海域油氣田開發資本投資專案之風險評估

Abstract

傳統資本投資評估方法，著重在市場機會、行銷策略及財務經濟分析。財務經濟分析上，大部份採用淨現值(Net Present Value, NPV)或內部報酬率(Internal Rate of Return, IRR)的估計方法，來表達出未來投資預期的報酬。但是，淨現值及內部報酬率所計算出來的只是單一估計值，不是一個區間的概念。投資者不能以單一數據，研判整個投資的可能風險。 本研究藉由新興風險分析工具「風險值」的應用與測試方法，建構出系統化的風險評估方法，運用在高投資及高風險之海域油氣田開發資本投資專案上。利用現金流量表結合蒙地卡羅模擬法，在某信賴水準下，模擬計算出平均淨現值(Mean NPV)、專案風險值(Project at Risk, PaR)及淨現值大於零的機率值，並透過「風險值」輔助工具「壓力測試法」，找出投資計畫主要關鍵風險變動因子。再藉由風險管理機制，尋求降低投資計畫風險措施，以確保投資決策評估能符合所預期的目標。 結果顯示，海域油氣田開發資本投資專案經系統化風險評估程序，在95 %信賴水準(1-α)下，平均淨現值是3,582,187千元，專案風險值是-257,358千元，淨現值大於零的機率值是93.85%，整體而言是值得進行開發投資。以壓力測試法分析結果，主要關鍵風險因子為蘊藏量、氣價及投資金額。情境分析顯示最壞情況下投資報酬率為-7.12%。

Traditional capital investment project is assessed and planned on the market chance, marketing strategies and financial economic analysis. Most of them adopt the calculation of Net Present Value (NPV) or the Internal Rate of Returns (IRR) in financial economic analysis. NPV and IRR come out only single value, it is not the interval concept, so investors can't judge the whole possible risk. This research is an application of the concept of Value at Risk (VaR). It is a case study about the investment in offshore oil and gas field development that utilize the cash flow statement and combine Monte Carlo simulation with confidence level concept to calculate the average NPV. The risk value of the special project (PaR) is the value with probability that NPV which greater than zero. We use the method of stress test, to find out the key risk factors of the investment project. Following the risk management, try to reduce the risk of the investment and make sure the investment can match the goal. The result shows that a average NPV is NT$ 3,582 million and the PaR is -257 million. The probability that NPV greater than zero is 93.85% with 95 % confidence level. Stress test shows that key risk factor are oil gas field reservoir, gas sale price and investment cost. The worst situation, IRR is minus 7.12%.