AFM知識點匯總——Value at risk、評估海外投資項目-APV

量化風(fēng)險的一個現(xiàn)代方法包括使用正態(tài)分布的概念估計投資價值的可能變化。

A modern approach to quantifying risk involves estimating the likely change in the value of an investment by using the concept of a normal distribution. 

VAR 的意義： VAR 提供一個項目的潛在風(fēng)險的指示

The VAR provides an indication of the potential riskiness of a project. For example, if A invests in project B then it can be 95% confident that the present value will not fall by more €1,471,000 over its life. Hence the project will still produce a positive net present value. However, there is a 5% chance that the loss could be greater than € 1,471,000. With project C, the potential loss in value is smaller and therefore it is less risky. It should be noted that the VAR calculations indicate that the investments involve different risk. However, the cash flows are discounted at the same rate, which they should not be, since the risk differs between them.

Assumption:

1) 計算假設(shè) tax shield 的折現(xiàn)率使用 borrowing rate，但有些爭議，是使用 risk free rate。

此外，A more accurate method would be to assess the yield curve based on future risk-free rates and credit spreads for the company.

2) 在 APV 的計算中，tax shield 常常跟投資的（新的）舉債能力有關(guān)，而不是已 經(jīng)使用的債務(wù)。因為這方面信息沒有提供，假設(shè)舉債能力的提高=適用的新債務(wù)。

3）計算中用到的數(shù)據(jù)，諸如稅率，capital allowance rate,收入和各類成本的數(shù)據(jù)，生產(chǎn)和銷售的預(yù)估值，通脹率，基于購買力平價算出來的匯率值，假定都是正確 的，至少在項目期間保持不變。但這種假設(shè)顯然是不現(xiàn)實的。而且常常是一點波動 change/volatility 都會引起不同程度的結(jié)果。所以需要使用 sensitivity analysis and scenario analysis 來幫助評估。