1.... 7?... 7... 8... 9 2011/2012 Risk Simulator... 12 2.... 18?... 18... 19... 19... 19 1.... 20 2.... 22 3.... 24... 25... 25... 32... 33... 34... 38... 38... 40... 41 3.... 42... 42... 44... 45... 49... 53 User Manual (Risk Simulator Software) 3 2005-2012 Real Options Valuation, Inc.
... 55 Box-Jenkins ARIMA... 58 Auto ARIMA (Box-Jenkins ARIMA )... 63... 64 J-S... 65 GARCH... 66 (Markov Chains)... 69 (MLE: Logit, Tobit, Probit)... 70 Spline (Cubic Spline Interpolation and Extrapolation/)... 72 4.... 74... 74... 76... 82 5.... 87... 87... 94 :... 97 Boot Strap... 102... 105... 107... 108... 110... 119... 123 Risk Simulator 2011/2012... 128,... 128 Deseasonalize Detrend... 129... 131... 132 User Manual (Risk Simulator Software) 4 2005-2012 Real Options Valuation, Inc.
Trendline... 134... 135... 136 :... 137 ROV BizStats... 142... 147 Goal Seek (Optimizer Goal Seek)... 152 (Single Variable Optimizer / )... 153 (Genetic Algorithm Optimization)... 154 ROV... 157 Decision Tree... 157 Simulation Modeling... 159 Bayes Analysis... 160 Expected Value of Perfect Information, MINIMAX and MAXIMIN Analysis, Risk Profiles, and Value of Imperfect Information,,,... 160 Sensitivity... 161 Scenario Tables... 161 Utility Function Generation... 161... 170 : ( )... 170 : /... 170 :... 171 :... 171 :,... 172 :... 172 :... 172 :... 173 :... 173 : : ARIMA... 173 User Manual (Risk Simulator Software) 5 2005-2012 Real Options Valuation, Inc.
: : Basic Econometrics... 173 : : Logit, Probit, and Tobit... 174 : : Stochastic Processes... 174 : : Trendlines... 174 :... 174 :... 175 : ID... 175 : (LHS) (MCS)... 175 :... 175 :... 176 :... 176 :... 177 :... 177 :... 177 : (SDK) DLL... 178 : Risk Simulator... 178 :... 178 : Tornado Analysis... 178 : Troubleshooter... 179 User Manual (Risk Simulator Software) 6 2005-2012 Real Options Valuation, Inc.
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Risk Simulator 1. 11,,,,. 2. ROV.. o o o o o ( ) o o MINIMAX o MAXIMIN o 3. 10,, 4. 5. Risk Simulator 24 300 6. 7. 8. Risk Simulator 9. Window 7, Vista, XP ; 2010, 2007, 2003 ; virtual machine MAC OS 10. User Manual (Risk Simulator Software) 12 2005-2012 Real Options Valuation, Inc.
11. Risk Simulator 12. 13. 14. 2007/2010. (1280 x 760 ). 15. Risk Simulator 16. ROV Real Options SLS, Modeling Toolkit, Basel Toolkit, ROV Compiler, ROV Extractor and Evaluator, ROV Modeler, ROV Valuator, ROV Optimizer, ROV Dashboard, ESO Valuation Toolkit ROV 17. RS RS. 18. 19. 20. Simulation Module 21. 6 ROV Advanced Subtractive Generator, Subtractive Random Shuffle Generator, Long Period Shuffle Generator, Portable Random Shuffle Generator, Quick IEEE Hex Generator, Basic Minimal Portable Generator 22. 2 Monte Carlo Latin Hypercube. 23. 3 Correlation Copulas Normal Copula, T Copula, and Quasi-Normal Copula. 24. 42 Arcsine, Bernoulli, Beta, Beta 3, Beta 4, Binomial, Cauchy, Chi-Square, Cosine, Custom, Discrete Uniform, Double Log, Erlang, Exponential, Exponential 2, F Distribution, Gamma, Geometric, Gumbel Max, Gumbel Min, Hypergeometric, Laplace, Logistic, Lognormal (Arithmetic) and Lognormal (Log), User Manual (Risk Simulator Software) 13 2005-2012 Real Options Valuation, Inc.
Lognormal 3 (Arithmetic) and Lognormal 3 (Log), Negative Binomial, Normal, Parabolic, Pareto, Pascal, Pearson V, Pearson VI, PERT, Poisson, Power, Power 3, Rayleigh, T and T2, Triangular, Uniform, Weibull, Weibull 3. 25.. 27. 28. 29. 30. 31. 100,000 33. ARIMA ARIMA. 34. (linear, nonlinear, interacting, lag, leads, rate, difference). 35. / 36. 37. GARCH volatility projection: GARCH, GARCH-M, TGARCH, TGARCH-M, EGARCH, EGARCH-T, GJR- GARCH, GJR-TGARCH 38. J- 39. Logit, Probit, Tobit 40. 41. (forward, backward, correlation, forward-backward). 42. 43. S S 44. 8 45. Trendlines linear, nonlinear polynomial, power, logarithmic, exponential, moving average. 46. (,,, ) 47. User Manual (Risk Simulator Software) 14 2005-2012 Real Options Valuation, Inc.
48. 49. Hessian matrices, LaGrange function 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. Check Model 60. Correlation Editor 61. Create Report 62. Create Statistics Report 63. Data Diagnostics heteroskedasticity, micronumerosity, outliers, nonlinearity, autocorrelation, normality, sphericity, nonstationarity, multicollinearity, correlations 64. Data Extraction and Export Risk Sim 65. Data Open and Import 66. Deseasonalization and Detrending deasonalize detrend 67. Distributional Analysis 42 PDF, CDF, ICDF 68. Distributional Designer User Manual (Risk Simulator Software) 15 2005-2012 Real Options Valuation, Inc.
