Ly Thuyet Co Ban Ve CBALL PDF

Phan tch rui ro bang Crystal Ball Tran quang Trung
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GII THIEU MO PHONG BANG
CRYSTAL BALL

1. Mo phong Monte Carlo bang Crystal Ball
V du:
Ban nh mua khu nha phc hp Futura Apartments, nghien cu tnh hnh kinh doanh
cua nganh nay ban co c mot so ket qua sau:
Tien thue phong khu vc nay la 500 $ / thang
So phong cho thue moi thang nam trong khoang t 30 en 40
Chi ph hoat ong trung bnh moi thang cho toan khu nha khoang 15000$ nhng co
the thay oi mot t gia cac thang
Do tnh bat nh cua hai thong tin sau, chung ta khong the xac nh chnh xac ket qua
kinh doanh khu nha nay. Trong trng hp nay ky thuat mo phong Monte Carlo to ra
rat thch hp, mo hnh xay dng tren Excel nh sau:
Ky thuat mo phong Monte Carlo dung cac bo phat so ngau nhien trong phan mem
Crystal Ball e mo phong cac yeu to bat nh cua bai toan va a mo hnh cua bai
toan vao bang tnh Excel, t o co the tien hanh khao sat hoat ong cua mo hnh
trong nhieu chu ky kinh doanh
Trong v du tren hoat ong kinh doanh cua khu nha phc hp Futura Apartments c
mo phong ch trong may o trong bang tnh tren Excel, trong o can co cac gia thiet ve
cac yeu to bat nh va cac d bao ket qua ma ta quan tam. Sau ay chung ta se xem
cach nh ngha cac gia thiet va d bao


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2. Cach nh ngha cac gia thiet (Define Assumption)
Trong Crystal Ball ban nh ngha mot gia thiet bang cach chon mot o trong bang tnh
e cha yeu to va chon phan phoi xac suat phu hp e mo ta tnh bat nh cua yeu to
nh mo phong. Quy trnh lam c minh hoa trong hnh sau:
Chon Cell tren thanh menu
Chon Define Assumption
Chon Gallery
Chon phan phoi thch hp


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3. Cach nh ngha cac d bao (Define Forecast)
D bao la cac ket qua tnh toan ta quan tam va muon xem quy luat phan phoi cua
chung neu ta cho mo hnh hoat ong nhieu chu ky. Cach nh ngha d bao cung
tng t nh tren, gom cac bc sau:
Chon o cha ket qua tnh toan, thng la mot cong thc co lien he vi cac o cha
gia thiet
Chon Cell tren thanh menu

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Chon Define Forecast

4. Chay mo phong
Chon Run trong thanh menu
Chon Run Preferencese chon cac tham so can thiet
Chon Run


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5. Khai thac ket qua mo phong
Chung ta co the khai thac ket qua mo phong bang cac cong cu thiet ke san trong
Crystal Ball nh cac o th d bao, o th phu, o th xu hng, phan tch o nhay.
Nhng ieu nay se c minh hoa trong phan Khai thac ket qua mo phong chi tiet
phan sau


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LA CHON PHAN PHOI

1. Phan phoi eu
ieu kien
Gia tr nho nhat, min, co nh
Gia tr ln nhat, max, co nh
Moi gia tr trong khoang [min ; max] eu co kha nang xay ra nh nhau

2. Phan phoi chuan
ieu kien
Mot gia tr nao o cua bien thng xay ra nhat (trung bnh cua phan phoi)
Bien co the lay gia tr tren hay di gia tr trung bnh vi kha nang nh nhau
Bien thng lay gia tr xung quanh gia tr trung bnh

3. Phan phoi tam giac
ieu kien
Gia tr nho nhat, min, co nh
Gia tr ln nhat, max, co nh
Gia tr thng xay ra nhat, mode, nam gia min va max tao thanh dang tam
giac cho thay cac gia tr cua bien thng xay ra gan mode hn la hai au.

