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2023 | nr 1 | 98--114
Tytuł artykułu

Risk measurement in profitability calculation of non-financial investment

Warianty tytułu
Pomiar ryzyka w kalkulacji opłacalności inwestycji rzeczowych
Języki publikacji
In the paper a model of non-financial investment profitability calculation is presented. It is based on the concept of quantile risk measures and a real option valuation. Application of Monte Carlo simulation allows to receive probability distribution of Net Present Value (NPV) and implement risk measures like Cash Flow at Risk (CFaR), Net Present Value at Risk (NPVaR) or Expected Shortfall (ES) in relation to NPV (ES (NPV)). The main contribution of the article is implementation of ES (NPV) that shows the average of worst losses regarding NPV. ES (NPV) informs the investors what the worst result of the project may be.(original abstract)
W artykule przedstawiono model kalkulacji opłacalności inwestycji rzeczowych. Jest on oparty na koncepcji kwantylowych miar ryzyka i wycenie opcji realnych. Zastosowanie symulacji Monte Carlo pozwala otrzymać rozkład prawdopodobieństwa wartości zaktualizowanej netto (Net Present Value - NPV) i wdrożyć miary ryzyka, takie jak przepływy pieniężne narażone na ryzyko (Cash Flow at Risk - CFaR), wartość zaktualizowana netto narażona na ryzyko (Net Present Value at Risk - NPVaR) czy oczekiwana strata (Expected Shortfall - ES) w stosunku do NPV - ES (NPV). Głównym wkładem artykułu jest implementacja ES (NPV), która pokazuje średnią najgorszych strat względem NPV. ES (NPV) informuje inwestorów, jaki może być najgorszy wynik projektu.(abstrakt oryginalny)
Opis fizyczny
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