69. Distributional Fitting (Multiple) 70. Distributional Fitting (Single) Kolmogorov-Smirnov Chi- Square, 71. Hypothesis Testing 72. Nonparametric Bootstrap 73. Overlay Charts (CDF, PDF, 2D/3D). 74. Principal Component Analysis 75. Scenario Analysis 76. Seasonality Test 77. Segmentation Clustering 78. Sensitivity Analysis 79. Structural Break Test 80. Tornado Analysis spider tornado BizStats 81. Percentile Distributional Fitting 82. Probability Distributions Charts and Tables 45, moment, CDF, ICDF, PDF,,. 83. Statistical Analysis 84. ROV BIZSTATS 130 : Absolute Values, ANOVA: Randomized Blocks Multiple Treatments, ANOVA: Single Factor Multiple Treatments, ANOVA: Two Way Analysis, ARIMA, Auto ARIMA, Autocorrelation and Partial Autocorrelation, Autoeconometrics (Detailed), Autoeconometrics (Quick), Average, Combinatorial Fuzzy Logic Forecasting, Control Chart: C, Control Chart: NP, Control Chart: P, Control Chart: R, Control Chart: U, Control Chart: X, Control Chart: XMR, Correlation, Correlation (Linear, Nonlinear), Count, Covariance, Cubic Spline, Custom Econometric Model, Data Descriptive Statistics, Deseasonalize, Difference, Distributional Fitting, Exponential J User Manual (Risk Simulator Software) 16 2005-2012 Real Options Valuation, Inc.
Curve, GARCH, Heteroskedasticity, Lag, Lead, Limited Dependent Variables (Logit), Limited Dependent Variables (Probit), Limited Dependent Variables (Tobit), Linear Interpolation, Linear Regression, LN, Log, Logistic S Curve, Markov Chain, Max, Median, Min, Mode, Neural Network, Nonlinear Regression, Nonparametric: Chi-Square Goodness of Fit, Nonparametric: Chi-Square Independence, Nonparametric: Chi-Square Population Variance, Nonparametric: Friedman s Test, Nonparametric: Kruskal-Wallis Test, Nonparametric: Lilliefors Test, Nonparametric: Runs Test, Nonparametric: Wilcoxon Signed-Rank (One Var), Nonparametric: Wilcoxon Signed-Rank (Two Var), Parametric: One Variable (T) Mean, Parametric: One Variable (Z) Mean, Parametric: One Variable (Z) Proportion, Parametric: Two Variable (F) Variances, Parametric: Two Variable (T) Dependent Means, Parametric: Two Variable (T) Independent Equal Variance, Parametric: Two Variable (T) Independent Unequal Variance, Parametric: Two Variable (Z) Independent Means, Parametric: Two Variable (Z) Independent Proportions, Power, Principal Component Analysis, Rank Ascending, Rank Descending, Relative LN Returns, Relative Returns, Seasonality, Segmentation Clustering, Semi-Standard Deviation (Lower), Semi-Standard Deviation (Upper), Standard 2D Area, Standard 2D Bar, Standard 2D Line, Standard 2D Point, Standard 2D Scatter, Standard 3D Area, Standard 3D Bar, Standard 3D Line, Standard 3D Point, Standard 3D Scatter, Standard Deviation (Population), Standard Deviation (Sample), Stepwise Regression (Backward), Stepwise Regression (Correlation), Stepwise Regression (Forward), Stepwise Regression (Forward-Backward), Stochastic Processes (Exponential Brownian Motion), Stochastic Processes (Geometric Brownian Motion), Stochastic Processes (Jump Diffusion), Stochastic Processes (Mean Reversion with Jump Diffusion), Stochastic Processes (Mean Reversion), Structural Break, Sum, Time-Series Analysis (Auto), Time-Series Analysis (Double Exponential Smoothing), Time-Series Analysis (Double Moving Average), Time-Series Analysis (Holt-Winter s Additive), Time-Series Analysis (Holt-Winter s Multiplicative), Time-Series Analysis (Seasonal Additive), Time-Series Analysis (Seasonal Multiplicative), Time-Series Analysis (Single Exponential Smoothing), Time-Series Analysis (Single Moving Average), Trend Line (Difference Detrended), Trend Line (Exponential Detrended), Trend Line (Exponential), Trend Line (Linear Detrended), Trend Line (Linear), Trend Line (Logarithmic Detrended), Trend Line (Logarithmic), Trend Line (Moving Average Detrended), Trend Line (Moving Average), Trend Line (Polynomial Detrended), Trend Line (Polynomial), Trend Line (Power Detrended), Trend Line (Power), Trend Line (Rate Detrended), Trend Line (Static Mean Detrended), Trend Line (Static Median Detrended), Variance (Population), Variance (Sample), Volatility: EGARCH, Volatility: EGARCH-T, Volatility: GARCH, Volatility: GARCH-M, Volatility: GJR GARCH, Volatility: GJR TGARCH, Volatility: Log Returns Approach, Volatility: TGARCH, Volatility: TGARCH-M, Yield Curve (Bliss), and Yield Curve (Nelson-Siegel). User Manual (Risk Simulator Software) 17 2005-2012 Real Options Valuation, Inc.
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1. User Manual (Risk Simulator Software) 20 2005-2012 Real Options Valuation, Inc. ( 1,000 ) ( ) ( )
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r x, y n x 2 i n xi yi xi yi 2 2 x i nyi y i 2 User Manual (Risk Simulator Software) 32 2005-2012 Real Options Valuation, Inc.
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s s x Z Z n n x User Manual (Risk Simulator Software) 36 2005-2012 Real Options Valuation, Inc.
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1 1 = 2 2 Skew = 0 KurtosisXS = 0 1 1 2 2 User Manual (Risk Simulator Software) 38 2005-2012 Real Options Valuation, Inc.
2 1 Skew = 0 KurtosisXS = 0 Stock prices 1 = 2 Time User Manual (Risk Simulator Software) 39 2005-2012 Real Options Valuation, Inc.
1 = 2 Skew < 0 KurtosisXS = 0 1 2 1 2 1 = 2 Skew > 0 KurtosisXS = 0 1 2 1 2 User Manual (Risk Simulator Software) 40 2005-2012 Real Options Valuation, Inc.
1 = 2 Skew = 0 Kurtosis > 0 1 = 2 Figure 2.24 4 User Manual (Risk Simulator Software) 41 2005-2012 Real Options Valuation, Inc.
