Yatırım Projelerinin Net Bugünkü Riske Maruz Değer Göstergesi Kullanılarak Karşılaştırılması

Year 2010, Volume: 7 Issue: 2, - , 01.04.2010

Dilan Karatepe Fetih Yıldırım

Abstract

The aim of this study is to compare and choose the most appropriate project
among investment projects giving similar results in terms of the evaluation criteria such
as investment amount, NPV, IRR (Internal Rate of Return), PI (Profitability Index),
Payback Period (PP) etc., by using Net Present Value-at-Risk (NPV-at-Risk) parameter.
For that purpose, in addition to the basic project evaluation criteria, the NPV-at-Risk
values are calculated for a number of hypothetical investment projects, for which random
numbers for uncertainty factors such as amount of demand and variable costs are generated
via Monte Carlo simulation. VaR values received from yearly changes in simulated cash
flows are used to calculate NPV-at-Risk for different confidence levels. Finally, bubble
diagram is sketched to visualize and compare the projects in terms of their NPV-at-Risk
(NPV@R), size of the investments and Expected NPV (E[NPV]). 

Keywords

Value-at-Risk, Net Present Value-at-Risk, investment projects, Monte Carlo simulation

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