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Revista EIA

versão impressa ISSN 1794-1237
versão On-line ISSN 2463-0950

Resumo

TORO, Héctor Hernán; RIVERA, Leonardo  e  MANOTAS, Diego Fernando. FINANCIAL RISK ASSESSMENT OF DIFFERENT INVENTORY POLICIES. Rev.EIA.Esc.Ing.Antioq [online]. 2011, n.16, pp.43-60. ISSN 1794-1237.

This work addresses the valuation of economic effects of different inventory holding policies. We study the VaR over the value of a company and the variations induced on this indicator by the changes made to the working capital, related to inventory policies. Three typical different inventory systems are studied and comparisons are drawn between different policies. Policies derived from net present value (NPV) maximization are contrasted against cost minimization, as well as against arbitrary inventory policies derived from market conditions. Every inventory system under study is evaluated using two performance indicators: NPV and VaR over NPV. The inventory policies are derived in a deterministic scenario, but are tested under the risk conditions that the inventory systems have to face. This is done by using Monte Carlo simulation. In all three of the inventory systems under study, the difference between price and variable cost is what causes the greatest variation on the NPV indicator. An important result of this work is that for the cases studied, which are rather common in the real world, the optimal inventory policies obtained by using the cost minimization approach are equally good from a risk minimization perspective than those obtained by using the profit maximization approach.

Palavras-chave : investment analysis; inventory management; Monte Carlo simulation; Value at Risk.

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