FORECASTING QUANTITATIVE QUALITATIVE Delphi Method Expert Opinions Management Assumptions Market Research Polling Data Surveys CROSS-SECTIONAL Econometric Models Monte Carlo Simulation Multiple Regression Statistical Probabilities Use Risk Simulator s Forecast Tool for ARIMA, Classical Decomposition, Multivariate Regressions, Nonlinear Regressions, Simulations and Stochastic Processes MIXED PANEL ARIMA(X) Multiple Regression Use Risk Simulator to run Monte Carlo Simulations (use distributional fitting or nonparametric custom distributions) TIME-SERIES ARIMA Classical Decomposition (8 Time-Series Models) Multivariate Regression Nonlinear Extrapolation Stochastic Processes User Manual (Risk Simulator Software) 42 2005-2012 Real Options Valuation, Inc.
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No Seasonality With Seasonality No Trend Single Moving Average Single Exponential Smoothing Seasonal Additive Seasonal Multiplicative With Trend Double Moving Average Double Exponential Smoothing Holt-Winter's Additive Holt-Winter's Multiplicative User Manual (Risk Simulator Software) 45 2005-2012 Real Options Valuation, Inc.
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1 684.20 RMSE 71.8132 2 584.10 MSE 5157.1348 3 765.40 MAD 53.4071 4 892.30 MAPE 4.50% 5 885.40 684.20 Theil's U 0.3054 6 677.00 667.55 7 1006.60 935.45 8 1122.10 1198.09 9 1163.40 1112.48 10 993.20 887.95 11 1312.50 1348.38 12 1545.30 1546.53 13 1596.20 1572.44 14 1260.40 1299.20 15 1735.20 1704.77 16 2029.70 1976.23 17 2107.80 2026.01 18 1650.30 1637.28 19 2304.40 2245.93 20 2639.40 2643.09 21 2713.69 22 2114.79 23 2900.42 24 3293.81 25 3346.55 26 2580.81 27 3506.19 28 3947.61 User Manual (Risk Simulator Software) 48 2005-2012 Real Options Valuation, Inc.
Y 1 0 X 0 1 1 2 2 3 3 n n Y Y Y 1 Y 2 X X Yˆ User Manual (Risk Simulator Software) 49 2005-2012 Real Options Valuation, Inc.
Min n i1 2 ( Y i Yˆ i ) n n d ˆ 2 d ( Yi Yi ) 0 and ( Yi d 0 i1 d1 i1 1 n i1 Y X 0 ( Xi X)( Yi Y) n 2 ( X X) i1 1 i n i1 n i1 XY i i X 2 i Yˆ ) n i1 n i1 X n i n X i n 2 0 Y i i i1 Yi 1 2 X 2, i 3 X 3, i i ˆ 2 2 2 X X X X 2 2 2 X X X X 2 i 2, i 3, i i 3, i 2, i 3, i 2 2 2, i 3, i 2, i 3, i ˆ YX X YX X X YX X YX X X i 3, i 2, i i 2, i 2, i 3, i 3 2 2, i 3, i 2, i 3, i User Manual (Risk Simulator Software) 50 2005-2012 Real Options Valuation, Inc.
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X1 X2 X3 X4 X5 57.9555-0.0035 0.4644 25.2377-0.0086 16.5579 108.7901 0.0035 0.2535 14.1172 0.1016 14.7996 0.5327-1.0066 1.8316 1.7877-0.0843 1.1188 0.5969 0.3197 0.0738 0.0807 0.9332 0.2693-161.2966-0.0106-0.0466-3.2137-0.2132-13.2687 277.2076 0.0036 0.9753 53.6891 0.1961 46.3845 5 2.6923 44 2.0154 49 1.6802 479388.49 95877.70 4.28 0.0029 3.4651 985675.19 22401.71 2.4270 1465063.68 1.9828 1 521.0000 299.5124 221.4876 2 367.0000 487.1243 (120.1243) 3 443.0000 353.2789 89.7211 4 365.0000 276.3296 88.6704 5 614.0000 776.1336 (162.1336) 6 385.0000 298.9993 86.0007 7 286.0000 354.8718 (68.8718) 8 397.0000 312.6155 84.3845 9 764.0000 529.7550 234.2450 10 427.0000 347.7034 79.2966 11 153.0000 266.2526 (113.2526) 12 231.0000 264.6375 (33.6375) 13 524.0000 406.8009 117.1991 14 328.0000 272.2226 55.7774 15 240.0000 231.7882 8.2118 16 286.0000 257.8862 28.1138 17 285.0000 314.9521 (29.9521) 18 569.0000 335.3140 233.6860 19 96.0000 282.0356 (186.0356) 20 498.0000 370.2062 127.7938 21 481.0000 340.8742 140.1258 22 468.0000 427.5118 40.4882 23 177.0000 274.5298 (97.5298) 24 198.0000 294.7795 (96.7795) 25 458.0000 295.2180 162.7820 User Manual (Risk Simulator Software) 52 2005-2012 Real Options Valuation, Inc.
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2.2000 147.25 64.37 2.3000 148.94 66.29 2.4000 155.70 63.55 2.5000 161.40 69.63 2.6000 160.09 77.60 2.7000 160.15 86.07 2.8000 165.12 91.88 2.9000 168.74 90.26 3.0000 168.51 88.33 3.1000 169.32 94.09 3.2000 163.58 83.79 3.3000 164.58 83.98 3.4000 160.79 82.77 3.5000 159.54 79.04 3.6000 163.65 77.48 3.7000 168.71 80.83 3.8000 162.08 72.23 3.9000 167.63 80.24 4.0000 175.06 89.73 4.1000 176.60 88.29 4.2000 179.45 90.60 4.3000 184.48 93.98 4.4000 192.44 113.42 4.5000 186.57 105.44 4.6000 187.05 97.21 4.7000 182.00 92.29 4.8000 178.86 90.56 4.9000 189.86 103.06 5.0000 188.75 98.06 5.1000 197.36 110.74 5.2000 187.60 100.78 5.3000 190.95 107.31 User Manual (Risk Simulator Software) 55 2005-2012 Real Options Valuation, Inc.
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AR(1) MA(1) -0.0626 1.0055 0.4936 0.3108 0.0006 0.0420-0.2013 1691.1373 11.7633 0.8406 0.0000 0.0000 0.4498 1.0065 0.5628-0.5749 1.0046 0.4244 2 2.5873 432 1.9655 434 1.6484 38415447.53 19207723.76 3171851.1 0.0000 4.6546 2616.05 6.06 3.0166 38418063.58 2.3149 User Manual (Risk Simulator Software) 61 2005-2012 Real Options Valuation, Inc.
