PHANTfCH RUI ROTAI CHINH DUAN DAUTU CANG BIEN KHU VUC PHfA NAM VIET NAM
LiAi Tnfdng Van Tran Dinh Thanh Tung
ABSTRACT
This paper presents analyzing financial risks ofthe port investment project. IVIonte-Carlo simulation was applied to analyze financial risks of Phuoc An port project. The results indicate that there are 2 groups of varables affecting to financial criteria ofthe project: the amount of goods and tonnage. Project parties can used these result to resolve financial risks of port investment projects in South Vietnam as well as to mitigate negative impacts of those risks.
TSLiAiTnrdngVan Tri/dng Khoa xay di/ng & Dien TrLfdngeaihocMoiTRHCIVl Di dong: 0972016505
Email: luutruongvan(S)gmail.com
KS Tran Dinh Thanh Tung Cong tytiT van Portcoast Didpng:0984337127
Email: [email protected]
1. Dat van de
Vdi xu the van chuyen hang hda bang dudng bien ngay cang phat trien manh tren the gidi, Viet Nam cd dudng bd bien dai thuan loi phat trien nganh van tai bien. De dap Ung nhu cau tie'p nhan, trao ddi va van chuyen hang hda, viec xay dung cang bien la dieu can thiet. Vi vay, nhieu du an cang bien dang ducrc quy hoach, dau tu xay dUng, nhat la tai khu vUc phia Nam.
Kinh phi dau tUxay dung cang bien la rat Idn nen viec danh gia riii ro tai chinh ciia du an se giup chu dau tu du an tranh nguy ca thua Id va dem lai thanh cdng chodUan.
Bai bao nay trinh bay cac ket qua cua viec phan tich rui ro tai chinh cua du an dau tu cang bien khu vUc phia Nam. Md phdng Monte-Carlo duoc chon de thuc hien phan tich cac riii ro tai chinh dUan.
2. Cac nghien cuTu trudc day co lien quan den rui ro tai chinh dU an dau tU xay dUng
Cd rat nhieu nghien cUu tren the gidi len quan den rui rotai chinh dUan dau tUxay dUng.
Nguyen va cdng sU (2004) da ap dung md phdng Monte Carlo de phan tich rui ro chi phi cua duan xay dung trong giai doan thi cdng tai Viet Nam (VN). Ket qua nghien cUu giup nha thau Udc luong mUc dao ddng chi phi (gia vdn) de dUa ra quye't djnh dau thau. Le (2007) da ap dung md phdng Monte Carlo de phan tich rui ro tai chinh duan khu cdng nghiep, cu the la khu cdng nghiep Cai Mep, tinh Ba Ria - Vung Tau. Tac gia da xac djnh cac nhan td rui ro la: gia cho thue lai dat, tien dp cho thue dat, phuong thUc thanh toan va lai sua't ngan hang. Nguyen (2007) da ap dung md phdng Monter Carlo de chi ra bien thay ddi lUu luong xe anh hudng Idn den cac chi tieu tai chinh va thdi gian nhuong quyen khai thac du an. Nguyen (2009) da ap dung md phdng Monter Carlo de phan tich riii ro tai chinh du an bat dpng sandu Ijch.TUdd, dUa racac bien phap Ung phd vdi riii ro va kien nghj cac ben tham gia du an de giam thieu rui ro cho tai chinh du an.
Strong va cdng sU (2009) da dUa ra mdt sd Uu diem md phdng Monte Carlo de danh gia riii ro
tai chinh. Nguyen (2008) da sif dung bang cau hdi va phan tich nhan td de xac djnh chat lUOng djch vu cang bien tai khu vUc thanh phd Ho Chi Minh. Ket qua phan tich hdi quy tuyen tinh da chira ranged hai thanh phan nang lUc quan lyva phuc vu; ngudn lUc la cd mdi quan he tuyen tinh vdi sU hai Idng, thda man cua khach hang. Desai (2005) da xac djnh cac nhdm riii ro chinh trong dau tu va quan ly cang, gdm cd: rui ro tai chinh (Financial risk), riii ro xay dung (Construction risk), rui ro tien te (Monetary risk), rui ro quoc gia (Country risk), rui ro xa hdi (Social risk), riii ro thuong mai (Commercial risk), rui ro hoat dpng (Operating risk), rui ro mdi trUdng (Environment risk)
3. Quy trinh thUc hien cac bUdc mo phong IVIonte-Carlo
Nghien cUu nay ke thUa cac budc thuc hien md phdng Monte-Carlo trong cac nghien cUu da duoc cdng bd. Quy trinh nay gdm cac bUdc sau:
a) Thiet lap md hinh bang tinh: thiet lap bang hieu qua tai chinh cua du an cu the tren Excel.
b) Xac djnh cac bien rui ro:
- DUa vao cac bien rui ro djnh luong sau khi duoc xep hang rui ro va phan tich dp nhay de danh gia mUc dp anh hudng ciia nd den tai chinh du an. NhUng bien riii ro nao cd anh hUdng Idn den tai chinh cua duan se duoc chpn de dUa vac phan tich.
