Methods for managing business risks and their practical applications

管理商业风险的方法及其实际应用

• 批准号: 16530139
• 负责人: KARIYA Takeaki
• 金额: $ 1.98万
• 依托单位: Meiji University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2004
• 资助国家: 日本
• 起止时间: 2004 至 2006
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-16530139/
• 关键词: business risk management; enterprise risk management; combinations of subjective distributions with expert weights; model for risk-return analysis in recycle business; recycling biomass in beer industry; model for risk-return analysis in bank managem

For an effective decision making in management, it is important to identify and analyze business risks or equivalently uncertainties that include strategic risks, operational risks, financial risks and hazard risks, and will affect profit cash flows. This research aims to provide some quantitative methods for such business risk management in view of risk-return framework. It is noted that the net present value (NPV) of future cash flows of a project or a business is a function of future uncertainties, which are random variables, and hence it is expressed as a distribution representing the whole risk-return structure of the NPV. The uncertainties consists of event type uncertainties such as a change of regulation or an occurrence of earthquake with magnitude of a certain level and continuous type uncertainties. We treat the both.However, those who make an organizational decision making as a team express different distributions of the uncertainties affecting future cash flows even after … More a well-planned discussion with sufficient information and analysis. This research first treat the problem of formulating a method for combining different views expressed by subjective distributions given common information. In the combination or summarizing procedure we take into account weights concerning the expertized areas or levels and the responsibilities of the decision makers to get an organizational distribution.Second, we discuss on a historical evolution that the Japanese socio-economic society is in a stage to accept and make a good use of the framework of thoughts in which random, uncertain or indefinite phenomena are, as they should be, understood in a probabilistic manner and modeled in a statistical approach, and then an effective decision is drawn from the analysis. This trend is discussed and overviewed by taking the theme of the Enterprise Risk Management.Third, we give an effective formulation for analyzing risk-return structure in recycling business and apply it to a simulation analysis on the business of biomass in beer industry. The risks involved in the business are identified and the variations of demand for beer and share of beer companies are treated in modeling and the distribution of the NPV of cash flows is derived.Fourth, the problem of valuing lease for commercial properties with tenant replacement is considered, and an optimal rent mix of variable and fixed and an optimal tenant replacement rule are derived, where rent and sales of each tenant are random variables.Fifth, a management problem of making loans in banking is formulated as an enterprise-wide optimization problem for risk-return where loan rates and credit rates of borrowers are linked. We provide a model for optimizing the loan positions in the branches and headquarter simultaneously or gradually.Sixth, winter-temperature risk swap made between a gas company and an insurance company is evaluated for fairness. Less

为了进行有效的管理决策，识别和分析业务风险或相当于不确定性的因素非常重要，这些风险包括战略风险、操作风险、财务风险和风险风险，并将影响利润现金流。本研究旨在从风险收益的角度为此类企业的风险管理提供一些量化方法。值得注意的是，项目或企业未来现金流的净现值是未来不确定性的函数，这些不确定性是随机变量，因此它被表示为代表净现值的整个风险-收益结构的分布。不确定性包括规则变化或发生一定震级的地震等事件类型不确定性和连续型不确定性。然而，即使在…之后，那些作为团队进行组织决策的人也表达了影响未来现金流的不确定因素的不同分布更多的是一场有充分信息和分析的精心策划的讨论。这项研究首先处理的问题是制定一种方法来结合给定共同信息的主观分布所表达的不同观点。在合并或总结过程中，我们考虑了与专业领域或层次有关的权重以及决策者获得组织分布的责任。其次，我们讨论了日本社会经济社会正处于接受和很好利用随机、不确定或不确定现象的思维框架的历史演变阶段，在这种思维框架中，随机、不确定或不确定的现象被理应以概率的方式理解并用统计方法建模，然后从分析中得出有效的决策。第三，给出了回收业务风险收益结构分析的有效公式，并将其应用于啤酒行业生物质业务的模拟分析。在此基础上，对企业经营过程中的风险进行了识别，并对啤酒需求量和啤酒公司份额的变化进行了建模处理，得到了现金流净现值的分布；第四，考虑了有租户更换的商业物业租赁估价问题，推导出了租户更换时可变和固定的最优租金组合和最优租户更换规则，其中每个租户的租金和销售额都是随机变量；第五，将银行贷款管理问题描述为贷款率和贷款率挂钩的企业风险收益优化问题。给出了同时或逐步优化分公司和总部贷款头寸的模型。第六，对燃气公司和保险公司之间的冬季气温风险互换进行了公平性评估。较少

项目成果

A Real Options Approach

实物期权法

• 发表时间: 2005
• 期刊: International Real Estate Review Vo1.8
• 作者: Kariya;T.;Katou;T.;Uchiyama;T.;Suwabe;T;Tenant Management;Lease Valuation for Retail Properties
• 通讯作者: Lease Valuation for Retail Properties

Tenant Management and Lease Valuation for Retail Properties : A Real Options Approach

零售物业的租户管理和租赁估值：实物期权方法

• 发表时间: 2005
• 期刊: International Real Estate Review 8・1
• 作者: Kariya;T.;Katou;T.;Uchiyama;T.;Suwabe;T
• 通讯作者: T