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Modelagem da Incerteza nos Valores de Investimentos de Projetos do Setor Petrolífero

Keywords: stochastic process , CAPEX , mean reversion movement , Monte Carlo simulation , projects analysis.

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Abstract:

There is often a large gap between the planned value of investment in a project (capital expenditure [CAPEX]) and financial implementation of this. This fact creates a mismatch between the net present value (NPV) of the planned project and the outcome achieved. Depending upon the company’s project portfolio, this could even threaten its solvency. Therefore, a quantitative risk analysis that takes into account different possible scenarios for these investment values is extremely important to statistically measure the real value of a project. The aim of this paper is to present the reasons for mismatch between planned and final investment values. Although the results are valid for projects in the petrochemical and refining sector, also called downstream in the oil industry, the methodology can be applied upstream, or even to other industry branches.

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