- Xac djnh ham phan phdi cua cac bien riii ro:
-I-Trudng hop bien cd dii sd lieu qua khU, ta sif dung cdng cu Batch Fit trong Crystal Ball de xac djnh ham phan phdi xac suat. Ddng thdi, diia vao cac kiem djnh nhu Chi-Square... de danh gia sU phu hpp cac ham phan phdi.
-I- Trudng hpp bien khdng cd dii dU lieu qua khU, ta dua vao nghien cUu cua cac bai bao, luan van trudc day hoac tham khao y kien chuyen gia de de xuat ham phan phdi phu hop.
c) Xac djnh bien ket qua: dUa vao cac chi tieu can phan tich de xac djnh bien ket qua. Trong luan van nay, hai bien ket qua duoc sif dung la NPVvalRR.
d) Thiet lap cac thdng sd chay md phong:
8 6 ^ n n i E i m i 07.2011
B^ng 1.Tdng mUc dau tUciia d u a n C i n g Phudc An STT
A B C D E F G H 1 J K
H?ng mgc CHI PHlXD KHU CANG o a O N G VAO GANG
KHU DICH VU HAU CAN CANG HATANGKYTHUAT
CHI PH( NAO VET C H I P H l T H l f T B !
CHI PHI THUE DAT VA DEN BU CHI PH( QUAN Lt D U A N
CHIPHITUVAN CHIPHIKHAC CHIPHIDUPHONG
T 6 N G M U ' C D A U T U
1000VND 6,180,913,857 1,566,773,643 2,763,992,195 642,431,680 293,870,026 5,119,299,021
473,510,925 114,723,320 302,545,476 203,901,566 1,766,196,171 20,839,980,069
USD 332,307,197
84,235,142 148,601,731 34,539,338 15,799,464 275,231,130
25,457,577 6,167,920 16,265,886 10,962,450 94,956,783 1,120,429,036
Bang 2. Cac chi tieu tai chinh cua d u an Cang Phudc An theo quan diem cua chii dau t u (Equity point of view) va theo quan diem t d n g mUc dau t u (Total investment point of view)
Cac chi tieu tai chinh theo quan diem ciia chu dau t u
NPV (ngan ddng)
IRR (%) Ty sd B/C (lan)
Thdi gian hoan vdn (nam)
2,743,327,426
19.0%
1.1 18.00
Cac chi tieu tai chinh theo quan diem cua tdng mUc dau t u NPV (ngan
ddng) IRR (%) Ty sd B/C (lan) Thdi gian hoan vdn (nam)
3,864,830,528 19.0%
1.1 18.00
Lii vay (LSD)
1Ti_ | . k S . phAi i -n.«m mA 1 Ki&n link ^ m H P Htoll
Logistic Mean
Scale 0.07
001
Andcrson-DarKng i 0.6280
P-\'a)ue 1 0.060
!
omimm 1 umn
t a M. ! • •» »• *" •" " ' "
Hinh 1. Ham phan phoi xac suat cua bien lai vay
Gia .xang dau
Ham phan phoi
Weibull
Tham so
Location Scale Shape
-2.07
16.98 5 1 :
Kiem dinh
Anderson-Darling
P-Value:
0 34
0.33
Hinh
Hinh 2. Htim phan phoi xac suat ciia bien gia xang dau
nhu so lan md phdng, dp tin cay...
e) Phan tich cac ke't qua: cac trj thdng ke, cac phan phdi xac xuat.
f) Tao cac bao cao: do thj tan suat, do thj dp nhay, d o t h j xu the...
4. Tom tSt ve d u an nghien cUu
Chu dau tU: Cdng ty Cd phan Dau khi Oau t u Khai thac cang Phudc An (PAP)
Tru sd chinh: Tda nha Tin Nghia-KCN Nhon Trach III - Tinh Id 25B - Xa Hiep Phudc - Huyen Nhon Trach-Tinh Ddng Nai.
