실물옵션 의사결정나무 모델을 이용한 PF사업 가치평가에 관한 연구 = (A) study on valuation of project financing business by using real options decision tree models

국문 초록 (Abstract)

프로젝트 파이낸싱(Project Financing) 시장은 외환위기 이후 아파트 개발 관련 사업 등으로 지속적인 성장세를 보였지만, 현금흐름의 불확실성으로 인한 사업 성공의 여부에 대한 관심과 우려가 커지고 있다.
대부분의 PF사업에서 전통적인 가치평가 방법인 현금흐름할인법(DCF)을 이용하여 사업의 가치를 분석하고 있지만 시장환경 변화에 대응할 수 없는 문제점이 있다. 실물옵션가치 평가기법은 다양한 실물옵션을 이용하여 시장 환경 변화에 대응할 수 있는 가치평가기법이다. 이 기법에 투자 의사결정시 의사결정에 따른 이득과 손실을 손쉽게 비교 분석하여 투자전략을 수립할 수 있도록 하기 위해 의사결정나무기법과 접목시켜 평가해 보기로 한다.
본 연구에서는 PF개발 사업을 평가하기 위해 전통적 프로젝트 가치평가 도구인 의사결정 나무에 실물옵션 접근법을 적용한 실물옵션 의사결정나무(RODT) 모델을 적용하고자 한다. 실물옵션은 이항모형으로 의사결정나무의 가지를 생성함으로서 프로젝트의 불확실성과 포기옵션, 확장옵션, 축소옵션을 이용하여 각각의 가지를 생성하여 프로젝트의 유연성(project flexibility)을 고려한 투자의사결정을 내릴 수 있다. 위험중립확률과 각각 가지의 상승과 하락의 값을 이용하여 현재가치를 계산하여 프로젝트의 가치를 평가하고자 하며, 사례를 통하여 제안 모델을 검증한다.

다국어 초록 (Multilingual Abstract)

Project Financing business market has been growing steadily with growth of the apartment development business since financial crisis of 1998, but at the same time, concerns and issues about the success of business with the uncertainty of cash flow have been increasing.
Most of Project Financing business is analyzed by using Discounted Cash Flow. However, DCF has the limit that can't reflect the change of market circumstance. The Real Option Valuation is the valuation methods that can react to the change of market circumstance by using various real option models.
This study focuses on valuation of the Project Financing business by using decision tree method with ROV for easy analysis of loss and payoff of decision making.
The RODT is a kind of binary tree which is contained several branches with uncertainty of project, options to abandon, expand and contract. So, we can make decisions with the flexibility by extending the branches.
We will calculate the present value by using risk-neutral probability and ascending and descending values at each node, and verify the model through the case study.

목차 (Table of Contents)

• 목 차
• 초록 ································································ 1
• Ⅰ. 서론 ··························································· 2
• 1.1 연구의 배경 및 목적 ······································ 2
• 1.2 연구의 방법 및 논문의 구성 ······························ 4
• Ⅱ. 배경이론 ····················································· 5
• 2.1 프로젝트 파이낸싱의 개요 ································· 5
• (1) 프로젝트 파이낸싱의 정의 ································ 5
• (2) 부동산 프로젝트 파이낸싱 구조 및 참가자 ············ 6
• (3) 부동산 프로젝트 파이낸싱 현황 ························· 10
• 2.2 기종의 프로젝트 평가 방법론 ····························· 13
• (1) 순현재가치법(DCF) ········································ 13
• (2) 의사결정 나무 분석법(Decision Tree Analysis) ······ 15
• (3) 실물옵션가치평가 ·········································· 17
• Ⅲ. 의사결정나무 모델의 혼합적 기법 ························· 30
• 3.1 실물옵션과 의사결정나무의 순차적 적용 모델 ·········· 30
• 3.2 의사결정나무에 실물옵션 접근법을 적용한 모델 ······· 31
• 3.3 동적의사결정나무 모델 ···································· 32
• 3.4 제안모델: 실물옵션 의사결정 나무 모델(RODT) ······· 33
• (1) 실물옵션의 적용 ··········································· 33
• (2) 실물옵션 의사결정나무 생성 방법 ······················· 34
• Ⅳ. 사례분석 ······················································· 37
• 4.1 사례 개요 ····················································· 37
• 4.2 변동성 추정 ··············································· 39
• 4.3 실물옵션가치 산정 ········································· 41
• (1) 포기옵션을 적용한 의사결정 나무 ····················· 42
• (2) 포기옵션과 축소옵션을 적용한 의사결정 나무 ········ 46
• (3) 포기옵션과 확장옵션, 축소옵션을 적용한 의사결정 나무··49
• Ⅴ. 결론 ···························································· 51
• 5.1 요약 및 결론 ················································· 51
• 5.2 연구의 한계 및 향후 과제 ······························· 53
• 참고문헌 (References) ············································ 54
• 영문 논문 제출서 ··············································· 56
• 영문인준서 ························································· 57
• 영문초록 ························································· 58