Risk is part of all our lives

1. Risk assessment of investment projects by the Monte Carlo method using Oracle Crystal Ball

Elena Malyh

2. Risk is part of all our lives

3.

TYPES OF RISK OF THE INVESTMENT
PROJECT
continuous risks
discrete risks
(strategic decisions)
(risks fluctuations in market
factors)

4.

a high level of risk
low risk
discrete risks
Decision Tree model
Real options method
The Discounted Cash
Flow Method
Monte Carlo model
low risk
a high level of risk
continuous risks

5. How does Crystal Ball work?

Crystal Ball is an easy-to-use simulation program that helps to
analyze the risks and uncertainties associated with Microsoft Excel
spreadsheet models.

6.

ClearView Project
Costs (in millions U.S. dollars ):
Development Cost of ClearView to Date
Testing Costs
Marketing Costs
Total Costs
Drug Test (sample of 100 patients):
Patients Cured
10,00
4,00
16,00
30,00
100
Market Stady (in millions U.S. dollars):
Persons in U.S. with Nearsightedness Today
Growth Rate of Nearsightedness
Persons with Nearsightedness After One Year
40,00
0,02
40,80
Gross Profit on Dosages Sold:
Market Penetration
Profit Per Customer In Dollars
Gross Profit if Approved (MM)
0,08
12,00
39,20
Net Profit (MM)
9,20

7. Identifying Uncertainty and Defining Assumptions

There are many types of distribution,
but the most used are normal and triangular distribution

8.

9.

10.

Analyzing Simulation Results

11.

Analyzing Simulation Results

12.

Trials
Mean
Median
Mode
Standard Deviation
Variance
1 000 The number of trials
53,60 The sample mean value
The argument value that divides the
histogram of the probability density into
57,49 two equal parts
The most frequently occurring value in
--- the sample
37,55 The standard deviation
1 409,80
The "skewness" of the triangle
< 0 left
Skewness
Kurtosis
Coeff. of Variability
Minimum
Maximum
Range Width
Mean Std. Error
-0,2626 > 0 right
"Slenderness" of the triangle
2,39
0,7005
-38,92
134,74
173,66
1,19
3,4 normal
Standard deviation
The minimum value
The maximum value
Range width
Standard error

13.

When you specify this type of distribution, you must
specify a set of parameters that may vary depending on the
amount of information available.

14.

The definition
of custom continuous distribution

15.

The definition of
a discrete custom distribution

16.

The definition of a custom distribution
based on available data

17.

18.

0 year
1 year
Price
The number of sold
2 year
3 year
6
6,05
6,1
802000
967000
1132000
4812000
5850350
6905200
2646600
3217693
3797860
2165400
2632658
3107340
324810
394899
466101
1840590
2237759
2641239
588989
716083
845196
1251601
1521676
1796043
Revenue
Cost, % of sales
The cost
55%
Gross profit
Transaction costs
Net income before taxes
Taxes (32%)
Initial investment
Net income
NPV
-3400000
344796

19.

20. DIAGRAM OF SENSITIVITY

21. THANK YOU FOR YOUR ATTENTION