Ten d u an: Cang PhUdc An, Tuyen dUdng ket ndi vao cang Phudc An va Khu Djch vu Hau can Cang.
5. Phan tich hieu qu^ tai chinh dU an Cang Phudc An chUa tinh den yeu td rui ro
Tdng mUc dau t u ciia d u an duoc Udc tinh nhusau (Bang 1):
Ket qua phan tich cac chi tieu tai chinh theo quan diem cua chii dau t u va quan diem tdng dau t u duoc trinh bay trong Bang 2
6. Phan ti'ch hieu qua tai chinh dU an Cang Phudc An co xet den yeu td rui ro
6.1. Cdc yeu tdrui ro
Thdng qua bang cau hdi khao sat va phong van chuyen gia, cac bien riii ro dUpc xac djnh la: cudc phi cang (cudc phi ngi dia, cudc phi ngoai), lUpng hang hda qua cang, lai vay, gia xang dau, suat chiet khau.
Tham khao y kien nhan vien lam lau nam trong linh vuc quan ly gia cUdc phi ciia cang Sai Gon, cac tac gia de xuat ham phan phdi chuan cho cac bien cUdc phi cang la phan phdi chuan (Bang 3)
Theo y kien chuyen gia co kinh nghiem trong linh vuc quy hoach va dU bao lUpng hang thi luong hang den cang phd bie'n ra la phuong an CO ban, it kha nang xay ra la phuong an tha'p va phuang an cao. Vi vay, cac tac gia de xuat ham phan phoi phii hpp cho bien dU bao lupng hang la ham phan phoi tam giac.
Qua vao dU lieu thu thap duoc sU dung cdng cu Batch Fit trong phan mem Crystal Ball de lua chon ham phan phoi phu hop cho cac bien lai vay (USD) ( H i n h l )
DUa vao d u lieu thu thap dupc sU dung cdng cu Batch Fit trong phan mem Crystal Ball de lua chpn ham phan phdi phii hpp cho cac bien gia xang dau (Hinh 2)
Tham khao cac d u an dau t u dupc lap trudc day va y kien chuyen gia thi suat chiet khau pho bien nha't la 15%, gia trj tha'p nhat la 12% va gia tri cao nhat la 20%. Odng thdi, theo Nguyen Ba Thp (2009), cac tac gia da chpn ham phan phdi tam giac cho suat chiet khau nen tac gia de xuat ham phan phoi tam giac cho bien suat chiet khau (Hinh 3)
Tuong t u n h u suat chiet khau theo quan diem chii dau tu, cac tac gia de suat ham phan phdi tam giac cho bien suat chiet khau theo quan diem tdng mUc dau t u (Hinh 4)
6.2. Ket qud phdn tich rui ro
07.2011 BWniiCill 8 7
Bang 3. Ham pha n phdi xac suat ciia cac bien gia cudc phi Cudc phi noi dja (1OOOVND)
Hang muc t i n h Ham phan phdi Tham sd Phi xep d d
Hang tdng hop O t d - t a u
Bai - t a u
Otd - bai
Normal
Normal
Normal
Mean Std.Dev
Mean Std.Dev
Mean Std.Dev
43.4 2.6 62.3
6.9 20.4
1.5 Phi lUu kho
Hang tdng hpp Kho
Bai
Normal
Normal
Mean Std.Dev
Mean Std.Dev
2.2 0.2 1.5 0.3
CUdc phi ngoai (1 OOOVND) Hang
muc tinh
Ham phan phdi
Tham sd Phi xep d d Container 20 feet
Container day B a i -
tau O t d - bai
Normal
Normal
Mean Std.Dev
Mean Std.Dev
829.6 53.6 398.1 20.2 Phi xep d d
Container 40 feet Container ddy B a i -
tau O t d - bai
Normal
Normal Mean Std.Dev
Mean Std.Dev
1264.8 89.2 535.3
21.1
Suat chiet khau
Ham phan phoi
Triangular
Tham sd Minimum 112%
Likeliest
Maximum! 20° o 15°b
Hinh
Probability
SuSchAkhfii
^^ M\ -HX M\ IS* IT\ \S\ !9\ KK
Hinh 3. Ham phan phoi xac suat cua suat chiet khau theo quan diem chu dau tii
Suat chiet khau
Ham phan phoi
Triangular
Tham so Minimum
Likeliest
Maximum 10%
14°/o
2 1 ° .
