Оценка премии за риск в проектах с высокимxa0уровнем неопределенности
Целью исследования данной работы является разработка практической модели, которая может оценить премию за риск для проекта с высоким уровнем неопределенности, которая может быть использована для принятия решения о капиталовложениях
Задачи:
1. Рассмотреть подходы, позволяющие оценить премию за риск.
2. Представьте практическую модель, которая будет учитывать неопределенность проекта..
3. Оценить риск – премию в предполагаемом реальном проекте с помощью модели.
4. Проанализировать достигнутые результаты.
5. Предложить практическую реализацию модели.
Основные результаты: оценена премия за риск для реального проекта с помощью предложенной моделью, практическое руководство для менеджеров написано в виде инструкции в Excel для поэтапных расчетов, а также код в Python представлен, который автоматизирует алгоритм представленный в Excel.
The goal of the business is to value maximization of the company and the wealth of its owners. Choice of the investment opportunity is vulnerable for corporate managers and shareholders, as every investment contains not only opportunity to increase wealth and get higher returns, but also contain risk of getting not as much money as expected and missing opportunity to invest in the alternative project or even losing money.
The question what the cost of capital is crucial question for capital investment decision. This is because NPV and IRR are commonly used as investment – decision criteria. (Jacobs, Shivdasani, 2012, Graham, Harvey, 2001) In both approaches, discount rate is the dimension that influence on the value of the project.
To address the risk and uncertainty of the investment project, the managers usually add some specific risk premium to the cost of capital that is estimated with the CAPM approach. Some of the companies add the fixed premium to all project without taking into consideration the project peculiarities. Very often, this premium is based on the subjective views of the managers or the rate that is considered for the project appraisal among the company. In case if the managers assume that the uncertainty of the project is high in their opinion and they are not confident with this project, they can add such a great premium, that any potentially good project will be rejected. Thus, the overestimation or underestimation of the discount rate can influence significantly on the capital investment decision. And as a result, this subjective adjustments to the cost of capital rate cause the conflict of interests.
What is more the relevance of the topic is explained with that nowadays many companies are trying to estimate the innovative projects that are highly uncertain with the traditional approaches, and thus, rejecting many potential beneficial projects and lowers its potential value on the long – term perspective.
To address this issue, there is a need in practical approach that will allow to estimate the risk premium in accordance with the uncertainty of the project, and that will be free from additional manipulations from the management side.
Thus, the research goal of this paper is to elaborate the practical model that can estimate the specific risk premium for the project with the high level of uncertainty that can be used for capital investment decision. Hence, the object of this research is the model for risk premium approach.
To achieve the research goal the following research question should be addressed: How to estimate the project specific risk premium that will incorporate the uncertainty of the project, that will not be subject to managers manipulation?”. This question that will be answered during this paper.
To address the main question there are objectives that are required to be completed in order to achieve the set research goal. The objectives are the following:
• Consider the approaches that allow to estimate the risk premium
• Introduce the practical model that will consider the uncertainty of the project
• Estimate the risk – premium in assumed real project with the model
• Analyze the achieved results
• Propose the practical implementation of the model
The completion of the objectives 1 and 2 will bring the understanding of the topic and the frameworks that can be used when valuing the project. In this part, the approaches of risk premium will be investigated in order to find out the how they are estimated, to analyze in what cases these approaches are applicable, and what are the limitations of the existence models. The approaches of considering uncertainties will be also observed. Analysis of the findings from the different models may contribute to the research as it may give the knowledge of the theoretical concepts, ideas and insights in order to design the research and to build a better and more complete model of this research.
Then, the completion of objectives 3 and 4 are aimed to estimate risk premium for the real business project that launches gaming console in accordance with the uncertainty level. The obtained results will be discussed and assessed from the plausibility perspective. These results will be beneficial from academical perspective since they provide the risk premium estimate – the benchmark for the projects in the industry of gaming hardware.
The objective 5 is proposed for providing the management with the guide, the ready to use instruction, to the proposed approach that can be applied for estimating the risk premium for any investment project with the Excel application. In addition, the script of the code in Python that will help to automate the calculations of the risk premium in accordance with the level of uncertainty.
This research consists of 2 chapters.
In the first chapter it was found out that the approaches from corporate finance perspective are used as inputs for traditional DCF approach. However, there is no consensus on how to estimate the rate and the observed approaches, are still cannot answer to the proposed research question. As a base risk management perspective that distinct from the DCF has been considered, where instead of comparing the present values of cash – flows with the investments, the future value of the project is considered with the alternative investment opportunity. The approach introduced by Okulov (2017, 2018) is applied for estimating the risk premium in accordance with the uncertainty. This approach introduces only theoretical concept, and the real project has not been calculated, what is more, this project does not observe the change in the uncertainty. Thus, in the second chapter the alternative approach has been investigated and the risk premium based on this approach has been estimated in accordance with the different levels of the uncertainty in the real project using imitational modelling tools. The inputs of the model are derived from the public sources or complied by the author. Then, the practical in a form of instruction to the Excel calculations and the code that allow to automate this calculation has been written to make management familiar with the new approach for risk premium estimation for any project and to provide the management with the concrete tools that can be implemented in capital investment decisions.
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