CAPITAL BUDGETING AND RISK ANALYSIS

Transkripsi

1 CAPITAL BUDGETING AND RISK ANALYSIS

2 Ukuran-ukuran Risiko Proyek Risiko Proyek yang berdiri sendiri

3 Ukuran-ukuran Risiko Proyek Risiko Proyek yang berdiri sendiri Risiko didiversifikasikan dalam perusahan ketika proyek ini dikombinasikan dengan proyek2 dan aktiva perusahaan lainnya..

4 Ukuran-ukuran Risiko Proyek Risiko Proyek yang berdiri sendiri Risiko proyek terhadap perusahaan Risiko didiversifikasikan dalam perusahan ketika proyek ini dikombinasikan dengan proyek2 dan aktiva perusahaan lainnya..

5 Ukuran-ukuran Risiko Proyek Risiko Proyek yang berdiri sendiri Risiko proyek terhadap perusahaan Risiko didiversifikasikan dalam perusahan ketika proyek ini dikombinasikan dengan proyek2 dan aktiva perusahaan lainnya.. Risiko didiversifikasikan oleh pemegang saham ketika sekuritas dikombinasikan sehingga membentuk portfolio yang terdiversifikasi.

6 Ukuran-ukuran Risiko Proyek Risiko Proyek yang berdiri sendiri Risiko proyek terhadap perusahaan Risiko didiversifikasikan dalam perusahan ketika proyek ini dikombinasikan dengan proyek2 dan aktiva perusahaan lainnya.. Risiko Sistematis Risiko didiversifikasikan oleh pemegang saham ketika sekuritas dikombinasikan sehingga membentuk portfolio yang terdiversifikasi.

7 Incorporating Risk into Capital Budgeting Two Methods: Certainty Equivalent Approach Risk-Adjusted Discount Rate

8 How can we adjust this model to take risk into account? n NPV = S FCFt (1 + k) t - IO t=1

9 How can we adjust this model to take risk into account? n NPV = S FCFt (1 + k) t - IO t=1 Adjust the After-tax Cash Flows (ACFs), or Adjust the discount rate (k).

10 Certainty Equivalent Approach Adjusts the risky after-tax cash flows to certain cash flows. The idea:

11 Certainty Equivalent Approach Adjusts the risky after-tax cash flows to certain cash flows. The idea: Risky Certainty Certain Cash X Equivalent = Cash Flow Factor (a) Flow

12 Certainty Equivalent Approach Risky Certainty Certain Cash X Equivalent = Cash Flow Factor (a) Flow Risky safe $ $700

13 Certainty Equivalent Approach Risky Certainty Certain Cash X Equivalent = Cash Flow Factor (a) Flow Risky safe $ $950

14 The greater the risk associated with a particular cash flow, the smaller the CE factor.

15 Certainty Equivalent Method n NPV = S t ACFt (1 + krf) t - IO t=1

16 Certainty Equivalent Approach Steps: 1) Adjust all after-tax cash flows by certainty equivalent factors to get certain cash flows. 2) Discount the certain cash flows by the risk-free rate of interest.

17 Incorporating Risk into Capital Budgeting Risk-Adjusted Discount Rate

18 How can we adjust this model to take risk into account? n NPV = S ACFt (1 + k) t - IO t=1

19 How can we adjust this model to take risk into account? n NPV = S ACFt (1 + k) t - IO t=1 Adjust the discount rate (k).

20 Risk-Adjusted Discount Rate Simply adjust the discount rate (k) to reflect higher risk. Riskier projects will use higher risk-adjusted discount rates. Calculate NPV using the new riskadjusted discount rate.

21 Risk-Adjusted Discount Rate n NPV = S FCFt (1 + k*) t - IO t=1

22 Risk-Adjusted Discount Rates How do we determine the appropriate risk-adjusted discount rate (k*) to use? Many firms set up risk classes to categorize different types of projects.

23 Risk Classes Risk RADR Class (k*) Project Type 1 12% Replace equipment, Expand current business 2 14% Related new products 3 16% Unrelated new products 4 24% Research & Development

24 Summary: Risk and Capital Budgeting You can adjust your capital budgeting methods for projects having different levels of risk by: Adjusting the discount rate used (riskadjusted discount rate method), Measuring the project s systematic risk, Analyzing computer simulation methods, Performing scenario analysis, and Performing sensitivity analysis.

25 Terima kasih, sampai jumpa kembali I.K. Gunarta