财务管理-企业财务规划最佳化模型.ppt

Integration of Financial and Physical Supply Chains,Jeremy F.Shapiro莫明鳳2003/4/29,2003/4/29,2,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,3,Introduction,Purpose of integrationImprove the firms financial performance.Strategic supply chain planning.Holistically optimize,not individually.Complex for MNC.Goal of this chapterExamine optimization models.,2003/4/29,4,Optimization Models for Corporate Financial Planning,Financial decision:strategic,tactical,operational.Modeling the Balance Sheet.Numerical Example of an Optimization Model for Corporate Financial Planning.Model and Methodological Extensions.,2003/4/29,5,9.1 Modeling Balance Sheet-1,CA+FA-CL-L-E=0 資產-負債-股東權益=0=change during a year.E(t)=PR(t)-D(t)股東權益=稅後利潤-股東紅利PR(t)=(1-r)(EBIT(t)-iL(t)稅後利潤=(1-稅率)*(稅前盈餘-長期負債*利率)r=稅率,i=利息CA(t)+FA(t)-CL(t)-L(t)-(1-r)(EBIT(t)-iL(t)+D(t)=0,2003/4/29,6,9.1 Modeling Balance Sheet-2,Funds flowsCA(t)-L(t)+(1-r)iL(t)=-FA(t)+CL(t)+(1-r)EBIT(t)+D(t)Left:under control of financial plannersRight:outside their controlDecision variableDebt-to-equity constraintL(t)=SiL(t)S=5Minimum working capital constraintCA(t)=WCL(t)W=2,股東權益=長期負債,稅前利潤=5*長期負債,流動資產=2*短期負債,2003/4/29,7,9.1 Numerical Example-1,Ajax Computer Corporation.GoalMaximize weekly revenue from sales of these computers.3-year strategy and new product(lambda).Detail of investment options and constraints1st year:design,identify suppliers,acquire equipments.Expand production capacity.Expand equipment.,2003/4/29,8,9.1 Numerical Example-2,Detail of investment options and constraintsEBIT=gross revenue marketing and overhead costs.Maximize the companys equity at the end of 3 years.Table 9.1 Optimization Model7C 7G 財務變數初始值8C 8G 第一年的改變值C8=G8-D8+E8+F8D8=K8+F8E8=50F8=0G8=I9-J8,2003/4/29,9,9.1 Numerical Example-3,Table 9.1 Optimization ModelH8=C20*C21+D20*D21+E20*E21 3000I9=0.65*(H8-0.1*F9)L9=G9 F9(M9)H17=6240+C30(C31)I30=C29*C30+D29*D30+E29*E30+F30 G30 H30I38=0.9*H18+E49,EBIT=gross revenue fixes marketing and overhead cost,PR=(1-r)(EBIT iL),L=E,A-line=base+expansion,Net Capital=gross capital 負債,2nd 組裝產能=資產折舊率*1st組裝產能+2nd擴張產能,2003/4/29,10,9.1 Numerical Example-4,Base Case1st yearBeta&Gamma fall far below UB.(D21,D25/E21,E25)PR increase equity and CA.2nd yearLambda開始販賣.PR increase.(I column)Gamma fall below UB.(E40,E44)3rd year4 products attain maximal sales.Expansion Case,2003/4/29,11,9.1 Numerical Example-5,Base CaseExpansion Case 1 2nd、3rd year:1 million for lambda marketing.Increase demand by 50%.Equity over 300 thousand.Expansion Case 2Re-optimize:maximize the discounted sum of PR.Discount rate:80%Solution is almost identical to the base case.Expansion Case 3Lambda computer development was dropped.Poorer financial performance.,2003/4/29,12,9.1 Model and Methodological Extensions,Model extension5 categories should be refined to describe various subcategories.Increase equity by issuing new shares.Explicitly incorporate marketing and sales options.Methodological extensionLP MIPMultiobjective solutionStochastic programmingCombined w/managerial judgment,institutional knowledge,2003/4/29,13,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,14,Financial Planning Issues Facing the Multinational Corporation,GoalMaximize the sum of PR.Recognize a range of costs and constraints associated w/cash flow and profits.Wider and deeper range of risks than a national corporation.Few realistic model implement.,2003/4/29,15,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,16,A Network Illustration-1,Figure 9.1 p.404Integration of the physical and financial supply chains of a MNC.Parent company in country A.Subsidiary in country B.SubnetworkCash management networks.Intersubsidiary financial network.Physical supply chain network.,2003/4/29,17,A Network Illustration-2,Cash flow into A1 v.s A2Cash flow out of A1Objective functionMaximize the discounted sum of net cash flows into the cash balance nodes of the parent and the subsidiary at the end of the two period.Optimization is a complex and multiobjective process for MNC.Parent companysubsidiary,2003/4/29,18,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,19,Financial Flows Model,FFM:Worldwide Pharmaceuticals.3 types informationProduction informationFinancial informationTax informationStatement of the FFMFFM Results,2003/4/29,20,9.4 Statement of FFM-1,FFM:financial and logistic constraints and