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1、Chap8RiskAnalysis,RealOptions,andCapitalBudgetingYixiaWangCM,HUSTMar.20102011/2/16FN1KeyConceptsandSkillslUnderstandandbeabletoapplyscenarioandsensitivityanalysislUnderstandthevariousformsofbreak-evenanalysislUnderstandMonteCarlosimulationlUnderstandtheimportanceofrealoptionsincapitalbudgetingl
2、Understanddecisiontrees2011/2/16FN1ChapterOutlinelSensitivityAnalysis,ScenarioAnalysis,andBreak-EvenAnalysislMonteCarloSimulationlRealOptionslDecisionTrees2011/2/16FN1Sensitivity,Scenario,andBreak-EvenlEachallowsustolookbehindtheNPVnumbertoseehowstableourestimatesare.lWhenworkingwithspreadsheet
3、s,trytobuildyourmodelsothatyoucanadjustvariablesinasinglecellandhavetheNPVcalculationsupdateaccordingly.2011/2/16FN1Example:StewartPharmaceuticalslStewartPharmaceuticalsCorporationisconsideringinvestinginthedevelopmentofadrugthatcuresthecommoncold.lAcorporateplanninggroup,includingrepresentativ
4、esfromproduction,marketing,andengineering,hasrecommendedthatthefirmgoaheadwiththetestanddevelopmentphase.lThispreliminaryphasewilllastoneyearandcost$1billion.Furthermore,thegroupbelievesthatthereisa60%chancethattestswillprovesuccessful.lIftheinitialtestsaresuccessful,StewartPharmaceuticalscango
5、aheadwithfull-scaleproduction.Thisinvestmentphasewillcost$1.6billion.Productionwilloccuroverthefollowing4years.2011/2/16FN1NPVFollowingSuccessfulTestInvestmentYear1Years2-5NotethattheNPViscalculatedasofdate1,thedateatwhichRevenues$7,000theinvestmentof$1,600millionismade.LaterweVariableCosts(3,0
6、00)bringthisnumberbacktodate0.AssumeacostofcapitalofFixedCosts(1,800)10%.Depreciation(400)4$,1588Pretaxprofit$1,800NPV1=-$,1600+ått=1.1(10)Tax(34%)(612)NPV1=$,3433.75NetProfit$1,188CashFlow-$1,600$1,5882011/2/16FN1NPVFollowingUnsuccessfulTestNotethattheNPVisInvestmentYear1Years2-5calculatedasof
7、date1,thedateatwhichtheRevenues$4,050investmentof$1,600millionismade.LaterweVariableCosts(1,735)bringthisnumberbacktodate0.AssumeacostofFixedCosts(1,800)capitalof10%.Depreciation(400)Pretaxprofit$1154$475.90Tax(34%)(39.10)NPV1=-$,
