JP2007041825A - Business risk managing device, business risk managing method and business risk management program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a method and device for enabling a business planner drafting a business plan while using a computer to determine a business income and expenditure plan so as to optimize a project cost while managing risk representing fluctuation width in profits by mathematical programming represented by linear programming or quadratic programming or the like. <P>SOLUTION: This business risk managing method comprises a constraints setting means for setting constraints on the basis of a parameter input in a parameter inputing means, an optimum business cost deriving means for deriving such a business cost to maximize an objective function set in an objective function setting means on the basis of the constraints set by the constraints setting means, and a financial index displaying means for outputing a parameter, etc., related to business income and expenditure on the basis of the business cost derived by the optimum business cost deriving means. <P>COPYRIGHT: (C)2007,JPO&INPIT

Description

  The present invention enables a business planner to minimize the cost of conducting business while maintaining the risk that is the fluctuation range of profits at a predetermined level by mathematical programming such as linear programming or nonlinear programming. The present invention relates to a business risk management apparatus, a business risk management method, and a business risk management program that optimally determine a business price.

  Generally, discount cash is used to make decisions on business investment, such as whether a company or individual business owner invests in a specific business project, or which business to invest in when there are multiple businesses that can be invested. Conventional techniques such as a flow (Discounted Cash Flow, hereinafter referred to as DCF) method and an internal rate of return (hereinafter referred to as IRR) method are known. The DCF method invests if the net present value (hereinafter referred to as NPV) defined by the value obtained by subtracting the investment amount from the income from a specific investment project is positive, otherwise invests This is a method of making a decision not to do so. In the calculation of income, considering that the monetary value is lower in the future than the present time, the future is calculated at a discount rate according to the timing of recording the income from the time the investment is made until the funds are collected. A process of converting the monetary value of the current monetary value into the current monetary value.

  The IRR method is a method of determining the right or wrong of business investment depending on whether the internal rate of return IRR, which is defined by the discount rate at which NPV is 0, is larger than the capital cost for a company or individual business owner. is there. It is also used as a method for selecting a business with a large IRR when determining a business to be invested from a plurality of businesses. As other prior art, methods such as a collection period method or a real option method are also considered although not described in detail here.

  In addition to these conventional technologies, a business profitability evaluation system that takes into account business-specific risks or risks due to future uncertainties is described in International Publication No. WO2002 / 025526.

WO2002 / 025526

  The evaluation system disclosed in Patent Document 1 is a method for estimating NPV by simulation based on data related to business, standard deviation of revenue, and the like. Therefore, although it is suitable for determining the right or wrong of investment for a specific business, the business planner should consider when deciding the price of a business so that it becomes a desired NPV or IRR for a certain investment target It is necessary to perform simulations repeatedly until the constraint conditions are satisfied.

  Therefore, in the present invention, the business price can be automatically derived when the business plan such as NPV and IRR considered by the business planner and the restriction on the cash flow considering the risk are given in advance. The purpose is to provide a system.

  In order to solve the above problems, in the present invention, a business risk management method is set by a business planner such as a basic parameter composed of items related to business profits and a balance, and a threshold relating to business profitability. Parameter input means for inputting business parameters to be executed, environmental parameters determined by the external environment such as interest rates or tax rates, objective function setting means for setting an objective function for optimizing the utility of the business planner, and parameter input means The constraint condition setting means for setting the constraint condition based on the parameters input in step (1) and the objective function set in the objective function setting means are maximized under the constraint condition set in the constraint condition setting means. Based on the optimal business price deriving means for deriving the price of the correct business and the business price derived by the optimal business price deriving means There and having a financial index display means for outputting and parameters related to the balance of the business with.

  In the present invention, the basic parameters input in the parameter input means of the business risk management method are the planned value of revenue due to sales of products and the provision of services, etc., and expenditures such as operating expenses generated when conducting business. And at least one of the planned values of corporate tax expenditures generated within the profit range represented by the difference between income and expenditure.

