Method and system for asset valuation using a statistical approach

• US 8,060,397 B2
• Filed: 06/25/2007
• Issued: 11/15/2011
• Est. Priority Date: 05/04/2007
• Status: Active Grant

• Current Assignee: Gewofag IT Servicegesellschaft mbH, SAP SE
• Original Assignee: SAP AG (SAP SE)
• Inventors: Otte, Kurt-Ulrich, Neumaier, Florian, von Rechberg, Ulrich, Reiser, Rudolf
• Primary Examiner(s): JOHNSON, GREGORY L
• Application Number:
  US11/768,001
• Publication Number:
  US 20090018935A1
• Time in Patent Office: 1,604 Days
• Field of Search: 705/1, 705/7, 705/30, 705/35, 705/36.R, 705/7.28, 705/38
• US Class Current: 705/7.28
• CPC Class Codes: G06Q 10/0635 Risk analysis of enterprise or organisation activities
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/12 Accounting

Abstract

The disclosed embodiments are directed to a system, non-transitory computer readable medium and method of determining a value of an asset and presenting a visualization of the determined asset value The exemplary system and method use past data and future plan data related to the asset that is processed by a computer to determine the asset value. Different valuation processes may be used to determine the asset value. The resulting valuations may be presented to a user for comparison purposes.

Claims

1. A computerized method for processing and displaying data of a business unit comprising the steps of:

extracting, by a computer processing device, a set of past data of said business unit from a past database, wherein the extraction of said set of past data of said business unit includes;

examining files stored within the past database, and

extracting contract term data from said files stored within the past database;

determining, by the computer processing device, a set of future plan data of said business unit, wherein said determining of said set of future plan data comprises;

automatically determining by using the extracted contract term data said set of future plan data by the computer processing device;

estimating the expectation of a discounted cash flow for each element of a set of models which define a specific growth trajectory according to said set of past data and said set of future plan data, wherein for each model;

estimating a standard deviation from said past data;

setting a risk premium derived from said estimated standard deviation and a predetermined risk factor;

calculating a risk adjusted value by deducting the set risk premium from said expectation; and

displaying the risk adjusted value and an estimated discounted cash flow value probability distribution on a display device.

2. The computerized method according to claim 1, wherein the step of automatically determining said set of future plan data comprises:

automatically evaluating contract term data;

automatically determining said set of future plan data from said contract term data.

3. The computerized method according claim 1, wherein said step of extracting said set of past data and said step of determining said set of future plan data comprise the step:

displaying an activating device for simultaneously activating said extraction of at least one subset of said set of past data and determination of at least one subset of said set of future plan data in response to an input to a graphical user interface.

4. The computerized method according to claim 1, wherein said step of extracting said set of past data comprises the step:

displaying an activating device for simultaneously activating said extraction of a plurality of subsets of said set of past data and a plurality of subsets of said set of future plan data in response to an input to a graphical user interface.

5. The computerized method according to claim 1, wherein after extracting said at least one set of past data, said data are displayed to a user for manual inspection.

6. The computerized method according to claim 1, wherein a choice of a present date is received, and wherein, after the choice of the present date is received, the set of past data and the set of future plan data are determined automatically.

7. The computerized method according to claim 6, wherein a choice of a present interval is received and wherein said set of past data is provided for a past interval and wherein said set of future plan data is provided for a future interval automatically.

8. The computerized method according to claim 7, wherein the set of past data and the set of future plan data is automatically determined using at least one of the present date and the present interval.

9. The computerized method according to claim 1, wherein for the future plan data an individual estimated discounted cash flow value is determined automatically for every time unit of said future interval.

10. The computerized method according to claim 1, wherein said set of models includes a constant business-calculation model, a linear business-calculation model, and a non-linear calculation model.

11. The computerized method according to claim 1, wherein the set risk premium is modeled based on only one parameter.

12. The computerized method according to claim 1, wherein a confidence level is selected to set the risk premium.

13. The computerized method according to claim 1, wherein the automatically determining at least one preconfigured subset of said set of future plan data by the computer processing device is determined by using the past data instead of the extracted contract term data.

