Abstract
References
Information
A Monte Carlo method was developed that included mean-reverting trend of oil price to analyze a working interest of uncertain upstream business. Previous works have been considered deterministic net present value, statistical distribution, and unique price trend. They are incapable of producing proper feasible solutions according to variable price effect and fiscal term. The strategies for farming in and out are introduced by using discounted present value, rate of return, and working interest under production sharing contract. Although the project expects a large profit, the decision should be held back occasionally due to various price trend, low probability of success, small risk-adjusted value and optimum working interest. The former represents the bright side while the latter does the risk of project. The result confirms the necessity of considering both risky and unrisky evaluating values to achieve reliable decision for uncertain E&P project.
불확실성이 큰 석유개발 사업에서 유가는 경제성평가의 중요한 인자이다. 기존 경제성 평가법은 결정론적 또는 단순한 통계 확률함수와 하나의 유가변동만을 가정하였기 때문에 위험도가 큰 석유사업 경제성 평가에서 가능해 도출에는 적합하지 못하였다. 이 문제를 극복하기 위해 생산물 분배석유계약과 평균회귀 유가 예측법에 근거한 유변학적 평가모델을 개발하였다. 개발모델을 이용하여 순현가, 내부수익률을 산정할 뿐만 아니라 유가변동율, 사업성공율, 위험 감수액 등의 위험도를 위험조정가치를 통하여 고려하였다. 광권보유자의 최적지분 및 지분매입자의 최소매입지분을 통해 사업의 위험도를 평가하였다. 높은 순현가와 내부수익률을 가지는 사업이라 할지라도 유가변동, 사업 성공율에 따라 참여를 보류하거나 매입에 신중하여야 하는 경우를 확인하였다. 순현가와 내부수익률은 사업의 긍정적 평가지표인 반면, 위험도를 고려한 참여지분, 위험조정가치는 부정적면을 평가하는 기준으로 제안될 수 있다.
- Dixit, A.K. and Pindyck, R.S., 1994, Investment under Uncertainty, Princeton University Press, Princeton, NJ. Energy Information Administration: http://www.eia.doe.gov
- Higgins, J.G., 1990, “The Economics of Farm-outs,” J. Petroleum Technology, Sept., pp. 1102-1104.
- Komlosi, Z.P., 2001, “Application: Monte Carlo Simulation in Risk Evaluation of E&P Projects,” SPE 68578 presented at the SPE Hydrocarbon Economics and Evaluation Symposium, Dallas, TX, 2-3 April.
- Lima, G.A.C. and Suslick, S.B., 2005, “An Integration of Real Options and Utility Theory for Evaluation and Strategic Decision Making in Oil Development and Production Projects,” SPE 94665 presented at the SPE Hydrocarbon Economics and Evaluation Symposium, Dallas, TX, 3-5 April.
- Mackay, J.A., 1995, “Utilizing Risk Tolerance to Optimize Working Interest,” SPE 30043 presented at the SPE Hydrocarbon Economics and Evaluation Symposium, Dallas, TX, 26-28 March.
- Mian, M.A., 2002, Project Economics and Decision Analysis, PennWell, Tulsa, OK.
- Olsen, G.T., Fariyibi, F.L., Lee, W.J. and McVay, D.A., 2005, “Price Uncertainty Quantification Models Advance Project Economic Evaluations,” SPE 94610 presented at the SPE Hydrocarbon Economics and Evaluation Symposium, Dallas, TX, 3-5 April.
- Rose, P.R., 2001, Risk Analysis and Management of Petroleum Exploration Ventures, The American Association of Petroleum Geologists, Tulsa, OK.
- Sarkar, S., 2003, “The Effect of Mean Reversion on Investment under Uncertainty,” J. Economic Dynamics and Control, Vol. 28, Issue 2., pp. 377-396.
- Schiozer, R.F., Lima, G.A.C., and Suslick, S.B., 2008, “The Pitfalls of Capital Budgeting When Costs Correlate to Oil Price,” J. Canadian Petroleum Technology, Vol. 47, No. 8, pp. 57-61.
- Staber, S., 2006, “Futures-based Modeling of the Oil Price for Realistic E&P Project Valuation,” SPE 104082 presented at SPE International Oil & Gas Conference and Exhibition, Beijing, China, 5-7 December.
- Publisher :The Korean Society of Mineral and Energy Resources Engineers
- Publisher(Ko) :한국자원공학회
- Journal Title :Journal of the Korean Society for Geosystem Engineering
- Journal Title(Ko) :한국지구시스템공학회지
- Volume : 46
- No :1
- Pages :61-71
Journal of the Korean Society of Mineral and Energy Resources Engineers
