.1

j 1

1000(1 10%)

2000 1000( P / A,10%,3)

j 1

2000 1000* 2.4869 = 486.9 tr

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
N

Var( PW )

PW

1 i

2j

Var Aj

j 0

Var( A0 )

1 2i i

Var Aj 0
j 1

j1

40 000( P / A,21%,3)

40000 / 1 21%

= 82 957.

Var ( PW ) 40000 /1.1^ 2 40000 /1.1^ 4 40000 /1.1^ 6

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
PW

E PW

Var(PW )

82957 = 288 tr

= 487 tr
n:

PW ~ N ( 487 ,288 2 )
m:

P ( PW

0)

P Z

P(Z

487
288
1.69)

F ( 1.69)

= 4.55%

ng)

Bi ging Lp v phn tch d n

3. Phn tch ri ro risk analysis

Phn tch ri ro trong dng tin CF
i ro tng
i gian

N
N
0

ng cao
Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

SV ch tham kho thm, khng thi phn m
phng Monte Carlo
nh ngha:
M phng Monte Carlo l mt phng php
phn tch m t cc hin tng cha yu t
ngu nhin (ri ro trong d n) nhm tm ra
li gii gn ng
c s dng trong phn tch ri ro khi vic
tnh ton bng gii tch qu phc tp

Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

Th tc:
Thc cht l ly 1 cch ngu nhin cc gi tr c
th c ca cc bin ngu nhin u vo v tnh ra
kt qu thc nghim ca i lng cn phn tch
Qu trnh lp li nhiu ln c mt tp ln
cc kt qu th nghim
Tnh ton thng k tp hp cc kt qu c
cc c trng thng k ca kt qu cn phn tch

Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

Mt d n u t c dng tin t nm v tui th

l nhng bin ngu nhin c phn phi xc sut
Thu nhp
rng hng
nm u A
(tr. )
2000
3000
4000

Xc sut
P(A)

0.20
0.50
0.30

Tui th d n N Xc sut P(N)

(nm)
1
0.10
2
0.15
3
0.20
4
0.25
5
0.15
6
0.10
7
0.05
Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

Yu cu: Xc nh gi tr k vng v phng sai ca
PW, kh nng u t vo d n l c li P(PW > 0)
Bc 1:
Tm cch pht ra mt cch ngu nhin cc gi tr ca 2
bin ngu nhin A & N sao cho chng tha mn phn
phi xc sut nh bi
Mun vy, ta dng trung gian 2 bin ngu nhin, c
phn phi u t 0 n 1

Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

F

100%
70%

Phn phi tch ly

ca bin ngu nhin
phn b u a

20%
1

2000

Phn phi
tch ly ca
bin ngu
nhin A

3000 4000

F 100%

Phn phi
tch ly ca
bin ngu
nhin N

80%

Phn phi tch ly ca

bin ngu nhin phn
b u b

60%
40%
20%

Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

Mi ln pht ra 2 s ngu nhin v phn phi u, da
vo 2 th trn ta suy ra c Ai v Ni tng ng

Bc 2: Tnh gi tr ca PWi theo 2 gi tr Ai v

Ni va chn bc 1
Bc 3: Lp li bc 1 & 2 m ln, vi m kh ln,
ta s c m gi tr PWi, i = 1,2,3,,m
Bc 4: Tnh E[PW], V[PW] t tp hp PWi c
c bc 3
T tnh c xc sut P[PW > 0]

Bi ging Lp v phn tch d n

4. M phng theo Monte Carlo

Xc nh vn
Chn cc bin s quan trng
Xy dng m hnh m phng
Xc nh gi tr ca cc bin
Thc hin m phng
Phn tch kt qu
Chn gii php tt nht
Bi ging Lp v phn tch d n