  Further, in the present invention, the business property parameter input in the parameter input means of the business risk management method is based on a set value of a business planner related to a business index such as a margin of cash flow, business profitability, or a parameter related to an allowable area. It is characterized by being configured.

  Further, the present invention is characterized in that the environmental parameters input by the parameter input means of the business risk management method are configured by parameters relating to the external environment that affect the profits of the business such as interest rates and corporate tax rates.

  In the present invention, the objective function for optimizing the utility of the business planner based on the parameters input by the parameter input means in the objective function setting means of the business risk management method, the business price or the business It is characterized by the risk expressed by the price of the price and the fluctuation range of the business profit.

  Further, in the present invention, the constraint condition setting means of the business risk management method is characterized in that the constraint condition is set by a value set by the business planner or an allowable area based on the parameter input by the parameter input means. To do.

  In the present invention, the optimum business price deriving means of the business risk management method is characterized by optimizing the objective function set by the objective function setting means under the constraint conditions set by the constraint condition setting means. To do.

  Further, the present invention is characterized in that, in the financial index display means of the business risk management method, business-related indices such as the business price derived by the optimum business price deriving means, the expected value of business profit, and the business profit are displayed. To do.

  Further, in the present invention, a business risk management device that has a computer device and determines a business price so as to optimize an objective function composed of business risk and business risk that affects business profit, Basic parameters composed of items related to business revenue and balance, business parameters set by business planners such as business profitability thresholds, and environmental parameters determined by external environment such as interest rate or tax rate A parameter input device for inputting, an objective function setting device for setting an objective function for optimizing the utility of the business planner, and a constraint condition setting device for setting a constraint condition based on parameters input in the parameter input device; The objective function set by the objective function setting means is maximized under the constraint conditions set by the constraint condition setting means. An optimal business price deriving device for deriving the price of such business, and a financial index output device for outputting parameters related to the business balance based on the business price derived by the optimal business price deriving device It is characterized by.

  Further, in the present invention, in the business risk management apparatus, the computer apparatus receives information relating to each of the storage devices and the server computer including the business risk management apparatus, the optimal business price calculated by the server computer, and the index relating to the business. The server computer and the client computer are connected by a network.

  According to the business risk management method and apparatus of the present invention, it is possible to make a business plan efficiently.

  In the present invention, a business planner who formulates a business plan uses a computer to optimize the price of a project and to change the profit by mathematical programming represented by linear programming or quadratic programming. It is a business risk management method that determines the business income and expenditure plan so that the risk to be expressed can be minimized. Hereinafter, embodiments of the present invention will be described in detail with reference to the drawings.

  In the business price determination in the business risk management method of the present invention, the objective function is formulated by the sum of the business price and the risk representing the fluctuation of the business profit multiplied by the risk avoidance degree.

Objective function = business price + λ * business risk (1)
Here, λ is the risk aversion that the business planner considers (increase λ when priority is given to risk avoidance and decrease λ when priority is given to price reduction of the business). Means the range of fluctuations in business revenue due to future uncertainties. Note that the fluctuation range of business revenue is defined by standard deviation, VaR, CVaR, and the like.

  A case where the following is considered as a constraint when the objective function of Expression (1) is optimized will be described.

