Risk measurement
in profitability calculation
of non-financial investment
Risk measurement
in profitability calculation
of non-financial investment
Author(s): JOANNA SZCZEPAŃSKASubject(s): Marxist economics, Socio-Economic Research
Published by: Szkoła Główna Handlowa w Warszawie
Keywords: NPV; CFaR; NPVaR; ES (NPV); real option;
Summary/Abstract: 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 sim- ulation 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 re- lation 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 re- sult of the project may be.
Journal: Kwartalnik Nauk o Przedsiębiorstwie
- Issue Year: 67/2023
- Issue No: 1
- Page Range: 98-114
- Page Count: 18
- Language: English