variables over a multi-period horizon.ConstraintsVariables:track financial performance and supply chain activities.WPC10 distinct legal and taxable entitiesProduction distribution network,USD,A,B,C,D,E,F,2003/4/29,21,9.4 Statement of FFM-2,WPC10 distinct legal and taxable entitiesRoyalty networkT:trademarkP:patent&know-howDividend network,USH,B,C,D,E,F,A,2003/4/29,22,9.4 Statement of FFM-3,Features of 5 related numerical modelsMinimal local tax payments for B,E,A,USD.Constraints on earnings,equity,cash distribution.Constant UB on equity.LB on equity.Minimum dividend&royalty:50%of net revenue.Either borrower or lender.Stockpile active ingredient current needs.Objective functionMaximize the net present value of earnings(利潤的淨現值)in each period of planning horizon in all entities.,2003/4/29,23,9.4 FFM Results-1,Table 9.2 partial summaryFirst 3 runs對國外entities,保留盈餘的限制對目標函數影響不大Secondary objectiveTable 9.3:breakdown of earning from run 3Run 4Reduce the initial inventory of excess tax credits.Pronounced effort:dividend paid for USH.Run 5Non-US entities can receive primary component form the USD rather than B.The model pinpoints the magnitude of the increase.,2003/4/29,24,9.4 FFM Results-2,Table 9.4 All borrowing by entities for run 4 and contrasts these amounts with the dividends paid.Table 9.5保留盈餘限制的影子價格反應出目標函數下降利用其減少的部分轉換成sovereign risk factors.Sovereign risk factor:sacrifice 30 cents of each dollar.SRF were inconsistent w/constraints on retained earning.Methodological extension:multiplier selection techniques.,2003/4/29,25,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,26,Modeling Exchange Rate Risks-1,Discuss area of uncertainty and risks faced by MNCsPresent modeling approaches that explicitly identify hedging strategies for mitigating risk.以財務觀點來抗衡外匯率風險以實際供應鏈角度來緩和全球風險(Section 9.6)One approach is purely financial.Options and futures 選擇權與期貨Another approach is physical supply chain strategy.,2003/4/29,27,Modeling Exchange Rate Risks-2,Financial hedgingCall option:right,buy an asset at strike price.Put option:right,sell an asset at strike price.European option at the maturity date.American option up to and including the maturity date.ExampleA MNC has a US parent.Forecast PR in Germany will equal 100 M DM.The revenue will repatriated to the US parent on Oct 31.Less confident about.66 US$per DM next Oct 31.,2003/4/29,28,Modeling Exchange Rate Risks-3,Financial hedgingExampleProbability tree.Attain after-tax receipts from Germany at least US$60M.,2003/4/29,29,Modeling Exchange Rate Risks-4,Financial hedgingExampleBuy a European Put Option:sell 100M DM next Oct 31 at strike price.606 US$per DM.The premium for the option is US$0.6M.Finished in the money&finished out of the money.,Insured Revenues,uninsured Revenues,2003/4/29,30,Modeling Exchange Rate Risks-5,Financial hedgingExampleRisk neutral 風險中立66=76*.12+70*.20+66*.36+62*.20+56*.12Risk averse 風險反對65.952=76*.12+70*.20+66*.36+62*.20+60.6*.12 0.6,2003/4/29,31,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,32,Real Options for Hedging Risks in the Global Economy-1,Change radically and continue to do.Major source of uncertainty faced by a MNC.Product price and demandCommodity price and supplyForeign exchange etc.Current research aimed at developing tools to control risks.Cultural barriers&apply options.,2003/4/29,33,Real Options for Hedging Risks in the Global Economy-2,Stochastic programmingReal options Wait/postponeExpandContractExitSwitchImproveTechnical issues for successful applicationProbabilistic descriptions of important financial and supply chain uncertainty can be very complex.Address only a finite number of scenarios of the future.Dive new method for incorporating financial options in stochastic programming.,2003/4/29,34,Agenda,IntroductionOptimization Models for Corporate Financial Planning 企業財務規劃最佳化模型Financial Planning Issues Facing the Multinational Corporation 多國企業的財務規劃問題A Network Illustration Financial Flows ModelModeling Exchange Rate RisksReal Options for Hedging Risks in the Global EconomyFinal Thoughts,2003/4/29,35,Final Thoughts,Realistic optimization models for corporate financial planning,which include linkages to supply chain models.Multiobjective optimization modelBalance Scorecard.Capability of optimization models to holistically capture supply chain,marketing,and financial planning within the firm.4 areas.,