1 0.9921 0.9921 (0.0958) 0.0958 431.1216-2 0.9841 (0.0105) (0.0958) 0.0958 856.3037-3 0.9760 (0.0109) (0.0958) 0.0958 1,275.4818-4 0.9678 (0.0142) (0.0958) 0.0958 1,688.5499-5 0.9594 (0.0098) (0.0958) 0.0958 2,095.4625-6 0.9509 (0.0113) (0.0958) 0.0958 2,496.1572-7 0.9423 (0.0124) (0.0958) 0.0958 2,890.5594-8 0.9336 (0.0147) (0.0958) 0.0958 3,278.5669-9 0.9247 (0.0121) (0.0958) 0.0958 3,660.1152-10 0.9156 (0.0139) (0.0958) 0.0958 4,035.1192-11 0.9066 (0.0049) (0.0958) 0.0958 4,403.6117-12 0.8975 (0.0068) (0.0958) 0.0958 4,765.6032-13 0.8883 (0.0097) (0.0958) 0.0958 5,121.0697-14 0.8791 (0.0087) (0.0958) 0.0958 5,470.0032-15 0.8698 (0.0064) (0.0958) 0.0958 5,812.4256-16 0.8605 (0.0056) (0.0958) 0.0958 6,148.3694-17 0.8512 (0.0062) (0.0958) 0.0958 6,477.8620-18 0.8419 (0.0038) (0.0958) 0.0958 6,800.9622-19 0.8326 (0.0003) (0.0958) 0.0958 7,117.7709-20 0.8235 0.0002 (0.0958) 0.0958 7,428.3952-2 139.4000 139.6056 (0.2056) 3 139.7000 140.0069 (0.3069) 4 139.7000 140.2586 (0.5586) 5 140.7000 140.1343 0.5657 6 141.2000 141.6948 (0.4948) 7 141.7000 141.6741 0.0259 8 141.9000 142.4339 (0.5339) 9 141.0000 142.3587 (1.3587) 10 140.5000 141.0466 (0.5466) 11 140.4000 140.9447 (0.5447) 12 140.0000 140.8451 (0.8451) 13 140.0000 140.2946 (0.2946) 14 139.9000 140.5663 (0.6663) 15 139.8000 140.2823 (0.4823) 16 139.6000 140.2726 (0.6726) 17 139.6000 139.9775 (0.3775) 18 139.6000 140.1232 (0.5231) 19 140.2000 140.0513 0.1487 20 141.3000 140.9862 0.3138 21 141.2000 142.1738 (0.9738) 22 140.9000 141.4377 (0.5377) 23 140.9000 141.3513 (0.4513) 24 140.7000 141.3939 (0.6939) 25 141.1000 141.0731 0.0270 26 141.6000 141.8311 (0.2311) 27 141.9000 142.2065 (0.3065) 28 142.1000 142.4709 (0.3709) 29 142.7000 142.6402 0.0598 30 142.9000 143.4561 (0.5561) 31 142.9000 143.3532 (0.4532) 32 143.5000 143.4040 0.0960 33 143.8000 144.2784 (0.4784) 34 144.1000 144.2966 (0.1966) 35 144.8000 144.7374 0.0626 36 145.2000 145.5692 (0.3692) 37 145.2000 145.7582 (0.5582) 38 145.7000 145.6649 0.0351 39 146.0000 146.4605 (0.4605) 40 146.4000 146.5176 (0.1176) 41 146.8000 147.0891 (0.2891) 42 146.6000 147.4066 (0.8066) 43 146.5000 146.9501 (0.4501) 44 146.6000 147.0255 (0.4255) 45 146.3000 147.1382 (0.8382) 46 146.7000 146.6328 0.0672 47 147.3000 147.4819 (0.1819) User Manual (Risk Simulator Software) 62 2005-2012 Real Options Valuation, Inc.
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z t ~ Normal GARCH-M 2 yt c t t t tzt GARCH-M yt ct t t tzt GARCH-M 2 y c ln( ) t tzt 2 2 2 t t 1 t1 2 2 2 t t 1 t1 t t t 2 2 2 t t1 t1 z t ~ T 2 yt c t t t tzt yt ct t t tzt 2 y c ln( ) t tzt 2 2 2 t t 1 t1 2 2 2 t t 1 t1 t t t 2 2 2 t t1 t1 User Manual (Risk Simulator Software) 67 2005-2012 Real Options Valuation, Inc.
GARCH EGARCH y t x t t y t ln 2 t z t t t t 2 t1 2 t1 2 2 t ln t 1 E( ) r t1 t1 t t1 t 1 2 E( t ) y t z t t t t y ln 2 2 2 t t1 t1 t z t t t t 2 2 t ln t 1 E( ) r t1 t1 t t1 t 1 2 2 (( 1)/2) E( t ) ( 1) ( /2) GJR-GARCH y t z 2 2 t t1 2 2 t1 t1 t1 t1 t t t t r d d 1if t1 0 otherwise y t z 2 2 t t1 2 2 t1 t1 t1 t1 t t t t r d d 1if t1 0 otherwise User Manual (Risk Simulator Software) 68 2005-2012 Real Options Valuation, Inc.
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Cubic Spline Module User Manual (Risk Simulator Software) 73 2005-2012 Real Options Valuation, Inc.
