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Maden yatırımlarında risk analizi

Maden yatırımlarında risk analizi

##### Dosyalar

##### Tarih

1992

##### Yazarlar

Özgüven, Fikri

##### Süreli Yayın başlığı

##### Süreli Yayın ISSN

##### Cilt Başlığı

##### Yayınevi

Fen Bilimleri Enstitüsü

##### Özet

Riskin ölçülebildiği günümüzde risk korkulu bir tabu olmaktan risk analizleri sayesinde kurtulmuştur, Bundan dolayı bu çalışmada madencilik sektöründeki risklerin çeşitli tanımlanmıştır. Bu riskler rezerv riski, üretim riski, pazar riski, politik risk, döviz riski ve ülke riskidir. Daha sonra riskin ölçülmesini sağlayan parametreler umulan değer, standart sapma ve değişkenlik katsayısı, çarpıklık katsayıları tanımlanmıştır. Riski değerlendirme yöntemleri, riski yansıtan iskonto oranı, geri ödeme devresi, belirlilik eşdeğeri ve olasılık dağılımı yöntemleri anlatılmıştır. Milten Şirketler Topluluğu Yeniköy Açık İşletmesi üzerinde ya pılan uygulamada kârın 1 02. 00011' in altına inme şansının sadece % 5 olduğu, umulan kârın 192.500 U/ton ve bunun gerçekleşebilme olasılığının % k2 olduğu görülmüştür.

Risk analysis techniques far the evaluation of mineral project investment decisions include further delination of a mineral deposit, continuation of an exploration project, development of a neui mine capacity. Mineral project decisions concern investment for the purpose of generating a stream of future cash flows. In order to make this type of investment decision, the optimum specifications for the project must first be determined. Then, the economic justification of the investment can be eveluated based on these specifications. Mineral project investment decisions are made under conditions of uncertaurvties. Uncertaunties arise because of the deposit characteristic. Since the environmental prameters are variable, the deposit charcteristics cannot be fully examined. at the development stage environmental parameters such as market prices, operating and capital costs, goverment policy conditions are uncertain. Under conditions of this uncertainty, investment alternatives should be evaluated based on risk criteria. Risk analysis techniques translate perceived deposit and environmental uncertainties into an appropriate risk criterion. The evaluation of expected value and risk decision criteria are usually based en the discounted cash flow. In addition, to these quantifiable criteria, intangible factors must of course be considered in the decision process. 1 )- Kinds of Risk There are seven kinds of risk in mineral investment project. a)- Rezerve risk: The main problem is if the mineral reserves of sufficient quantity and quality can provide N for the projected valumes of production over the expected" life of the project. b)- Completion risk: Completion risk can vary considerably depending on the location of the project and the amount of infrastructure required. It is important because most of the customers prefer a completion guarantee before sales agreement. c)- Production risk: After completion, will the mine be able to produce projected volumes with in given cast parameters? Most of the customers want to see a production guarantee. d)- Market risk: This risk is associated with the ability of the project to maintain a sales volume and price structure to maintain expected cash flow. e)- Political risk: If the mine is in a foreign country will there be restrictions that negatively affects cash flow? What '3 the possibility of expropiat ion? f)- Foreign exchange riski That kinds of risk can aooaar only at the international projects. Will currecy rates remain stable during the project life? g)- Country riski. Country risk is the probability of that country not being able to pay its foreign debts, This risk is important because of credit consideration. 2)- Measuring of Risk Risk can be measured using the techniques described below : xi a)- Expected value, Standard Deviation and Variableness Coefficient. The most common methods of measuring the risk is to find expected value, standard deviation and varibleness coefficient of net present value, internal rate of return or profitability index of investment alternatives. \ NBD H v".P k=l k" k NBD V P n Expected net present value Each of net present value Probability of each net present value Number of value which is used to calculate expected value. When IRR is used instead of NPV, its expected value is calculated. Standard deviation of investment alternatives can be calculated following equation: S = n k=1 (V V)2. Pk S= Standard deviation Variableness coefficient is rate of this two value risk. The greater variableness coefficient, the greater Xll b)- Skewness Coefficient Skeuness coefficient gives to us knowledge about shape and type of probability distribution m. C.K = C.K = Skewness coefficient m, = The third moment S = Standard deviation The third moment is calculated from following equation, m. n ( »k - 5)3. Pk If probability distribution. Skews to right hand side, skewness coefficient is positive, skewness coefficient sings lesser risk. risk 3)- Methods of appraisment investment which have a)- Rate of Return Period This method shows return when to company to capital investment. G.O.D = G.O.D. : Rate of Return Period Y : Capital investment (TL) a : Cash flow of investment per year (11) xm The shorter rate of return period, the lesser risk b)-Risk-Adjusted Discount Rate It is very common for mining companies to raise the discount rate by a risk premium. The "premium" added to the discount rate reglects on subjective assesment of risk. If company uses NPV criteria, it becomes this form -Y n a. v + E t-r- > ° JSb (1+i+g)J g : risk discount rate c)- Determinateness Equivalent In the NPV, IRR, PI formula, lesser cash flow which is purfied from risk is used. a. = b.. â. J J J a. : Expected net cash flow. a. : Cash flow which is purfied from risk. b. : Determinateness equivalent coefficient ( O^b./l) n. y + Z__ -İ r-/0 j=o (1+i)J X d)- Probability Distribution Methods Probability distribution of NPV, IRR or PI and gives to us knowledge about risk of Investment. Decision-making is released to investor. Both xxv analytical and computer added Monte Carlo Simulation techniques can be used. k)- Usefulness of Risk Analysis There are four types of mineral investment project for which the evaluation of risk is particularly important. N a)- Marginal projects b)- Unusual Uncertainties c)- Optimization of Project Specifications d)- Exploration Projects. 5)- Selecting the "Best" Investment Alternative An investment which indicates a high expected value uill be prefered to are with lower expectations. However, in many practical cases one alternative will exhibit a higher expected value and another lower investment risk. There is not in fact an absolute "best" alternative. If depends on a lot of things (the size of the investment in the relation to size of the mining company, and the risk pre'fsrence of company).

