AFM知识点汇总——Value at risk、评估海外投资项目-APV

量化风险的一个现代方法包括使用正态分布的概念估计投资价值的可能变化。

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 的意义： VAR 提供一个项目的潜在风险的指示

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) 计算假设 tax shield 的折现率使用 borrowing rate，但有些争议，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 的计算中，tax shield 常常跟投资的（新的）举债能力有关，而不是已 经使用的债务。因为这方面信息没有提供，假设举债能力的提高=适用的新债务。

3）计算中用到的数据，诸如税率，capital allowance rate,收入和各类成本的数据，生产和销售的预估值，通胀率，基于购买力平价算出来的汇率值，假定都是正确 的，至少在项目期间保持不变。但这种假设显然是不现实的。而且常常是一点波动 change/volatility 都会引起不同程度的结果。所以需要使用 sensitivity analysis and scenario analysis 来帮助评估。