About: VaR-type measures application for risk analysis of a project in the energy generating sector

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The main objective of this study is to value and analyse the risk of a project in the energy sector. For valuation purposes, two different approaches are applied. First traditional (passive) NPV method is used and next, approach on the basis of real option is employed. Here it is supposed the most common type of real option - the possibility to shut down a production and restart it. Risk analysis relies on VaR-type measures - NPVaR and Expected shortfall. Results are compared and discussed. (en) Článek se zabývá možnostmi kvantifikace tržního rizika projektu výstavby a provozu větrné elektrárny. Kvantifikace těchto rizik je založena na principu metodologie CorporateMetrics a její aplikace na investiční projekt. Jsou použity moderní přístupy na bázi ukazatele Value at Risk. Taktéž jsou propočteny základní statistické parametry projektu (směrodatná odchylka, střední hodnota, atd.) a dále pak NPVaR, Expected Shortfall a vážený Expected Shortfall. (cs) The main objective of this study is to value and analyse the risk of a project in the energy sector. For valuation purposes, two different approaches are applied. First traditional (passive) NPV method is used and next, approach on the basis of real option is employed. Here it is supposed the most common type of real option - the possibility to shut down a production and restart it. Risk analysis relies on VaR-type measures - NPVaR and Expected shortfall. Results are compared and discussed.
Title	VaR-type measures application for risk analysis of a project in the energy generating sector VaR-type measures application for risk analysis of a project in the energy generating sector (en) Aplikace měřítek typu VaR při analýze rizika projektu v odvětví výroby elektřiny (cs)
skos:prefLabel	VaR-type measures application for risk analysis of a project in the energy generating sector VaR-type measures application for risk analysis of a project in the energy generating sector (en) Aplikace měřítek typu VaR při analýze rizika projektu v odvětví výroby elektřiny (cs)
skos:notation	RIV/61989100:27510/07:00014903!RIV08-MSM-27510___
http://linked.open.../vavai/riv/strany	5-23
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GP402/07/P121), Z(MSM6198910007)
http://linked.open...vai/riv/dodaniDat	2008
http://linked.open...aciTvurceVysledku	Čulík, Miroslav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	457570
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/07:00014903
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	mean-reversion process; real option; CorporateMetrics; density function; cumulative density function; flexibility; Net Present Value; percentile; percentile; expected shortfall; risk-aversion function. (en)
http://linked.open.../riv/klicoveSlovo	Net Present Value mean-reversion process real option expected shortfall density function risk-aversion function. flexibility percentile CorporateMetrics cumulative density function
http://linked.open...ontrolniKodProRIV	[F7E192C1C65B]
http://linked.open...i/riv/mistoVydani	Minsk
http://linked.open...i/riv/nazevZdroje	Teoria i praktika menedžmenta i marketinga - materialy maždunarodnouj naučno-praktičeskoj konferencii
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Real options and conditions and possibilities of their application in the energy sector
http://linked.open...UplatneniVysledku	2007
http://linked.open...iv/tvurceVysledku	Čulík, Miroslav
http://linked.open...n/vavai/riv/zamer	Research of the reliability of power systems in connection with non-traditional ecological sources of energy and valuation of unsupplied energy
number of pages	17 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Magic Book
https://schema.org/isbn	978-985-6544-91-3
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	VaR-type measures application for risk analysis of a project in the energy generating sector VaR-type measures application for risk analysis of a project in the energy generating sector VaR-type measures application for risk analysis of a project in the energy generating sector

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