基于蒙特卡洛模拟的境外矿业投资风险分析
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摘要
境外矿业投资普遍面临着来自于各方面的巨大风险,其风险因素繁杂且具有明显的不确定性。本文将蒙特卡洛模拟方法应用于境外矿业投资风险分析中,在传统净现值法的基础上,以概率分布的形式描述关键风险因素的不确定性,以Crystal Ball软件为工具进行蒙特卡洛模拟,对投资的净现值进行分布情况预测与敏感性分析,定量地分析境外矿业投资所面临的风险。并以某境外铜矿投资项目为实例,得出了具体的风险分析结果,验证了该风险分析方法的可行性和有效性。
The overseas mining investment is generally confronted with huge risks from various aspects. Risk factors of overseas mining investment are complex and have obvious uncertainty. In this paper,the Monte Carlo simulation method is applied to the risk analysis of overseas mining investment. On the basis of the traditional net present value method,the uncertainty of the key risk factors is described in the form of probability distribution,and the Monte Carlo simulation is carried out with Crystal Ball as a tool. Consequently,the distribution forecast and sensitivity analysis of the net present value of the investment are carried out,so as to analyzing the risks faced by overseas mining investment quantitatively. Taking an overseas copper mine investment project as an example,the specific risk analysis results are obtained,and the feasibility and effectiveness of the risk analysis method are verified.
The overseas mining investment is generally confronted with huge risks from various aspects. Risk factors of overseas mining investment are complex and have obvious uncertainty. In this paper,the Monte Carlo simulation method is applied to the risk analysis of overseas mining investment. On the basis of the traditional net present value method,the uncertainty of the key risk factors is described in the form of probability distribution,and the Monte Carlo simulation is carried out with Crystal Ball as a tool. Consequently,the distribution forecast and sensitivity analysis of the net present value of the investment are carried out,so as to analyzing the risks faced by overseas mining investment quantitatively. Taking an overseas copper mine investment project as an example,the specific risk analysis results are obtained,and the feasibility and effectiveness of the risk analysis method are verified.
引文
[1]中华人民共和国商务部,中华人民共和国国家统计局,国家外汇管理局. 2016年度中国对外直接投资统计公报[M].北京:中国统计出版社,2017:23.
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[3]郑明贵,龚婷.海外矿产资源开发模糊综合评价模型研究[J].黄金,2012,(2):23~26.
[4]黄明旺,郑明贵.基于ANP-灰色模糊评价法的矿业项目投资风险评价研究[J].江西理工大学学报,2015,36(4):37~41.
[5]薛红肖,王琦.基于层次分析法的海外矿业投资风险评价[J].中国矿业,2018,27(6):53~56.
[6]过广华,段毅.基于模糊综合评价的海外矿业投资金融风险评价[J].中国矿业,2017,26(1):40~42,87.
[7]郑明贵,赖亮光.矿业投资决策理论与方法[M].北京:冶金工业出版社,2011:5~8.
[8]孙爱玲,滕淑珍.净现值法与内部收益率法比较——投资决策采用哪种方法更优[J].财会月刊,2012,(5):64~65.
[9]陈倞.坦桑尼亚矿业投资风险分析[D].北京:中国地质大学,2013.
[10]金胜,胡福祥.基于蒙特卡洛模拟的矿山投资风险分析[J].现代矿业,2013,(5):148~151.
[11]何巍,宦秉炼,吴晓明.蒙特卡洛模拟方法在矿业投资风险分析中的应用[J].价值工程,2014,(2):324~325.
[12]曾鸣,张平,王良,等.不确定条件下基于蒙特卡洛模拟的发电投资评估模型[J].电力系统自动化,2015,39(5):60~66.
[13]程国江.基于蒙特卡罗方法的某金矿项目投资决策分析[J].现代矿业,2016,32(8):1~3,15.
[14]杨蕾绮,刘文君,文磊,等.矿山生产能力可信度的MonteCarlo模拟与应用研究[J].中国矿业,2017,26(9):38~41.
[15] Marchenko R S,Cherepovitsyn A E. Improvement of the Quality of Calculations Using the Monte Carlo Simulation Method in the Evaluation of Mining Investment Projects[C]. International Conference Quality Management,Transport and Information Security,Information Technologies,2017:247~251.
[16]匡建超,匡野,王众,等.油气开发项目风险评价的偏最小二乘——蒙特卡洛模型研究[J].工业技术经济,2009,28(5):88~91.
[2]窦如婷,申敏,汪天凯.动态视角下国际投资的宏观环境综合评价——基于改进的CRITIC赋权和TOPSIS法[J].工业技术经济,2018,37(8):132~138.
[3]郑明贵,龚婷.海外矿产资源开发模糊综合评价模型研究[J].黄金,2012,(2):23~26.
[4]黄明旺,郑明贵.基于ANP-灰色模糊评价法的矿业项目投资风险评价研究[J].江西理工大学学报,2015,36(4):37~41.
[5]薛红肖,王琦.基于层次分析法的海外矿业投资风险评价[J].中国矿业,2018,27(6):53~56.
[6]过广华,段毅.基于模糊综合评价的海外矿业投资金融风险评价[J].中国矿业,2017,26(1):40~42,87.
[7]郑明贵,赖亮光.矿业投资决策理论与方法[M].北京:冶金工业出版社,2011:5~8.
[8]孙爱玲,滕淑珍.净现值法与内部收益率法比较——投资决策采用哪种方法更优[J].财会月刊,2012,(5):64~65.
[9]陈倞.坦桑尼亚矿业投资风险分析[D].北京:中国地质大学,2013.
[10]金胜,胡福祥.基于蒙特卡洛模拟的矿山投资风险分析[J].现代矿业,2013,(5):148~151.
[11]何巍,宦秉炼,吴晓明.蒙特卡洛模拟方法在矿业投资风险分析中的应用[J].价值工程,2014,(2):324~325.
[12]曾鸣,张平,王良,等.不确定条件下基于蒙特卡洛模拟的发电投资评估模型[J].电力系统自动化,2015,39(5):60~66.
[13]程国江.基于蒙特卡罗方法的某金矿项目投资决策分析[J].现代矿业,2016,32(8):1~3,15.
[14]杨蕾绮,刘文君,文磊,等.矿山生产能力可信度的MonteCarlo模拟与应用研究[J].中国矿业,2017,26(9):38~41.
[15] Marchenko R S,Cherepovitsyn A E. Improvement of the Quality of Calculations Using the Monte Carlo Simulation Method in the Evaluation of Mining Investment Projects[C]. International Conference Quality Management,Transport and Information Security,Information Technologies,2017:247~251.
[16]匡建超,匡野,王众,等.油气开发项目风险评价的偏最小二乘——蒙特卡洛模型研究[J].工业技术经济,2009,28(5):88~91.