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R P R A A R B B R C C R D D User Manual (Risk Simulator Software) 77 2005-2012 Real Options Valuation, Inc.
i n m 2 2 P i i 2 i j i, j i1 i1 j1 User Manual (Risk Simulator Software) 78 2005-2012 Real Options Valuation, Inc. i j
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100.61 Alpha 95.13 Beta 1.06 0.03 0.9894 100.61 100.85 10.31 10.34 0.01 0.21-0.13-2.94 73.53 78.21 78.52 79.50 79.72 79.74 81.56 82.08 82.68 82.75 83.34 83.64 84.09 84.66 85.00 85.35 85.51 86.04 86.79 86.82 86.91 87.02 87.03 87.45 87.53 87.66 88.05 88.45 88.51 89.95 90.19 90.54 90.68 90.96 91.25 91.49 91.56 91.94 92.06 92.36 92.41 92.45 92.70 92.80 92.84 93.21 93.26 93.48 93.73 93.75 93.77 93.82 94.00 94.15 94.51 94.57 94.64 94.69 94.95 95.57 95.62 95.71 95.78 95.83 95.97 96.20 96.24 96.40 96.43 96.47 96.81 96.88 97.00 97.07 97.21 97.23 97.48 97.70 97.77 97.85 98.15 98.17 98.24 98.28 98.32 98.33 98.35 98.65 99.03 99.27 99.46 99.47 99.55 99.73 99.96 100.08 100.24 100.36 100.42 100.44 100.48 100.49 100.83 101.17 101.28 101.34 101.45 101.46 101.55 101.73 101.74 101.81 102.29 102.55 102.58 102.60 102.70 103.17 103.21 103.22 103.32 103.34 103.45 103.65 103.66 103.72 103.81 103.90 103.99 104.46 104.57 104.76 105.20 105.44 105.50 105.52 105.58 105.66 105.87 105.90 105.90 106.29 106.35 106.59 107.01 107.68 107.70 107.93 108.17 108.20 108.34 108.42 108.43 108.49 108.70 109.15 109.22 109.35 109.52 109.75 110.04 110.16 110.25 110.54 111.05 111.06 111.44 111.76 111.90 111.95 112.07 112.19 112.29 112.32 112.42 112.48 112.85 112.92 113.50 113.59 113.63 113.70 114.13 114.14 114.21 114.91 114.95 115.40 115.58 115.66 116.58 116.98 117.60 118.67 119.24 119.52 124.14 124.16 124.39 132.30 User Manual (Risk Simulator Software) 101 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 102 2005-2012 Real Options Valuation, Inc.
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Statistical Summary Result 1.015722 0.309885 1.063476 0.330914 User Manual (Risk Simulator Software) 106 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 107 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 108 2005-2012 Real Options Valuation, Inc.
1000 123456 oduct A Avg Price/Unit Product B Avg Price/Unit oduct C Avg Price/Unit $C$12 $C$13 $C$14 -Infinity -Infinity -Infinity Infinity Infinity Infinity 10 12.25 15.15 1 1.225 1.515 Investment Outlay Investment Outlay A Sale Quantity ('000s) $C$36 $E$36 $C$15 -Infinity -Infinity -Infinity Infinity Infinity Infinity 450 1350 25 500 1500 75 600 1650 Net Present Value 1000 1641.3939 $G$6 1635.3731 508.6555 258730.4500 --- 0.3099 --- 3195.3757 408.4427 2786.9330 0.1414-0.5729 25% 1261.7637 75% 2016.8939 95% 0.0192 ntermediate X Variable 1000-0.3199 $C$48-0.3126 0.1576 0.0248 --- -0.4927 --- 0.0686-0.7977 0.8663-0.1735-0.5524 25% -0.4311 75% -0.2024 95% 0.0305 VAR1 VAR2 VAR3 VAR4 VAR5 VAR6 VAR7 VAR8 VAR1 1.00 VAR2 0.00 1.00 VAR3 0.00 0.00 1.00 VAR4 0.00 0.00 0.00 1.00 VAR5 0.00 0.00 0.00 0.00 1.00 VAR6 0.00 0.00 0.00 0.00 0.00 1.00 VAR7 0.00 0.00 0.00 0.00 0.00 0.00 1.00 VAR8 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.00 User Manual (Risk Simulator Software) 109 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 110 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 111 2005-2012 Real Options Valuation, Inc.
W- p-value p-value Y -7.86 671.70 2 X1 0.2543-21377.95 64713.03 3 0.2458 X2 0.3371 77.47 445.93 2 0.0335 X3 0.3649-5.77 15.69 3 0.0305 X4 0.3066-295.96 628.21 4 0.9298 X5 0.2495 3.35 9.38 3 0.2727 User Manual (Risk Simulator Software) 112 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 113 2005-2012 Real Options Valuation, Inc.
...,,,, ( 3 2,2 1 ).. ARIMA.( l larima).,. ( ) AC(1),. AC(k),. AC(k),. PAC(k) k. k,k. k Ljung-Box Q- p k.. 5%. Y., Y X., ( 1 3)., (,, 12 ).. Autocorrelation Time Lag AC PAC Lower Bound Upper Bound Q-Stat Prob 1 0.0580 0.0580-0.2828 0.2828 0.1786 0.6726 2-0.1213-0.1251-0.2828 0.2828 0.9754 0.6140 3 0.0590 0.0756-0.2828 0.2828 1.1679 0.7607 4 0.2423 0.2232-0.2828 0.2828 4.4865 0.3442 5 0.0067-0.0078-0.2828 0.2828 4.4890 0.4814 6-0.2654-0.2345-0.2828 0.2828 8.6516 0.1941 7 0.0814 0.0939-0.2828 0.2828 9.0524 0.2489 8 0.0634-0.0442-0.2828 0.2828 9.3012 0.3175 9 0.0204 0.0673-0.2828 0.2828 9.3276 0.4076 10-0.0190 0.0865-0.2828 0.2828 9.3512 0.4991 11 0.1035 0.0790-0.2828 0.2828 10.0648 0.5246 12 0.1658 0.0978-0.2828 0.2828 11.9466 0.4500 13-0.0524-0.0430-0.2828 0.2828 12.1394 0.5162 14-0.2050-0.2523-0.2828 0.2828 15.1738 0.3664 15 0.1782 0.2089-0.2828 0.2828 17.5315 0.2881 16-0.1022-0.2591-0.2828 0.2828 18.3296 0.3050 17-0.0861 0.0808-0.2828 0.2828 18.9141 0.3335 18 0.0418 0.1987-0.2828 0.2828 19.0559 0.3884 19 0.0869-0.0821-0.2828 0.2828 19.6894 0.4135 20-0.0091-0.0269-0.2828 0.2828 19.6966 0.4770 Distributive Lags P-Values of Distributive Lag Periods of Each Independent Variable Variable 1 2 3 4 5 6 7 8 9 10 11 12 X1 0.8467 0.2045 0.3336 0.9105 0.9757 0.1020 0.9205 0.1267 0.5431 0.9110 0.7495 0.4016 X2 0.6077 0.9900 0.8422 0.2851 0.0638 0.0032 0.8007 0.1551 0.4823 0.1126 0.0519 0.4383 X3 0.7394 0.2396 0.2741 0.8372 0.9808 0.0464 0.8355 0.0545 0.6828 0.7354 0.5093 0.3500 X4 0.0061 0.6739 0.7932 0.7719 0.6748 0.8627 0.5586 0.9046 0.5726 0.6304 0.4812 0.5707 X5 0.1591 0.2032 0.4123 0.5599 0.6416 0.3447 0.9190 0.9740 0.5185 0.2856 0.1489 0.7794 User Manual (Risk Simulator Software) 114 2005-2012 Real Options Valuation, Inc.
