The Application of Put Option, VaR and ETL to the Assessment and Risk Evaluation for the Case of A Taiwan Firm’s Build-Contracted Construction Project

• Main Authors: Liou, Shu-Gang, 劉叔綱
• Other Authors: Su, Min-Jiun
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/75709601395179951956

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 93 === There are two aims of this study on the build-contracted construction project : one is to use the project analysis for determining the normal time, the earliest crash completion time and the least cost crash schedule and the other is to employ the put-option for estimating the pricing, VaR, ETL and RAROC-type index. The main conclusions are the following: 1.The normal time is 276 days by applying the critical path method. The earliest crash completion time is 260 days by utilizing the linear programming, The least cost crash schedule is 268 days by exercising the time-cost trade-off relationship. 2.For employing the put-option model to measure the pricing, VaR, expected tail loss, we use the present value of the total revenue of the contract- regulated time as the strike price and the other three schedule’s present values of total costs as the underlying stock-prices. The orders of the pricing from the highest to the lowest are the normal time, the least cost crash schedule, the earliest crash completion time and the contract-regulated time. The sequences of VaR and ETL from the lowest and the highest are the earliest crash completion time, the least cost crash schedule, the normal time and the contract-regulated time. 3.The orders of RAROC-type index with simultaneously considering the economic net income and risk from the highest to the lowest are the normal time, the least cost crash schedule, the earliest crash completion time and the contract-regulated time.