4. Phan phoi nh thc
ieu kien
Moi phep th ch co the co hai ket qua
Ket qua cua cac phep th oc lap
Kha nang xay ra cua cac ket qua khong thay oi theo tng phep th

5. Phan phoi Poisson
ieu kien (ri rac)
So ket qua co the xay ra trong mot n v o la vo han
So ket qua xay ra trong mot n v o khong anh hng en so ket qua xay ra
trong n v o khac
So ket qua trung bnh xay ra trong mot n v o khong thay oi (tham so Rate
cua phan phoi)

6. Phan phoi tuy bien
La cong cu giup ta co the xay dng phan phoi phu hp vi tng tnh huong ac
thu khong the mo ta bang cac phan phoi thong dung co san. e dung phan phoi
tuy bien, sau khi thc hien cac bc phan nh ngha gia thiet ta chon phan phoi
tuy bien (Custom Distribution) t Distribution Gallery

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V du 1
Mot cong ty co the s dung phan phoi tuy bien e mo ta chi ph ban le cua
mot san pham mi neu cong ty quyet nh chi ph nay co the la 5$, 8$ hay 15$
vi xac suat nh nhau. Cach lam nh sau
* anh so 5 vao hop Value roi Enter
Luc nay trong hop thoai cua phan phoi tuy bien se co ba thanh cao bang nhau
(dien ta cac xac suat bang nhau) cac v tr 5, 8, 15 tren truc hoanh. Ben phai
o th hien th tong xac suat tng oi (Total Relative Prob.) la 3. Neu chung
ta muon a ve xac suat thong thng (co tong la 1) th dung chc nang
Rescale


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V du 2
Neu cong ty nay quyet nh chi ph ban le cho san pham mi la mot gia tr nao
o trong khoang [5$ ; 8$] vi xac suat 70%, va 30% con lai se nam trong
khoang [8$ ; 15$]. Phan phoi nay se c xay dng nh sau:
* anh so 5 vao hop Value roi nhan Tab
* anh so 8 vao hop Value 2 roi nhan Tab
* anh so 0.7 vao hop Prob roi nhan Enter
* anh so 0.3 vao hop Prob roi nhan Enter

V du 3
Neu cong ty nay quyet nh chi ph ban le cho san pham mi ch nhan gia tr
nguyen trong khoang [5$ ; 8$] vi xac suat 70%, va 30% con lai se nam trong
khoang [9$ ; 15$]. Phan phoi nay se c xay dng nh sau:
* anh so 0.7 vao hop Prob roi nhan Tab
* anh so 1 vao hop Step roi nhan Enter
* anh so 0.3 vao hop Prob roi nhan Tab
* anh so 1 vao hop Step roi nhan Enter


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V du 4
Neu cong ty nay quyet nh chi ph ban le cho san pham mi co the nhan
* bat ky gia tr nao trong khoang [5$ ; 7$] vi xac suat 20%
* gia tr nguyen trong khoang [11$ ; 14$] vi xac suat 50%
* gia tr 15$ vi xac suat 5%
th co the dung chc nang Data trong Custom Distribution e mo ta phan phoi
nay. Cach lam nh sau:
Lap bang so lieu mo ta phan phoi trong Excel

Chon Data trong Custom Distribution va nhap vung co cha so lieu


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OK

Tren ay la mot so phan phoi pho bien trong cac bai toan mo phong trong lnh vc
kinh te. Chung ta se van dung cac phan phoi nay trong d an sau
Vision Research Company nh trien khai mot loai thuoc cha tat can th mi,
thng hieu la Clear View. San pham se c c quan kiem nghiem y te (FDA)
xem xet e cong nhan hay khong. Mac du thuoc co cong hieu tren mot so benh
nhan nhng t le thanh cong noi chung co mot so han che. D an Clear View la
mot d an mao hiem ang gia nhieu trieu o la, v vay bo phan au t Vision
Research Company muon dung Crystal Ball nh la mot cong cu mo phong e ho
tr trong viec ra quyet nh co nen tiep tuc d an nay khong?
Cac yeu to bat nh nh chi ph kiem nghiem, chi ph tiep th, t le cha khoi, th
trng tiem nang va toc o tang trng, kha nang tham nhap a c nghien cu
va gia nh cac phan phoi phu hp, ket qua cho trong mo hnh di ay


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7. Phan phoi hnh hoc
ieu kien
So phep th la vo han
Tiep tuc th cho en khi thay bien co A nao o xay ra
Xac suat cua A khong thay oi