H i n h
Piobabilrty
Suit chi<l Uiiu
crk r.0% i . A 160% ieo« ^0%
Hinh 4. Ham phan phoi xac suat ciia suat chiet khau theo quan diem tong dau tu
Bieu d d phan phdi xac suat NPV:
NPV>0 la 90.5 % theo quan diem chu dau tU NPV>0 la 89.4% theo quan diem t d n g mUc
dau tu
N h u vay, d u an cd kha nang sinh Idi, it cd kha nang thua Id (Bang 4).
TU bieu d d phan tich d p nhay cd m d t sd nhan xet sau (Hinh 5, Hinh 6):
Bien rui ro suat chiet khau anh hudng Idn nhat den tai chinh cua d u an. Ngoai ra, bien
rui ro gia nhien lieu (xang, dau), lUpng hang container qua khu hau can va cang, p h i xep d d va luu kho bai (cudc p h i ngoai) cung anh hUdng Idn den tai chinh ciia d u a n .
Trong phan tich djnh tinh cho tha'y bien riii ro d u bao lUOng hang qua cang va gia cUdc phi cang anh hudng Idn de'n tai chinh dU an.
Ngoai ra, tU bieu do phan tich dp nhay cho thay la lupng hang container cd anh hudng Idn cdn lupng hang t d n g h o p anh hudng khdng dang
ke d e n tai chinh d u an, dieu d d cOng phii hop vdi xu t h e van chuyen hang hda bang container trong t u o n g lai. D d n g thdi, cUdc phi ngoai co anh hudng Idn den tai chinh d u an, cdn cUdc phi ndi anh hudng khdng dang ke, dieu do cho thay luong hang xuat nhap khau anh hudng de'n doanh t h u ciia cang hon la lupng hang npi dja.
Tuy nhien, khi dau t u dU an, chu dau tif khdng chi m o n g m u d n d u an khdng bj thua 16 ma cdn m u d n d u a n cd nhieu loi nhuan, bdi vi vdn dau t u d u an rat Idn. Vay mUc loi nhuan ma chii dau t u can dat dUOc chinh la IRR > IRRtc
=18% hay xac suat de IRR > 18% phai cang cao cang tdt. Vay d day, can dUa ra cac giai phap giam thieu rui ro de chu dau tU nhan dupc mijfc loi nhuan m o n g m u d n .
Gia nhien lieu la yeu t d khach quan, anh hudng bdi t h j trudng nen m d t sd giai phap cho yeu t d nay nhU: dau tU trang thiet bj mdi han che mua lai thiet bj cu; hpp ddng mua gia nguyen lieu tUOng lai...
Cac giai phap de lupng hang den cang va khu hau can dat duoc n h u d u bao hay dam bao cdng suat tdi da nhU thie't ke:
o Dau t u d d n g bp cac thiet bj bdc xep de dap Ung tdi da lUpng hang thdng qua cing.
o Cd chinh sach t h u hut cac chu hang, chii tau den cang.
o Ke hoach nao vet ludng dung tien do de tau cd tai trpng Idn cap cang, thdng qua do thu hut lupng hang xuat nhap khau true tiep di va den tUChau Au, Chau My.
Yeu t d anh hUdng den cudc phi ngoai chinh la luong hang xuat nhap khau thdng qua cang nen giai phap d day la t h u hut lUong hang tif cac khu cdng nghiep nhU: nang cao chat luong cac djch vu bdc dd, luu giU hang hda, cung cap djch v u van chuyen giao nhan hang tan nol (door t o door) vdi gia cUdc hpp ly..., tU do se tang doanh t h u cua cang. Neu tang gia cifdc phi ngoai de dem lpi ve tai chinh cho cang thi se anh hUdng kha nang canh tranh ciia cang
7. Ket luan
Phuong phap m d phdng Monte Carlo difOc sU d u n g cho dU an cu t h e (dU an Cang PhUdc An). Ket qua qua trinh m d phdng vdi bleu do tan suat NPV cho tha'y dU an it kha nang bj 16, va bleu d d phan tich dp nhay cho thay cac yeu t d suat chiet khau va chi p h i nhien lieu inh hudng Idn den tai chinh dU an . Odng thdi, hai ye'u t d rui ro djnh lUpng trong cac nhdm nhan t d chinh cung cd anh hUdng Idn la lUpng hang qua cang va gia cudc phi.Trong dd, lupng hang container va cUdc p h i ngoai mdi thuc sU inh hudng Idn cdn lUPng hang tdng hop va cifdc phi ndi anh hUdng khdng dang ke.