Current income-Current operating expenses-Current interest expense = Current income before tax (2)
Current corporate tax = max (Profit before tax × Corporate tax rate, 0) (3)
Profit before tax-Current corporate tax = Profit after tax (4)
Profit after tax for the current period ≥ Profit required for the current period (5)
Business internal rate of return ≥ lower limit required for business (6)
Return on Equity Capital ≥ Lower limit required for business (7)
Cumulative funds balance for current period ≥ amount of funds required for current period
+ Risk avoidance in the current period * Fund risk in the current period (8)
Here, the equations (2) to (4) are constraint equations that prescribe the preconditions in the business. Equation (3) assumes that the amount of corporate tax is determined by multiplying profit and the tax rate, but it can also be used in cases where the tax rate changes according to the amount of profit subject to taxation. Is possible. Expressions (5) to (8) are constraint expressions relating to business properties such as profitability and business risk, which are prescribed in advance by the business planner in the planning of the business plan. Below, the E-IRR (Equity Internal Rate of Return) is the P-IRR.
This is called (Project Internal Rate of Return). In addition, the constraint equation (8) is set in consideration of the lack of funds even when the cash flow falls during the business period. These constraints need to be formulated using variables. This method will be described later.

  FIG. 1 shows a configuration in an embodiment of the present invention. As a business to be explained in the embodiment, it is assumed that an organization such as a national government or a local government contracts for providing services such as facility maintenance, operation, and maintenance, and receives compensation for the service provision. In receiving service consideration, the consideration is received once for each unit of period over the implementation period of the project.

  The business risk management apparatus includes parameter input means (database) 101, objective function setting means 102, constraint condition setting means 103, optimal business price deriving means 104, and financial index display means 105.

  The parameter input means 101 and the basic parameter input means 101-1 and the business property parameter input means 101-2 for inputting a threshold that the business planner considers for business profitability and cash flow indicators such as IRR and DSCR. And environmental parameter input means 101-3 determined by the external environment such as interest rate or tax rate.

  The basic parameter input means 101-1 inputs data that affects the business profit and funds balance. FIG. 2 shows an example of data. FIG. 2 relates to the profit and loss statement describing the business revenue plan for each item and each fiscal year. From the business revenue structure, it can be seen that the operation preparation period and the operation period are 2 years and 10 years, respectively. In addition, the service purchase fee column is displayed as a blank, which indicates that the value is determined according to this value when the business planner determines the price of the business to be determined. Specifically, it is a value obtained by dividing the price of the business by the number of years of the operation period. In addition, items such as operating profit, pre-tax profit, corporate tax, and post-tax profit are determined after the planned value of the service purchase fee is determined, so the planned values of these items are also displayed in blanks.

  In the business parameter input means 101-2, data related to conditions regarding business property and cash flow that the business planner should satisfy at the minimum is input. FIG. 3 shows an example of data.

  In the environmental parameter input means 101-3, parameters that are determined externally such as an interest rate or a tax rate and that are considered to affect the business balance are input. FIG. 4 shows an example of data.

  The objective function setting unit 102 sets an objective function that the business planner wants to optimize.

Objective function = business price + λ * business risk (1)
As shown in FIG. 5, the business risk is defined by standard deviation of business revenue, α% -VaR (hereinafter, assumed to be α = 95), α% -CVaR, etc. A method is conceivable. FIGS. 5 (1), (2), and (3) are conceptual diagrams of three types of business profit risk. 95% -VaR means a value that estimates the worst case revenue that can occur with a probability of (100-95)%, and 95% -CVaR means the worst that can occur with a probability of (100-95)%. Means an estimated average value of case revenue.

  The constraint condition setting unit 103 formulates constraints to be considered by the business planner based on the parameters input by the parameter input unit 101. FIG. 6 and FIG. 7 show examples of constraint expressions and lists of constants and variables used when formulating the constraint expressions, respectively.

  The optimum business price deriving unit 104 obtains the price of a business that can optimize the objective function formulated by the objective function setting unit 102 based on the constraint equation set by the constraint condition setting unit 103. Specifically, a desired solution is derived by mathematical programming such as linear programming or nonlinear programming.