14. A non-transitory computer readable storage medium including instructions that, when executed by a processor, perform the steps of:

extracting, by a computer processing device, a set of past data of said business unit from a past database, wherein the extraction of said set of past data of said business unit includes;

examining files stored within the past database, and

extracting contract term data from said files stored within the past database;

determining, by the computer processing device, a set of future plan data of said business unit, wherein said determining of said set of future plan data comprises;

automatically determining by using the extracted contract term data said set of future plan data by the computer processing device;

estimating the expectation of a discounted cash flow for each element of a set of models which define a specific growth trajectory according to said set of past data and said set of future plan data, wherein for each model;

estimating a standard deviation from said past data,

setting a risk premium derived from said estimated standard deviation and a predetermined risk factor;

calculating a risk adjusted value by deducting the set risk premium from said expectation; and

displaying the risk adjusted value and an estimated discounted cash flow value probability distribution on a display device.

15. A system for processing and displaying data of a business unit comprising:

a display device;

an enterprise resource planning system for maintaining data related to operation of a business entity;

a business data warehousing system for collecting, planning and reporting data in communication with the enterprise resource planning system, the business data warehousing system comprising a processor configured to;

extract a set of past data of said business unit from a past database maintained by the enterprise resource planning system by examining files stored within the past database,

extract contract data from said files stored within the past database;

extract a set of future plan data of said business unit from a future plan database by automatically determining and extracting at least one preconfigured subset of said set of future plan data from a future plan database maintained by the enterprise resource planning system;

extract all future plan data remaining after extraction of the at least one preconfigured subset of said future plan data from said future plan database;

estimate the expectation of a discounted cash flow for each element of a set of models which define a specific growth trajectory according to said set of past data and said set of future plan data including the preconfigured subset of said future plan data, wherein for each model;

estimate a standard deviation from said past data,

set a risk premium derived from said estimated standard deviation and a predetermined risk factor;

calculate a risk adjusted value by deducting the set risk premium from said expectation; and

display the risk adjusted value and an estimated discounted cash flow value probability distribution on a display device.

16. The system of claim 15, wherein the set risk premium is modeled based on only one parameter.

17. The system of claim 15, wherein a confidence level is selected to set the risk premium.

18. The system of claim 15, wherein the automatically determining at least one preconfigured subset of said set of future plan data by the business data warehousing system is determined by using the past data instead of the extracted contract term data.

19. A method for valuing a business unit and providing a probability distribution and a risk adjustment using a plurality of parameterized growth models comprising the steps:

calculating, by a processing unit, for a past interval a time series of actual data from a transaction data database maintained in a system memory;

calculating, by the processing unit, for a future interval a time series of uncertain plan data, wherein said uncertain plan data is plan data subject to uncertainty;

calculating, by the processing unit, for said future interval a time series of certain plan data, wherein said certain plan data is plan data having certainty;

calculating the parameters of each of the said growth models from said actual data and said uncertain plan data using statistical techniques thus specifying a growth trajectory;

deriving for each of said growth models beyond said future interval an infinite time series of plan data according to said growth trajectory;

discounting said uncertain, certain and model dependent derived plan data using period corresponding market traded interest rates;

summing up for each of said growth models said discounted plan values thus estimating an expectation of said value of said business unit;

estimating a standard deviation for each of said models using said actual data;

setting a risk premium for each of said models from said estimated standard deviation and a predetermined risk factor;

calculating a risk adjusted value for each of said models by deducting said risk premium from said estimated expectation value; and

displaying for each of said models said risk adjusted value and a probability distribution defined by said estimated expectation value and said estimated standard deviation on a display device.

20. The method according to claim 19, wherein said uncertain plan data represent operating cash flows of said business unit, and said certain plan data represent investment expenses of said business unit.

21. The method according to claim 19, further comprising:

establishing a benchmarking index for each element of a set of business units and for each of said growth models by dividing said risk adjusted value by a first value of said growth trajectory in said future interval.

22. The method according to claim 19, wherein for calculating the parameters of each of the said growth models said actual data and said uncertain plan data are adjusted for inflation, and the model dependent derived plan data are discounted using a period corresponding market trading interest rates, wherein the corresponding market trading interest rates are adjusted for inflation.

23. The method according to claim 22, wherein the market trading interest rates of the period represent risk free interest rates.