固定資産の減損会計へのリアル・オプション・アプローチ

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2 NPV NPV NPV join resource NPV 1 004, ( ( 1)) 1

3 (3) IASC 1998, paras. B0, B35 probabiliy crierioneconomic crierion (1) NPV ne presen value mehod NPV () join resource 1 NPV NPV join resource NPV NPV NPV Dixi and Pindyck 1994, 6 NPV ()

4 A CCF commercializaion cash flow 6 1 ( ) 1 =7, , ,500 = % wacc weighed average cos of capial: 15% 1. CCF 6 qb T = 1 CCF T CCFj, ( 1+ r (1 r ) j, 6 c ) = 1 + c r c = 0.15 CCF PV NPV 1 DCF developmen sage cash flow CCF r d r c Kellogg and 3

5 1. CCF( 6 ) CCF T j, = 1 (1 + rc ) Breakhrough 100, Above Average 50, Average 5,000 Below Average 10, Dog 5, Charnes 000, 79 CCF wacc DCF.1 NPV A NPV ,000 0 NPV NPV max = q j 5 T j= 1 = 1 CCF j, (1 + r ) c DCF (1 + r ) d 6, 6,500 4

6 { = max (0.1 1, , , , ,33) = max = 6, ,000 + ( ) { 5,38, 6,500} 6 = (1 0.15),6,500 5,38 6,500 }. 5 1 (4) 4 () ( 5).1 NPV 3.1 =6,500 = = = ( ) 6,500 1,000 =7,500 6,500 3 Dixi and Pindyck 1994, 9 5

7 Mun 00, ,000 NPV 3 3 6, NPV NPV Copeland and Anikarov 001, -7 wacc NPV = q 1 u d 1 q 1 u 1 d 1 r u > e > d e r σ / n u e T, σ / n = d = e T, Cox, Ross and Rubinsein 1979, 49 T n sep 6

8 q da { u A, uda, d A} A 1 ua 3,q(1 q),(1 q) 3 { u { q 3 3 A, u,3q da, ud A, d 3 A} 3 (1 q),3q(1 q),(1 q) } { q 4 } sep u 3 A q 3 u A q ua q u da 3q (1 q) A uda q(1 q) da 1 q ud A 3q(1 q) A ( 1 q) d A ( 1 q) d NPV A = T = 1 CCF (1 + r j, = 1 c ) 16, NPV breakhrough 6 =100,000 breakhrough 1sep=1 1 6 l =5 =1 σ = ( 1/ l) ln( h / A) = 0.37, h h = Au Kellogg and Charnes 000, 81 u =1.441 l = Ae σl = ,034 d Copeland and Anikarov 001, 70 7

9 = 3. A 1 1 q da q Cu C B q 1 q Cd ua r C q ua + e B q u C A + B r C 1 q da + e B 1 q d Cu Cd = ( u d) S A = S + B ucd dcu, B = r ( u d) e r r e d u e = Cu + Cd e u d u d / r { pc + ( 1 p) C } e = / u 1 p d = r p 6 3 6,500 8

10 3 3 node 1 sep =515,000 6 NPV j C(5, j) = max[ Au d 5 j i 15,000,0], j = 0,1, L,5, j node =3,4 15,000 NPV 1sep p i j i j r C( i, j) = max{ Au d 15,000,[ pc( i + 1, j + 1) + (1 p) C( i + 1, j)] e,0}, j = 0,1, L, i, i node =0,1,15,000 NPV 1sep p 6,500 j i j r C( i, j) = max{ Au d 15,000,[ pc( i + 1, j + 1) + (1 p) C( i + 1, j)] e,6,500}, j = 0,1, L, i, 6 breakhrough above average average = 3 node 6 = 3 = 3 node

11 ,09 =max(9, , 6,500) 4 4 NPV 6 0 7,500 10

12 (4) join resource join resource NPV [ ] FASB para. 7 para. 3 para para. B30 11

13 Copeland, T. E., and V. Anikarov Real Opions: A Praciioners Guide. Texere 00. Cox, J. C., S. A. Ross and M. Rubinsein Opion Pricing: A Simplified Approach. Journal of Financial Economics 7 3 : Dixi, A. K., and R. S. Pindyck Invesmen Under Uncerainy, Princeon Universiy Press. Dixi, A. K., and R. S. Pindyck The Opions Approach o Capial Invesmen, Harvard Business Review May-June: Financial Accouning Sandards Board FASB Accouning for he Impairmen or Disposal of Long-Live d Asses. Saemen of Financial Accouning Sandards No FASB. Inernaional Accouning Sandards Commiee IASC Impairmen of Asses. Inernaional Accouning Sandard No. 36. IASC. Kellogg D., and J. M. Charnes. 00. Real-Opions Valuaion for a Bioechnology Company. Financial Analyss Journal 56 3 : Mun, J. 00. Real Opions Analysis: Tools and Techniques for Valuing Sraegic Invesmens and Decisions. Wiley Finance003. 1

○松本委員

○松本委員 CIRJE-J-100 2003 11 CIRJE hp://www.e.u-okyo.ac.jp/cirje/research/03research02dp_j.hml Credi Risk Modeling Approaches 2003 11 17 Absrac This aricle originaes from a speech given by he auhor in he seminar