The financial index display means 105 outputs details of the business plan, financial indices, etc. at the business price derived by the optimum business price deriving means 104. FIG. 8 and FIG. 9 show examples of the profit and loss statement and the cash flow plan prepared based on the business price and the derived business price. It can be seen from the profit and loss statement in FIG. 8 that the price of the business derived by the optimum business price deriving means was 136,793 [M ¥]. Further, FIG. 9 shows that the amount of capital to be prepared when the business planner conducts the business is 3,044 [M ¥]. Next, FIG. 10 shows an output example of the simulation result of the balance plan under the optimum business price. The result shown in FIG. 10 means the profit distribution of NPV (assuming a capital cost of 6%) when the Monte Carlo simulation is tried 10,000 times.

  FIG. 11 shows an example of the system configuration of the business risk management apparatus according to the present invention. A computer device for calculating the optimal business price, capital, and borrowing for the business planner and presenting it to the business planner is constituted by a personal computer. In order to obtain an optimal business plan, a database that stores parameters related to business revenue is required, and an application for performing simulations based on these databases and displaying the simulation results to the business planner (customer) Software is necessary.

  In FIG. 11, a plurality of customer computers are connected to a computer network 1101. The server is installed with an application for constructing the above database, and stores three databases 1102, 1103, 1104 connected to the server. Here, the three databases store data on basic parameters, business parameters, and environmental parameters, respectively.

  In the central processing unit 1105, application software for calculating the optimum business price, capital and borrowing and a program for displaying the simulation results to the user are installed, and data input from three databases. Based on the above, we will conduct a simulation to calculate the optimal business price. Data relating to the business plan reflecting the optimum business price, capital, borrowing, etc. calculated in the central processing unit 1105 is transferred to the client computer 1106 on the customer side via the computer network.

  The client computer on the customer side receives information on the optimum business plan calculated by the computer on the server side, and displays the price of the optimum business. In the client computer, an application program for displaying an optimal business price and an application program for inputting data related to an optimization guideline for a customer need only be installed.

  Thus, by constructing the system configuration of the business risk management apparatus of the present invention, it becomes possible to formulate an optimal business plan for the business planner.

  According to the business risk management method and apparatus of the present invention, it is possible to efficiently implement a business plan so that the business planner optimizes the utility. In particular, the method according to the present invention is more efficient even in the case of including constraints relating to business properties, which are nonlinear constraints. It should be noted that the business planner needs to apply mathematical programming many times because the parameters that affect business profits are not necessarily fixed values but estimated values. For this reason, by using the present invention, the effect of shortening the time when making a business plan considering business risks is tremendous.

The block diagram which shows the structure of the business risk management apparatus of this invention. Explanatory drawing of the data format input into a basic database. Explanatory drawing of the data format input into a restrictions database. Explanatory drawing of the data format input into an environment database. Explanatory drawing which shows the definition of risk of business profit. Explanatory drawing which shows an example of the formulation to the constraint formula in the constraint condition setting means of the business risk management method of this invention. Explanatory drawing which shows the constant and variable used in the case of the formulation to the constraint formula in the constraint condition setting means of the business risk management method of this invention. Explanatory drawing which shows the table relevant to a profit and loss statement in the financial statement in the optimal solution derived | led-out by the financial index display means of the business risk management method of this invention. Explanatory drawing which shows the table | surface relevant to a cash balance statement in the financial statement in the optimal solution derived | led-out by the financial index display means of the business risk management method of this invention. Explanatory drawing which shows the simulation result in the optimal solution derived | led-out by the financial index display means of the business risk management method of this invention. The block diagram which shows an example of the system of the business risk management apparatus of this invention.