8. Phan phoi sieu boi
ieu kien
Tong so phan t (kch thc am ong) la hu han
T le phan t loai A thay oi theo tng lan th
Cac tham so cua phan phoi sieu boi la
Prob: t le ban au cua phan t loai A
Trials: so lan th
Pop: kch thc am ong

9. Phan phoi Lognormal
ieu kien

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Bien co the tang vo han nhng khong the nho hn 0
Bien lech phai vi phan ln gia tr nam gan gii han di
Log cua bien co phan phoi chuan
Thng c dung e mo ta gia co phieu hay gia bat ong san v gia ca khong the
giam di 0 nhng co the tang vo han
Cac tham so cua phan phoi Lognormal la Mean va Std Dev

10. Phan phoi mu
ieu kien
Mo ta khoang thi gian gia cac bien co
Nhng g xay ra trong qua kh khong anh hng en hien tai
Tham so Rate trong phan phoi mu la so bien co trung bnh xay ra trong mot n v
thi gian, cung la nghch ao cua gia tr trung bnh cua phan phoi

11. Phan phoi Beta
ieu kien
Bien ch lay gia tr t 0 en a
Dang cua phan phoi co the c xac nh bang hai gia tr dng
Thng c dung e mo ta kha nang bien ong cua mot yeu to trong mot khoang
thi gian co nh, v du nh xac suat cua bien co trong phan phoi nh thc, o tin
cay cua thiet b
Hai tham so cua phan phoi la Alpha va Beta
Alpha = Beta: phan phoi oi xng
Alpha < Beta: phan phoi lech phai
Alpha > Beta: phan phoi lech trai
Mot tham so = 1 con tham so kia > 1: phan phoi co dang ch J

12. Phan phoi Gamma (Erlang, Chi-bnh phng)
ieu kien (lien tuc)
So ket cuc trong mot n v o la vo han
So ket cuc xay ra trong mot n v o khong anh hng en so ket cuc xay ra
trong n v o khac
So ket cuc trung bnh xay ra trong mot n v o khong thay oi
Co the dung e mo ta mc o tap trung o nhiem va lng ket tua trong nghien cu
kh tng, o lng khoang thi gian gia cac lan xuat hien cua dong cac bien co
xay ra khong hoan toan ngau nhien. Cac ng dung khac cua phan phoi Gamma
con thay trong kiem soat ton kho, ly thuyet kinh te, ly thuyet bao hiem
Cac tham so trong phan phoi Gamma la
2
2
Shape
=

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2
2
Scale
=
trong o va
2
la trung bnh va phng sai cua phan phoi, co the c c
lng t so lieu qua kh

13. Phan phoi nh thc am
ieu kien
So phep th la vo han
Tiep tuc th cho en khi bien co A xay ra n lan
Xac suat cua A khong thay oi trong tng lan th

14. Phan phoi Logistic
Thng c dung e mo ta s tang trng cua mot yeu to theo thi gian, mo ta
cac phan ng hoa hoc

15. Phan phoi Pareto
c s dung rong rai trong viec nghien cu cac phan phoi i kem cac hien tng
thc nghiem nh qui mo dan so, tai nguyen thien nhien, qui mo cong ty, thu nhap
ca nhan, s bien ong gia co phieu va sai so trong mang thong tin lien lac

16. Phan phoi cc tr (Extreme Value)
Thng c dung e mo ta gia tr ln nhat cua s co xay ra trong mot khoang
thi gian nh: lu lut, ma, ong at, sc ben vat lieu, ket cau xay dng, tai trong
va o chu lc cua may bay. Phan phoi cc tr oi khi con c goi la phan phoi
Gumbel


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THIET LAP VA CHAY MO PHONG

1. nh ngha va chnh sa cac gia thiet
Nhan dang phan phoi
* Ghi ra tat ca cac thong tin co lien quan en bien
* Ra lai cac phan phoi a e cap
* Lien he e tm phan phoi phu hp
Nhap gia thiet
* Chon mot o hay mot day o co cha so lieu, khong co cong thc
* Chon Define Assumption
* Chon phan phoi phu hp
* OK
* Nhap ten cua gia thiet (khong bat buoc)
* Nhap cac tham so cua phan phoi
Cach chon phan phoi phu hp vi d lieu qua kh
* a cac d lieu qua kh vao mot cot trong Excel
* Nhap nut Fit va xac nh nguon d lieu