Risk analysis techniques far the evaluation of mineral project investment decisions include further delination of a mineral deposit, continuation of an exploration project, development of a neui mine capacity. Mineral project decisions concern investment for the purpose of generating a stream of future cash flows. In order to make this type of investment decision, the optimum specifications for the project must first be determined. Then, the economic justification of the investment can be eveluated based on these specifications. Mineral project investment decisions are made under conditions of uncertaurvties. Uncertaunties arise because of the deposit characteristic. Since the environmental prameters are variable, the deposit charcteristics cannot be fully examined. at the development stage environmental parameters such as market prices, operating and capital costs, goverment policy conditions are uncertain. Under conditions of this uncertainty, investment alternatives should be evaluated based on risk criteria. Risk analysis techniques translate perceived deposit and environmental uncertainties into an appropriate risk criterion. The evaluation of expected value and risk decision criteria are usually based en the discounted cash flow. In addition, to these quantifiable criteria, intangible factors must of course be considered in the decision process. 1 )- Kinds of Risk There are seven kinds of risk in mineral investment project. a)- Rezerve risk: The main problem is if the mineral reserves of sufficient quantity and quality can provide N for the projected valumes of production over the expected" life of the project. b)- Completion risk: Completion risk can vary considerably depending on the location of the project and the amount of infrastructure required. It is important because most of the customers prefer a completion guarantee before sales agreement. c)- Production risk: After completion, will the mine be able to produce projected volumes with in given cast parameters? Most of the customers want to see a production guarantee. d)- Market risk: This risk is associated with the ability of the project to maintain a sales volume and price structure to maintain expected cash flow. e)- Political risk: If the mine is in a foreign country will there be restrictions that negatively affects cash flow? What '3 the possibility of expropiat ion? f)- Foreign exchange riski That kinds of risk can aooaar only at the international projects. Will currecy rates remain stable during the project life? g)- Country riski. Country risk is the probability of that country not being able to pay its foreign debts, This risk is important because of credit consideration. 2)- Measuring of Risk Risk can be measured using the techniques described below : xi a)- Expected value, Standard Deviation and Variableness Coefficient. The most common methods of measuring the risk is to find expected value, standard deviation and varibleness coefficient of net present value, internal rate of return or profitability index of investment alternatives. \ NBD H v".P k=l k" k NBD V P n Expected net present value Each of net present value Probability of each net present value Number of value which is used to calculate expected value. When IRR is used instead of NPV, its expected value is calculated. Standard deviation of investment alternatives can be calculated following equation: S = n k=1 (V V)2. Pk S= Standard deviation Variableness coefficient is rate of this two value risk. The greater variableness coefficient, the greater Xll b)- Skewness Coefficient Skeuness coefficient gives to us knowledge about shape and type of probability distribution m. C.K = C.K = Skewness coefficient m, = The third moment S = Standard deviation The third moment is calculated from following equation, m. n ( »k - 5)3. Pk If probability distribution. Skews to right hand side, skewness coefficient is positive, skewness coefficient sings lesser risk. risk 3)- Methods of appraisment investment which have a)- Rate of Return Period This method shows return when to company to capital investment. G.O.D = G.O.D. : Rate of Return Period Y : Capital investment (TL) a : Cash flow of investment per year (11) xm The shorter rate of return period, the lesser risk b)-Risk-Adjusted Discount Rate It is very common for mining companies to raise the discount rate by a risk premium. The "premium" added to the discount rate reglects on subjective assesment of risk. If company uses NPV criteria, it becomes this form -Y n a. v + E t-r- > ° JSb (1+i+g)J g : risk discount rate c)- Determinateness Equivalent In the NPV, IRR, PI formula, lesser cash flow which is purfied from risk is used. a. = b.. â. J J J a. : Expected net cash flow. a. : Cash flow which is purfied from risk. b. : Determinateness equivalent coefficient ( O^b./l) n. y + Z__ -İ r-/0 j=o (1+i)J X d)- Probability Distribution Methods Probability distribution of NPV, IRR or PI and gives to us knowledge about risk of Investment. Decision-making is released to investor. Both xxv analytical and computer added Monte Carlo Simulation techniques can be used. k)- Usefulness of Risk Analysis There are four types of mineral investment project for which the evaluation of risk is particularly important. N a)- Marginal projects b)- Unusual Uncertainties c)- Optimization of Project Specifications d)- Exploration Projects. 5)- Selecting the "Best" Investment Alternative An investment which indicates a high expected value uill be prefered to are with lower expectations. However, in many practical cases one alternative will exhibit a higher expected value and another lower investment risk. There is not in fact an absolute "best" alternative. If depends on a lot of things (the size of the investment in the relation to size of the mining company, and the risk pre'fsrence of company).

##### Açıklama

Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Fen Bilimleri Enstitüsü, 1992

##### Anahtar kelimeler

Maden Mühendisliği,
Madencilik yatırımları,
Risk analizi,
Mining Engineering,
Mining investments,
Risk analysis