0.00 O-E 141.83-219.04 0.02 0.02 0.0612-0.0412 D 0.1036-202.53 0.02 0.04 0.0766-0.0366 1% D 0.1138-186.04 0.02 0.06 0.0948-0.0348 5% D 0.1225-174.17 0.02 0.08 0.1097-0.0297 10% D 0.1458-162.13 0.02 0.10 0.1265-0.0265 :. -161.62 0.02 0.12 0.1272-0.0072-160.39 0.02 0.14 0.1291 0.0109-145.40 0.02 0.16 0.1526 0.0074 : 1%. -138.92 0.02 0.18 0.1637 0.0163 User Manual (Risk Simulator Software) 115 2005-2012 Real Options Valuation, Inc.
. ( ),,, Jump-diffusion.. ( l l ). -1.48% 283.89% Jump 20.41% 88.84% 327.72 Jump 237.89 : 46.48%. Runs 20-1.7321 25 P-Value (1-tail) 0.0416 25 P-Value (2-tail) 0.0833 Run 26 p (0.10, 0.05, 0.01 ), ARIMA., p. User Manual (Risk Simulator Software) 116 2005-2012 Real Options Valuation, Inc.
COVx, y Rx, y s s x y User Manual (Risk Simulator Software) 117 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 118 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 119 2005-2012 Real Options Valuation, Inc.
4 (, 2..).. (,,, ),,... %.,..... 95%.. 50%, 50%.....,..,,,.. (,, ),..,..., ( ). 1 25%. 3 75%.. 1 3......... 0 ( 3.0 ). 0.. (,,, ). Variable X1 50.0000 ( ) 172.9140 331.9200 ( ) 171.1761 281.3247 148.6090 325.1739 207.7947 24.4537 ( ) 29899.2588 283.0125 ( ) 29301.2736 380.8275 0.5210 307.0000 204.0000 47.0000 3 (Q3) 441.0000 764.0000 237.0000 717.0000 0.4838-0.0952 User Manual (Risk Simulator Software) 120 2005-2012 Real Options Valuation, Inc.
Statistics from Dataset: : 50 t-statistic 13.5734 Sample 331.92 P-Value (right-tail) 0.0000 Sample 172.91 P-Value (left-tailed) 1.0000 P-Value (two-tailed) 0.0000 : (Ho): = 0.00 (Ha): < > Notes: "<>" ' ', ' ' ' ' - t- (t- 30 ). t- :,.. Ho..t-, p ( 0.10, 0.05, 0.01), 10%, 5% 1% ( 90%, 95%, 99% )., p 0.10, 0.05, 0.01,,. Ho.. t-, p ( 0.10, 0.05, 0.01), 10%, 5% 1% ( 90%, 95% 99% )., p 0.10, 0.05, 0.01,. Ho.. t-, p ( 0.10, 0.05, 0.01), 10%, 5% 1% ( 90%, 95% 99% )., p 0.10, 0.05, 0.01,,., t- Z- t-. User Manual (Risk Simulator Software) 121 2005-2012 Real Options Valuation, Inc.
.. p alpha. p alpha. :,... Relative Data 331.92 Frequency Observed Expected O-E 172.91 47.00 0.02 0.02 0.0497-0.0297 D 0.0859 68.00 0.02 0.04 0.0635-0.0235 D Critical at 1% 0.1150 87.00 0.02 0.06 0.0783-0.0183 D Critical at 5% 0.1237 96.00 0.02 0.08 0.0862-0.0062 D Critical at 10% 0.1473 102.00 0.02 0.10 0.0918 0.0082 :. 108.00 0.02 0.12 0.0977 0.0223 Conclusion: The sample data is normally distributed at the 1% alpha level. 114.00 0.02 0.14 0.1038 0.0362 127.00 0.02 0.16 0.1180 0.0420 153.00 0.02 0.18 0.1504 0.0296 177.00 0.02 0.20 0.1851 0.0149 186.00 0.02 0.22 0.1994 0.0206 188.00 0.02 0.24 0.2026 0.0374 198.00 0.02 0.26 0.2193 0.0407 222.00 0.02 0.28 0.2625 0.0175 231.00 0.02 0.30 0.2797 0.0203. ( ),,, Jump-diffusion.,.. ( l ) (Annualized) Drift Rate -1.48% Reversion Rate 283.89% Jump Rate 20.41% Volatility 88.84% Long-Term Value 327.72 Jump Size 237.89 : 46.48% User Manual (Risk Simulator Software) 122 2005-2012 Real Options Valuation, Inc.
User Manual (Risk Simulator Software) 123 2005-2012 Real Options Valuation, Inc.
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User Manual (Risk Simulator Software) 127 2005-2012 Real Options Valuation, Inc.
2001/2012 6 (Random Number Generators), 3 Correlation Copulas Simulation Sampling Risk Simulator Options Random Number Generator (RNG, ) ROV Risk Simulator proprietary ROV Risk Simulator default Advanced Subtractive Random Shuffle Correlations Normal Copula, T-Copula, Quasi-Normal copula 3.,, Normal Copula. t-copula quasi-normal copula Monte Carlo Simulation (MCS) Latin Hypercube Sampling (LHS) Copulas,, LHS. LHS User Manual (Risk Simulator Software) 128 2005-2012 Real Options Valuation, Inc.
..,., LHS., LHS., MCS LHS ( ) ( ). Figure 5.41 Risk Simulator Options deseasonalize detrend (Figure 5.42).,., User Manual (Risk Simulator Software) 129 2005-2012 Real Options Valuation, Inc.
