基于蒙特卡罗模拟法的投资项目VaR风险分析

Value at Risk Analysis of Investment Project Based on Monte Carlo Approach

投资项目评价要考虑各种市场因素(包括产品价格、原材料价格、利率、汇率等)的影响,风险分析也就成为项目评价的重要组成部分。论述了项目评价中的风险分析方法,并将VaR这一金融风险管理的新方法引入项目风险分析中,采用蒙特卡罗模拟法以提高项目风险估测的精确度。

Investment project appraisal needs to consider the influences of various market factors, including goods price, raw material price, interest rate, exchange rate, and so on. As a result, risk analyses become an important part in the project appraisal. The paper illustrates the risk analysis in the project appraisal, and introduces＇into the risk analysis the new financial risk management VaR, which uses Monte Carlo Approach to improve the accuracy of project risk appraisal.