* Nhap nut Next va chon cach tm phan phoi phu hp, chon trong nhom phan
phoi nao? Tieu chuan anh gia s phu hp la g? (Chon mot trong ba phep
kiem: Chi-square, Kolmogorov-Smirnov, Anderson-Darling. Phep kiem A-D
cung tng t nh K-S, ch khac la A-D chu y s phu hp cua cac uoi ngoai
cung cua phan phoi con K-S chu y en khoang cach ln nhat theo phng
thang ng)

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* OK

Xac nh tng quan gia cac gia thiet
Trong Crystal Ball ta co the nh mc o tng quan cho cac gia thiet khi mo
phong, chu y la neu ta nh cang nhieu moi tng quan th kha nang xay ra
truc trac cang ln v tng quan gia cac gia thiet co the khong nhat quan.
Neu trng hp nay xay ra Crystal Ball se thong bao va ta co the chon mot
trong cac cach giai quyet sau
* Ngng mo phong
* Chon Adjust Coefficients this time only e tiep tuc mo phong nhng s
ieu chnh khong c gi lai

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* Chon Adjust Coefficients permanently e tiep tuc mo phong va s ieu
chnh se c gi lai
e nh ngha mot he so tng quan, ta lam nh sau:
* Chon o cua mot trong cac gia thiet muon tao tng quan
* Chon Correlate
* Chon oi tac t <Select Assumption> trong hop thoai Correlation
* Nhap he so tng quan (trong khoang [-1 ; 1]
* OK

Chnh sa gia thiet
* e giup nh ngha cac gia thiet cho nhanh va tien li, Crystal Ball co cac
cong cu Copy Assumptions / Forcasts va Paste Assumptions / Forcasts
* Ta cung co the chon va xoa cac gia thiet bang cac cong cu Select All
Assumption va Clear Assumptions / Forcasts
Vo hieu hoa cac gia thiet
Ta co the vo hieu hoa tam thi cac gia thiet a nh ngha nhng khong muon
dung trong mo phong hien tai, hay khao sat tac ong cua mot so gia thiet len
gia tr d bao trong khi cac gia thiet khac c gi co nh

2. nh ngha va chnh sa cac d bao
nh ngha d bao
* Chon o co cha cong thc can d bao ket qua

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* Chon Define Forecast
* Nhap ten d bao (khong bat buoc)
* Nhap n v (khong bat buoc)
* nh kch thc o th d bao
* Kiem tra hop Display Window Automatically
* Nhap Set Default neu muon dung cac la chon nh la mac nh oi vi cac
d bao trong tng lai
* OK

Chnh sa d bao
Tng t nh chnh sa gia thiet

3. Cac cong cu e chay / dng / tiep tuc / tai lap
Vi hop Run Preferences trong Run menu ban co the chon cach e Crystal
Ball chay mo phong, bao gom:
* So lan th
* ieu kien e ngng mo phong
* Cach phat so ngau nhien
* Phng phap chon mau
* Chay macro trong qua trnh mo phong
* Chay phan tch o nhay
Chon Run, Stop, Continue, Reset, Single Step trong Run menu tuy theo yeu
cau khi ta chay mo phong

4. Lu tr va truy xuat mot mo phong
Lu tr
e lu tr mot mo phong ta co the chon Save Run trong Run menu
Truy xuat

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Muon truy xuat mot mo phong a lu tr trc ay ta chon Restore Run trong
Run menu


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KHAI THAC KET QUA MO PHONG

1. Xac nh o tin cay, khoang hien th
Trong Crystal Ball ta co the xac nh khoang tin cay va o tin cay cho ket qua d
bao bang cac cach sau, lu y mot nguyen tac la muon gi co nh cac moc tam
giac th nhap chuot vao cho no m i, e tra lai t do cho hai moc tam giac ta
nhap chuot vao o th
Di chuyen cac moc tam giac iem cuoi tren o th d bao, o tin cay (Certainty)
se thay oi cho en khi at yeu cau th ngng lai
Nhap gia tr cu the vao cac hop cc ai va cc tieu, nhan Enter th o tin cay se
c t ong ieu chnh theo
Nhap o tin cay vao hop Certainty roi nhan Enter, Crystal Ball se t ieu chnh
hai moc tam giac, neu ca hai ang trong trang thai t do, sao cho khoang tin cay
co tam la gia tr trung bnh
Neu mot moc c gi co nh th khi ta nhap o tin cay vao hop Certainty va
nhan Enter, Crystal Ball se ieu chnh moc con lai e c khoang tin cay theo
yeu cau