Explanation of symbols

DESCRIPTION OF SYMBOLS 101 ... Parameter input means, 102 ... Objective function setting means, 103 ... Restriction condition setting means, 104 ... Optimal business price deriving means, 105 ... Financial index display means

Claims (12)

In a business risk management device that determines the price of a business so that the objective function composed of the business risk and the business risk that affects the business profit is an appropriate value,
Parameter input means for inputting basic parameters composed of items related to business profits and balance, business parameters set by the business planner, and environmental parameters determined by the external environment,
An objective function setting means for setting an objective function for setting the utility of the business planner to an appropriate value;
Constraint condition setting means for setting a constraint condition based on the parameters input in the parameter input means;
Appropriate business price for deriving the business price, the expected value of business profit, or the business profit to increase the objective function set in the objective function setting means based on the constraint conditions set in the constraint condition setting means Deriving means;
A business risk management apparatus, comprising: financial index display means for outputting parameters related to a business balance based on the business price derived by the appropriate business price deriving means.   2. The business risk management apparatus according to claim 1, wherein the business property parameter is a threshold value related to business profitability, and the environmental parameter is a parameter determined by an interest rate or a tax rate.   The basic parameters input in the parameter input means according to claim 1 are the planned value of revenue due to consideration for sales of products and the provision of services, the planned value of expenditures such as operating expenses generated when conducting business, the revenue and expenditure A business risk management device comprising at least one of the planned values of tax expenditures generated within the profit range represented by the difference between the two.   2. The business risk management apparatus according to claim 1, wherein the business property parameter input by the parameter input means is constituted by a business planner's set value related to a business related index or a parameter related to an allowable area.   5. The business risk management apparatus according to claim 4, wherein the setting value of the business planer regarding the business-related index is a margin of cash flow or business profitability.   2. The business risk management apparatus according to claim 1, wherein the environmental parameter input by the parameter input means is constituted by an interest rate or a corporate tax rate.   The objective function for setting the utility of the business planner to an appropriate value based on the parameters input in the parameter input means in the objective function setting means as the business price or the business price. And a business risk management device that is set according to the risk expressed by the fluctuation range of the profit of the business.   2. The business risk management apparatus according to claim 1, wherein the constraint condition is set by a value set by a business planner or an allowable area based on the parameter input by the parameter input unit. .   2. The constraint condition setting unit according to claim 1, wherein the constraint condition setting unit sets a constraint condition based on a value set by a business planner or an allowable area based on the parameter input by the parameter input unit, and the objective function setting unit sets the parameter input. Based on the parameters entered in the means, the objective function to set the utility of the business planner to an appropriate value is set according to the risk represented by the price of the business or the fluctuation range of the business price and the profit of the business. The appropriate business price deriving means derives the price of the business that makes the objective function set by the objective function setting means an appropriate value under the constraint conditions set by the constraint condition setting means. Business risk management device.   10. The business risk management device according to claim 9, wherein the financial index display means displays the business price, the expected value of business profit, or the business profit derived by the appropriate business price deriving means. In the business risk management method that determines the price of a business so that the objective function composed of the business revenue and the business risk that affects the business revenue is an appropriate value,
A parameter input procedure for inputting basic parameters composed of items related to business revenue and balance, business parameters set by the business planner, and environmental parameters determined by the external environment;
An objective function setting procedure for setting an objective function for setting the utility of the business planner to an appropriate value;
A constraint condition setting procedure for setting a constraint condition based on the parameters input in the parameter input procedure;
Appropriate business price for deriving the business price, business profit expectation value, or business profit to increase the objective function set in the above objective function setting procedure under the constraint conditions set in the above constraint condition setting procedure Derivation procedure;
A business risk management method comprising: a financial index display procedure for outputting parameters related to a business balance based on the business price derived in the appropriate business price derivation procedure. Appropriate parameter input means to input basic parameters consisting of items related to business profits and balances, business parameters set by the business planner, and environmental parameters determined by the external environment, and the utility of the business planner Objective function setting means for setting an objective function for obtaining a correct value,
The constraint condition setting means for setting the constraint condition based on the parameter input in the parameter input means, the objective function set in the objective function setting means, under the constraint condition set in the constraint condition setting means, The price of the business to be increased, the expected value of the business revenue or the appropriate business price deriving means for deriving the business profit, and the parameters related to the business balance based on the price of the business derived by the appropriate business price deriving means Business risk management program to function as a financial indicator display means to output.

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