Cac bien phap Ung p h d rui ro dupc de xuat cho 4 nhdm rui ro chinh va phan bd cho cac ben t h a m gia dU an g d m : chii dau tU, tU van thiet ke, co quan cdng quyen thudc pham vi bd giao t h d n g van t i i . Ngoai ra, de d i m bio
88^B1if'^V'^^ 07.2011
FreowKv^eMf
NPV (ngin dOng)
S9i«ni«i9n<
iMwm *.mmw eooooooooo VNO
• L
i 1*1,C « * * i * o r to Vaninc* ^ « w
Sansitivily: NPV (ngin dkiiA
Kinh 5. Bleu do phan phoi xac xua't NPV va phan tich dp nhay vfli NPV (theo quan die'm CCT)
1.000 Triilt Fiwioencv View 98.922 Oafiaycd
NPV (ngin tfSng)
3.000.000.000 6.0(n.000.000 9.0«).0W0OO'
VNO 1
— Fit O u i m i • Foracasl V I I M S
• I Certart)' 89 377 ^ Infrtfv
CofWibuBon tc '/anancc '/ev*
Sensitivity NPV (ngdn A i ; ; !
- 9 0 0 * « I 0 % . » 0 % 0.0%
Hinh 6. Bieu do phan phoi xac xuat NPV va phan tfch dp nhay vdi NPV (theo quan diem tong dau tu)
Bang 4. Ket qua phan ti'ch m o phong cua NPV theo quan diem COT va quan diem tong dau t i /
Cac trj sd t h d n g ke (Statistics)
Median Mode
Standard Deviation Variance
Skew^ness Kurtosis
Coeff. of Variability Minimum Maximum Range Width Mean Std. Error
Cac gia tri d u bao (Forecast values) theo quan diem CDT
1,617,186,045
—
1,455,690,938
2,119,036,107,894,790,000 0.5788
3.11 0.8172 -2,057,190,037 8,659,288,580 10,716,478,617 4,603,299
Cac gia trj d u b a o (Forecast values) theo quan diem tdng dau tU
100,000 2,569,112,256 2,214,631,259
-
2,251,257,413
5,068,159,939,414210,000 0.7988
3.43 0.8763 -1,873,884,243 13,402,730,094
suat thu Ipi mong mudn cua chu dau t u (IRR
> IRRtc =18%), cac yeu t d riii ro djnh lupng cd anh hudng Idn de'n gia trj IRR dupc phan nhdm gdm: gia nhien lieu, lUOng hang container de'n cang, cudc phi ngoai. Nhu vay, vdi viec nhan dang, phan tich, dua ra cac bien phap Ung phd va phan bd rui ro se giup COT dUa ra ke hoach quan lyva kiem soat riii ro co hieu q u a d e t U d d dem lai lpi nhuan nhieu hon cho d u a n .
TAI LIEU THAM KHAO
1. Le Cong Hiing, "ijng Dung Mo Phong Monte-Carlo Oanh Gia Hieu Qua Tai Chinh Du An Khu Cong Nghiep" luan van thac si chuyen nganh Cong Nghe Va Quan Ly Xay Dung, trUdng dai hoc Bach Khoa Tp Ho Chi Minh, 2007.
2. Nguyen Quoc Tuan, Luu TrUiJng Van, PGS Le Kieu, "Ap dung mo phong Monte Carlo de phan tich rui ro chi phi ciia dUan xay dung trong giai doan thi cong" Tap chi xay dung, 2004.
3. Nguyen Thj Phuong Dung, "Phan tich riii rotai chinh ciia dif an B.QT" luan van thac si chuyen nganh Cong Nghe Va Quan Ly Xay Dilng, trudng dai hpc Bach Khoa Tp Ho Chi Minh, 2007.
4. Nguyen Ba Thp, "Phan tich va quan ly riii ro trong dau tU dU an Bat Dpng San Du Lich" luan van thac si chuyen nganh Cong Nghe Va Quan Ly Xay Dung, trUflng dai hgc Bach Khoa Tp Ho Chi Minh, 2009.
5. Nguyen Minh Ha, "Xac dinh mdi quan he gida chat lupng djch vu cang bien va sU thda man, hai Idng ciia khach hang tai Tp Ho Chi Minh" luan van thac si nganh Quan Tri Kinh Doanh, trudng dai hpc Kinh Te'Tp Ho Chi Minh, 2008.
6. Vaibhav Desai, "Risl( Analysis in Port Finance", Master thesis, Erasmus University Rotterdam, 2005.
7. Kim Bang Sailing & Steen Leieur, "Appraisal of airport alternatives in Greenland by the use of risk analysis and Monte Carlo simulation". Proceedings of the 2007 W/inter Simulation Conference, 2007.
