標題: 以風險值分析交通建設BOT計畫之實質選擇權
VaR in Real Options Analysis for BOT Transportation Infrastructure Project
作者: 鄭雅方
Cheng,Ya-Fang
馮正民
康照宗
Feng, Cheng-Min
Kang, Chao-Chung
運輸與物流管理學系
關鍵字: BOT 投資計畫;台北港;實質選擇權;放棄選擇權;蒙地卡羅模擬法;風險值;BOT investment project;Port of TAIPEI;Real Options;Option to abandon;Monte Carlo Simulation;Value at Risk
公開日期: 2010
摘要: BOT 投資計畫的投資期間長,面臨市場變動之不確定性相當大。傳統投資計畫之評估方法未能完全捕捉在投資計畫決策上的彈性,以靜態現金流的角度為基礎來評估投資計畫,無法因應外在環境的改變 ; 相關研究證實傳統投資計畫之評估方法會低估投資計畫的價值。近年來實質選擇權相關理論興起,將選擇權的觀念應用在投資決策之分析上,提供管理者一個較具彈性的投資決策模式; 由於 BOT 投資計畫存在著許多風險,在評估計畫的同時需要進一步考慮風險值,才能提供政府與特許公司全面的思考。過去評估投資計畫文獻中,較少同時考量實質選擇權與風險值。因此,本研究加入選擇彈性與風險的概念評估投資決策,降低過去研究低估計畫價值與未捕捉風險的問題。 本研究將風險值概念導入實質選擇權,並以台北港 BOT 投資計畫為研究個案。當台北港企業聯盟因市場環境變化、營收不如預期等等因素,有意放棄經營台北港。藉由選擇權計算,求出放棄經營台北港的放棄選擇權 ; 由臨界值的計算,求出放棄經營台北港的最適決策點 ; 挑選特定參數做敏感度分析,得知參數變動對放棄選擇權的影響 ; 由情境分析結果,得知放棄選擇權價值因環境變化而產生的影響 ; 並將情境分析結果代入蒙地卡羅模擬法模擬風險值,評估不同情境,因放棄經營台北港應有最低的資本額,以應付投資計畫風險的最大可能損失。 由放棄選擇權價值結果顯示,2014 年放棄營運所獲得的價值是最大的 ; 當特許年期 T=10(2013年)時, 若營運價值低於 90 億元時,則放棄經營台北港為最適決策,為模擬結果中最高之臨界值 ; 由敏感度分析結果顯示,無風險利率、折現率與放棄選擇權呈反向關係,計畫價值變動率的標準差與放棄營運選擇權呈正向關係 ; 情境分析結果顯示,不管從選擇權、風險值角度來看,導致放棄選擇權、風險值皆有明顯效果的因素為,營收增加。如何增加營收最關鍵影響因素為貨櫃裝卸量增加。台北港企業聯盟因營收增加而降低放棄選擇權的價值,同時也降低因放棄營運台北港,可能產生的最大損失金額。兩種結果或許都能間接降低放棄營運台北港的機率。本研究之研究結果可作為未來評估 BOT 投資計畫之參考與決策應用,並且提供主管機關、特許公司一些建議。
Value at Risk concept into real option. Because of market environment changing, unexpected revenue and other factors, Port of TAIPEI enterprise alliances intend to give up running Port of TAIPEI. By calculating Real Option work out Port of TAIPEI option to abandon when enterprise alliances give up running Port of TAIPEI. Besides, by calculating threshold limit value figure out the best decision point of giving Port of TAIPEI. By selection of appropriate parameters to do sensitivity analysis reveals the influence of parameter changing. Scenario analysis, under different environments, is worked out the influence of giving real option value under changing environment. Taking scenario analysis results into Monte Carlo Simulation to simulate Value at risk. Assessing in different situations, Taipei Port should give up the minimum amount of capital investment plan to meet the greatest risk of possible loss. The result of giving up the Real Option value shows that there is maximum value of giving up running in 2014. When licence for a specific term T=10 in 2013, if the operational value is less than 9 billion, it is optimal decision-making to give up Port of TAIPEI. This is also the highest decision-making point in simulation result. Sensitivity analysis shows that risk-free interest rate, rate of returnst and option to abandon are negative. However, planned value mobility rate and running option to abandon are positive. Scenario analysis result indicates that the increase of container handling capacity led to the low effect of option to abandon value and Value at risk no matter obviously from Real Option and Value at Risk. The enterprise alliances of Port of TAIPEI reduce the probability of giving up Port of TAIPEI not only because the increase of Revenue and container handling capacity reduces option to abandon values but also the lower of capital of maximum amount of giving up running. The research result can assess the BOT investment project for future researches and decision-making applications. It also provides some suggestion for directors, organizations and franchisees.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079836506
http://hdl.handle.net/11536/47977
Appears in Collections:Thesis