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½Ç¹°¿É¼ÇÀ» ÀÌ¿ëÇÑ IT ÅõÀÚ°¡Ä¡ Æò°¡ : °³º°À§ÇèÀÇ µ¿Àû º¯È­¸¦ °í·ÁÇÑ ¸ðÇüÀÇ Àû¿ë

  • ¹Ú¹üÁ¶ ´Ü±¹´ëÇб³ »ó°æÇкΠ°æÁ¦ÇÐÀü°ø
¼øÇöÀç°¡Ä¡¹ý(NPV)°ú °°Àº ±âÁ¸ÀÇ ÅõÀÚ°¡Ä¡ Æò°¡ ¹æ¹ý·ÐÀ¸·Î´Â ºÒ°¡¿ªÀûÀÎ ¸·´ëÇÑ Ãʱâ ÅõÀÚºñ¿ë°ú ¹Ì·¡ Çö±ÝÈ帧ÀÇ ºÒÈ®½Ç¼ºÀÌ Á¸ÀçÇÏ´Â IT ÅõÀÚ°¡Ä¡¸¦ °ú¼Ò Æò°¡Çϱ⠶§¹®¿¡ ÅõÀÚÈ°µ¿ °úÁ¤ÀÇ À¯¿¬¼º(flexibility)À» °í·ÁÇÒ ¼ö ÀÖ´Â µ¿Àû ±â¹ýÀÎ ½Ç¹°¿É¼Ç(real option)¿¡ ´ëÇÑ ¿¬±¸°¡ ÃÖ±Ù È°¹ßÈ÷ ÁøÇàµÇ°í ÀÖ´Ù. ±×·¯³ª ½Ç¹°¿É¼ÇÀ» ÀÌ¿ëÇÑ ±âÁ¸ ¿¬±¸´Â ÅõÀÚÀÚ°¡ À§Çè Á߸³ÀûÀ̶ó´Â ºñÇö½ÇÀû °¡Á¤¿¡ ±Ù°ÅÇÏ´Â ºí·¢-¼ñÁî(Black-Scholes) °ø½ÄÀ̳ª Æ®¸® ¸ðÇü(tree model)À» ÀÀ¿ëÇÒ »Ó¸¸ ¾Æ´Ï¶ó ÅõÀÚÀ§ÇèÀÌ ½Ã°£ÀÇ È帧¿¡ µû¶ó µ¿ÀûÀ¸·Î º¯È­ÇÑ´Ù´Â »ç½Çµµ ¹Ý¿µÇÏÁö ¸øÇÔÀ¸·Î½á ¿É¼Ç°¡Ä¡¸¦ Á¤È®ÇÏ°Ô Æò°¡ÇÒ ¼ö ¾ø´Â ÇѰ踦 °®´Â´Ù.µû¶ó¼­ º» ³í¹®Àº IT ÅõÀÚ ÇÁ·ÎÁ§Æ®ÀÇ °³º° À§Ç輺°ú µ¿Àû º¯È­¸¦ °í·ÁÇÏ¿© ÅõÀÚÀÚº»ÀÇ ±âȸºñ¿ëÀ» ½Ã°£ÀÇ È帧¿¡ µû¶ó Á¶Á¤ÇÔÀ¸·Î½á ¿É¼Ç°¡Ä¡¸¦ º¸´Ù Á¤È®ÇÏ°Ô Æò°¡ÇÒ ¼ö ÀÖµµ·Ï Çö±ÝÈ帧ÀÇ ÇöÀç°¡Ä¡¿Í À§Çè·üÀ» ¿ä¼Ò·Î ÇÏ´Â ¿¬¼Ó½Ã°£ 2¿ä¼Ò ¸ðÇüÀ» °³¹ßÇÏ°í, ÀÌ ¸ðÇüÀ» ÃßÁ¤Çϱâ À§ÇØ Longstaff and Schwartz(2001)°¡ ±ÝÀ¶¿É¼Ç°¡Ä¡¸¦ Æò°¡Çϱâ À§ÇØ Á¦¾ÈÇÏ¿´´ø ÃÖ¼ÒÁ¦°ö ¸óÅ×Ä®·Î(LSMC) ½Ã¹Ä·¹ÀÌ¼Ç ±â¹ýÀ» Àû¿ëÇÑ´Ù. ÀÌ ¸ðÇüÀ» Taudes, et al.(2000)ÀÇ ¼ÒÇÁÆ®¿þ¾î Ç÷§Æû ÅõÀÚ°áÁ¤ »ç·Ê¿¡ ÀÀ¿ëÇÏ¿© ÅõÀÚ ºÒÈ®½Ç¼ºÀÇ Áõ°¡´Â ¿É¼Ç°¡Ä¡¸¦ Áõ°¡½ÃÅ°Áö¸¸ ÅõÀÚ ºÒÈ®½Ç¼º¿¡ µû¸¥ À§Ç輺À» ¹Ý¿µÇÒ °æ¿ì ¿É¼Ç°¡Ä¡´Â »ó´ëÀûÀ¸·Î Ãà¼ÒµÈ´Ù´Â ±âº»ÀÌ·ÐÀ» ½ÇÁõÀûÀ¸·Î ÀÔÁõÇÏ¿´´Ù
IT ÅõÀÚ°¡Ä¡ Æò°¡,½Ç¹°¿É¼Ç (real option),¼øÇöÀç°¡Ä¡¹ý (NPV),ºí·¢-¼ñÁî (Black-Scholes) ¸ðÇü,ÃÖ ¼ÒÁ¦°ö ¸óÅ×Ä®·Î (LSMC) ½Ã¹Ä·¹À̼Ç,¿¬¼Ó½Ã°£ 2¿ä¼Ò ¸ðÇü,ÅõÀÚ À§Ç輺

Valuing IT Investment Using Real Options : Application of Two-Factor Model for Dynamic Changes of Individual Risks

  • Beum-Jo Park
Traditional methods for project evaluation, like the net present value (NPV), the internal rate of return (IRR), and the tree models, are inadequate because they underestimate IT investment projects that require huge initial cost and have high uncertainty of future cash flows and a high upside potential. Thus, lately IT project evaluation using real options has been an important subject of much research. However, most research related to valuation of IT investment projects as real options has been limited to the application of Black-Scholes formula or tree models under the assumption of risk-neutral investor. This paper develops a continuous two-factor (present value of cash flow and risk rates) model to take into account individual risks and their dynamic changes. To estimate the model the paper adopts least squares Monte Carlo (LSMC) simulation method presented by Longstaff and Schwartz (2001).The empirical study applying the model to the case of software platform investment (Taudes, et al., 2000) shows that the increase of uncertainty has conflicting effects on the option values. That is, while the uncertainty increases the option values, it gives rise to risk causing relatively slight reduction of the option values. The paper provides IT managers with the appropriate real option model to assist evaluating and justifying IT investment.