Detrend (,, ). (, 24, 12, 4, 60, ). deseasonalize detrend. 1 1. (Deseasonalization and Detrending): (: B9:B28) Risk Simulator Tools Data Deseasonalization and Detrending Deseasonalize Data Detrend Data detrending, (: polynomial order, moving average order, difference order, and rate order) OK,,, deseasonalized/detrended. (Deseasonalization and Detrending): (: B9:B28) Risk Simulator Tools Data Seasonality Test : 1, 2, 3, 4, 5, 6.,,, User Manual (Risk Simulator Software) 130 2005-2012 Real Options Valuation, Inc.
( RMSE ) : root mean squared error (RMSE), mean squared error (MSE), mean absolute deviation (MAD), mean absolute percentage error (MAPE) Figure 5.42 Deseasonalization and Detrending Data Principal Component Analysis, (Figure 5.43).,.,... : (: B11:K30), Risk Simulator Tools Principal Component Analysis OK User Manual (Risk Simulator Software) 131 2005-2012 Real Options Valuation, Inc.
Figure 5.43 Principal Component Analysis Structural Break (Figure 5.44).,. Structural Break Test ( Structural Break Test : 10, 30, 51 1-9 10-100, 1-29 30-100, 1-50 51-100 ) (H a ) 0.01, 0.05, 0.10, 1%, 5%, 10% User Manual (Risk Simulator Software) 132 2005-2012 Real Options Valuation, Inc.
: (: B15:D34), Risk Simulator Tools Structural Break Test OK.. Figure 5.44 Structural Break Analysis User Manual (Risk Simulator Software) 133 2005-2012 Real Options Valuation, Inc.
Trendline (Figure 5.45). (exponential, logarithmic, moving average, power, polynomial, or power ). : Risk Simulator Forecasting Trendline trendline (: ), (: 6 periods), OK. trendline. Figure 5.45 Trendline Forecasts User Manual (Risk Simulator Software) 134 2005-2012 Real Options Valuation, Inc.
, Model Checking Tool (Figure 5.46). Risk Simulator Tools Check Model Risk Simulator Figure 5.46 Model Checking Tool User Manual (Risk Simulator Software) 135 2005-2012 Real Options Valuation, Inc.
Percentile Distributional Fitting tool (Figure 5.47) Distributional Fitting ()., Distributional Fitting () Distributional Fitting () Custom Distribution () : Risk Simulator Tools Distributional Fitting (Percentiles) Run R-square User Manual (Risk Simulator Software) 136 2005-2012 Real Options Valuation, Inc.
Figure 5.47 Percentile Distributional Fitting Tool (Figures 5.48-5.51). Risk Simulator Distributional Analysis Risk Simulator PDF, CDF, ICDF Distributional Charts and Tables (: [2, 2], [3, 5], [3.5, 8] PDF, CDF, ICDF ). Overlay Charts (: [2, 2], [3, 5], [3.5, 8] PDF, CDF, ICDF ). User Manual (Risk Simulator Software) 137 2005-2012 Real Options Valuation, Inc.
: Risk Simulator Distributional Charts and Table ROV BizStats Apply Global Inputs Run CDF, ICDF, PDF 45 (Figure 5.48). Figure 5.48 Probability Distribution Tool (45 Probability Distributions) Charts and Tables tab (Figure 5.49), [A] (: Arcsine), CDF, ICDF, PDF [B], click Run Chart Run Table [C]. [E] From/To/Step Custom Run [H] User Manual (Risk Simulator Software) 138 2005-2012 Real Options Valuation, Inc.
Figure 5.50, PDF [G], [I] [H], : 2;5;5, 5;3;5 [J] Run Chart [K]: (2,5), (5,3), (5,5) [L]. [M], [N]. Figure 5.51 ( X) From/To/Step [O], Table tab [P], 0., 0.25,, 0.50 row variable 0, 1, 2,, 8 variable = 20, = 0.5, X = 10 PDF., 25% 0.0669 6.69% User Manual (Risk Simulator Software) 139 2005-2012 Real Options Valuation, Inc.
Figure 5.49 ROV Probability Distribution (PDF and CDF Charts) Figure 5.50 ROV Probability Distribution (Multiple Overlay Charts) User Manual (Risk Simulator Software) 140 2005-2012 Real Options Valuation, Inc.
Figure 5.51 ROV Probability Distribution (Distribution Tables) User Manual (Risk Simulator Software) 141 2005-2012 Real Options Valuation, Inc.
ROV BizStats Risk Simulator,, 130 (Figures 5.52-5.55).. : Risk Simulator ROV BizSta, ROV BizStats [A] Example [D] (Figure 5.52). Notes row [C]. Step 2 [F], [G] [H]. [J]Run [I] Step 4 [L]. [M], [N], *.bizstats [O] : [S][A] [J] [T/U] [G] User Manual (Risk Simulator Software) 142 2005-2012 Real Options Valuation, Inc.
[H] [D] [P] Command console [V/W/X]., [S] Command console [V]., Run Command [X] Console *.bizstats ( ) XML XML [Z], Auto Fit, Cut, Copy, Delete, Paste., Visualiz.,. (,, auto fit ). Home End. : Ctrl+Home ( ), Ctrl+End ( ), Shift+Up/Down ( ) Notes.. User Manual (Risk Simulator Software) 143 2005-2012 Real Options Valuation, Inc.
Visualize (:,, /,, ) Copy 3 Results, Charts, Statistics. copy. Report 4.. Microsoft Excel, Microsoft PowerPoint., Example 1 2.. Language. 10.. 2 View drop list.,,. (:,, ). (: 50 1,000.50 1.000,50 1 000,50 ). ROV BizStats English USA, ROV BizStats North America 1,000.50 ( ROV BizStats ). User Manual (Risk Simulator Software) 144 2005-2012 Real Options Valuation, Inc.
Figure 5.52 ROV BizStats (Statistical Analysis) Figure 5.53 ROV BizStats (Data Visualization and Results Charts) User Manual (Risk Simulator Software) 145 2005-2012 Real Options Valuation, Inc.
Figure 5.54 ROV BizStats (Command Console) Figure 5.55 ROV BizStats (XML Editor) User Manual (Risk Simulator Software) 146 2005-2012 Real Options Valuation, Inc.