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Ta cung co the chon khoang e tap trung cac gia tr can quan sat bang cach chon
Display Range t Preferences trong o th d bao, luc o ta co ba cach chon
khoang hien th nh sau:
Chon Using Standard Deviations
Xem standard deviation nh la n v, neu ta nhap vao gia tr 2.6 khoang hien th
se bao gom cac gia tr cach gia tr trung bnh 2.6 lan o lech chuan (99% so gia
tr)
Chon Using Fixed End-Points
Nhap cac gia tr vao cac hop Min va Max th o th d bao ch hien th trong
khoang nay
Chon Using End-Point Grabbers
Dch chuyen cac moc tam giac e xac nh khoang hien th

2. S dung o th d bao
e hien th o th d bao ta co cac la chon ve loai o th (Chart type), loai phan
phoi (Distribution type), cach nhom so quan sat (Groups), nh dang giatr trong
o th d bao. Crystal Ball cung cung cap cac thong ke mo ta va cac khoang tin
cay, cho ta la chon cach tnh cac ket qua nay

3. S dung o th phu (Overlay Chart)
o th phu cho phep ta quan sat ong thi nhieu ket qua d bao tren cung mot
o th e ta co the rut ra nhng nhan xet ve s giong nhau va khac nhau gia
chung ma trc ay ta kho nhan ra. Sau khi a chay mo phong ta co the

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* Chon Open Overlay Chart t Run menu e tao o th phu
* Chon Add Forecaste chon cac d bao a vao o th phu
* OK

Ta cung co the dung o th phu e tm phan phoi thch hp nhat vi d bao a
chon bang cach
* Nhap vao nut Adding Distribution trong hop thoai Overlay Chart
* Nhap nut Fit va qua trnh tm phan phoi thch hp se tien hanh nh a gii
thieu trc ay


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4. S dung o th xu hng
Khi ta mo phong nhieu d bao co lien quan nhau, chang han doanh thu qua cac
quy co moi lien quan ay la thi gian, ta co the dung o th xu hng e khao
sat va phan tch moi lien quan gia cac d bao. o th xu hng hien th cac
khoang tin cay cua cac d bao vi o tin cay tuy y se cho ta thay mc o bien
ong cua cac d bao thay oi nh the nao trong moi quan he gia chung vi nhau.
e tao o th xu hng sau khi a chay mo phong, ta lam nh sau:
Chon Open Trend Chart trong Run menu
Nhap nut Trend Prefs trong Trend Chart

Chon cac d bao a vao o th xu hng t vung Forecasts
Chon cac o tin cay trong vung Certainty Bands
Chon cach hien th cac khoang tin cay t vung Chart Type
Ngoai ra ta co the chon cach hien th ten cac d bao (t Forecast Axis),
khoang hien th gia tr d bao (t Value Axis), ng li trong o th (t Grid
Lines)
OK

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5. S dung o th o nhay
Trong thc te khi xay dng mot mo hnh trong o ket qua d bao phu thuoc vao
mot so bien gia thiet, ta thng muon biet mc o anh hng cua cac gia thiet en
giatr d bao khac nhau nh the nao, t o xac nh c mc o quan trong cua
chung va ta co the ieu chnh lai mo hnh cho chnh xac va phu hp vi thc te
hn. e lam c ieu o ta phai quan sat o th o nhay gia gia tr d bao va
cac gia thiet. Cach tao o th o nhay sau khi a chay mo phong nh sau:
Chon Open Sensitivity Chart t Run menu
Nhap nut Sensitity Preferences t hop thoai Sensitivity Chart
Chon d bao va cac gia thiet t vung Include
Chon cach o lng mc o anh hng t vung Measured by
Chon cach hien th ket qua o nhay t vung Cutoff Criteria
OK

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6. Bao cao
Ngoai cac cong cu khai thac thong tin c gii thieu tren, Crystal Ball con cho
ta cong cu e lap bao cao cac ket qua mo phong va co the trch ra cac thong tin
ma ta quan tam. e thc hien ta ch viec chon Create Report hay Extract Data t
Run menu

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