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ROV Decision Tree ().. ( ) MINIMAX MAXIMIN. 11,.., () (),.,., ( ).,,., ( )... o.. o.. o.. o.. o.,,. User Manual (Risk Simulator Software) 157 2005-2012 Real Options Valuation, Inc.
o /.,. o. (,.). o.. o..,.,,.,. o,,,,. o ( ). o (,, ). o (, ). o. o.,..,. 256-....,,,.,. (,,, / )., () () (),. User Manual (Risk Simulator Software) 158 2005-2012 Real Options Valuation, Inc.
,. o :.,,. o :,,.,,,. o :,,., (,, ),.,.. o o o, MINIMAX MAXIMIN,, o o o ( 5.62).., ( )., Normal(: 100 10 ) (100*Normal+15.25)..,.. User Manual (Risk Simulator Software) 159 2005-2012 Real Options Valuation, Inc.
2 ( 5.63)., A B, A B. A 2 ( ). B 2 ( ).,... Quick Procedures 1: ( ). 2:. 3:. 100%. (EVPI), ( 5.64)., (:,, ) (:, ). (EVPI) ( ), (: )., (:,, ) (:, ). ( ) ( ) 2.,. (:, ) (:, ). User Manual (Risk Simulator Software) 160 2005-2012 Real Options Valuation, Inc.
.. ( 5.65).,,....., ( 5.66). ( ),. Quick Procedures.. ( 5.67) U(x). U(x) ( ). ( ), ( ) ( ). /. $X $X/2, $0 50:50, $X?, $100 $50 X $100. X. X, X. User Manual (Risk Simulator Software) 161 2005-2012 Real Options Valuation, Inc.
, U(x),. U(x),. User Manual (Risk Simulator Software) 162 2005-2012 Real Options Valuation, Inc.
5.61 ROV ( ) User Manual (Risk Simulator Software) 163 2005-2012 Real Options Valuation, Inc.
5.62 ROV ( ) User Manual (Risk Simulator Software) 164 2005-2012 Real Options Valuation, Inc.
5.63 ROV ( ) User Manual (Risk Simulator Software) 165 2005-2012 Real Options Valuation, Inc.
5.64 ROV (EVPI, MINIMAX, ) User Manual (Risk Simulator Software) 166 2005-2012 Real Options Valuation, Inc.
5.65 ROV ( ) User Manual (Risk Simulator Software) 167 2005-2012 Real Options Valuation, Inc.
5.66 ROV ( ) User Manual (Risk Simulator Software) 168 2005-2012 Real Options Valuation, Inc.
5.67 ROV ( ) User Manual (Risk Simulator Software) 169 2005-2012 Real Options Valuation, Inc.
Risk Simulator.. : ( ) Weibull ). (large icons, small icons, list). : / Risk Simulator Risk Simulator User Manual (Risk Simulator Software) 170 2005-2012 Real Options Valuation, Inc.
Risk Simulator Risk Simulator Risk Simulator Risk Simulator : : Statistical Analysis and Data Diagnostic mean-reversion jump-diffusion Brownian Motion, Mean-Reversion, Jump-Diffusion, User Manual (Risk Simulator Software) 171 2005-2012 Real Options Valuation, Inc.
Brownian Motion, ).,, (: mean-reversion is 110% mean-reversion ). :, Risk Simulator PDF, CDF, ICDF (: [2, 2], [3, 5], [3.5, 8] PDF, CDF, ICDF ). : : User Manual (Risk Simulator Software) 172 2005-2012 Real Options Valuation, Inc.
: normal global view. : : : ARIMA : : Basic Econometrics User Manual (Risk Simulator Software) 173 2005-2012 Real Options Valuation, Inc.
: : Logit, Probit, and Tobit logit probit (0, 1), tobit.. : : Stochastic Processes Default Sample Inputs Statistical Analysis Tool for Parameter Estimation Stochastic Process Model (: mean-reversion is 110% mean-reversion ).. : : Trendlines : RS Functions set input assumption get forecast statistics. RS function (Start > Programs > Real Options Valuation > Risk Simulator > Tools > Install Functions), RS function. 24. User Manual (Risk Simulator Software) 174 2005-2012 Real Options Valuation, Inc.
: Start > Programs > Real Options Valuation > Risk Simulator shortcut location.. (www.realoptionsvaluation.com/download.html www.rovdownloads.com/download.html). : ID Install License user interface HWID E-mail HWID link Start, Programs, Real Options Valuation, Risk Simulator Troubleshooter HWID Get HWID. : (LHS) (MCS) Risk Simulator, Options menu Monte Carlo setting Latin Hypercube Samplingcorrelated copula method LHS Bins bin. Options,. : User Manual (Risk Simulator Software) 175 2005-2012 Real Options Valuation, Inc.
www.realoptionsvaluation.com/download.html www.rovdownloads.com/download.html). : (=) (>= <=) :. User Manual (Risk Simulator Software) 176 2005-2012 Real Options Valuation, Inc.
: Risk Simulator : Risk Simulator Risk Simulator Risk Simulator *.RiskSim : 6 ( ) ROV Risk Simulator Advanced Subtractive Random Shuffle User Manual (Risk Simulator Software) 177 2005-2012 Real Options Valuation, Inc.
: (SDK) DLL SDK, DLL, OEM Risk Simulator : Risk Simulator ROV Troubleshooter Risk Simulator troubleshooter Risk Simulato Risk Simulato Start, Programs, Real Options Valuation, Risk Simulator shortcut locatio Risk Simulator, Options men : : Tornado Analysis Tornado Analysis Tornado Analysis.. User Manual (Risk Simulator Software) 178 2005-2012 Real Options Valuation, Inc.
., Tornado precedent Show All Variables Tornado., precedent (: Tornado ), Tornado Analysis Show Top 10 Variables Tornado Tornado ±10% (Spider chart Tornado precedent ). Zero Values and Integers Tornado inputs with zero or integer values only = 1, = 2, = 3,, 1 +/- 10% 0.9 1.1, ). : Troubleshooter ROV Troubleshooter Risk Simulator troubleshooter User Manual (Risk Simulator Software) 179 2005-2012 Real Options Valuation, Inc.