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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F07%3A00014903%21RIV08-MSM-27510___
rdf:type
n15:Vysledek skos:Concept
dcterms: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. 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. 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.
dcterms:title
VaR-type measures application for risk analysis of a project in the energy generating sector Aplikace měřítek typu VaR při analýze rizika projektu v odvětví výroby elektřiny VaR-type measures application for risk analysis of a project in the energy generating sector
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 Aplikace měřítek typu VaR při analýze rizika projektu v odvětví výroby elektřiny
skos:notation
RIV/61989100:27510/07:00014903!RIV08-MSM-27510___
n3:strany
5-23
n3:aktivita
n17:Z n17:P
n3:aktivity
P(GP402/07/P121), Z(MSM6198910007)
n3:dodaniDat
n5:2008
n3:domaciTvurceVysledku
n16:9300295
n3:druhVysledku
n7:D
n3:duvernostUdaju
n18:S
n3:entitaPredkladatele
n4:predkladatel
n3:idSjednocenehoVysledku
457570
n3:idVysledku
RIV/61989100:27510/07:00014903
n3:jazykVysledku
n14:eng
n3:klicovaSlova
mean-reversion process; real option; CorporateMetrics; density function; cumulative density function; flexibility; Net Present Value; percentile; percentile; expected shortfall; risk-aversion function.
n3:klicoveSlovo
n6:real%20option n6:Net%20Present%20Value n6:percentile n6:CorporateMetrics n6:risk-aversion%20function. n6:cumulative%20density%20function n6:expected%20shortfall n6:flexibility n6:mean-reversion%20process n6:density%20function
n3:kontrolniKodProRIV
[F7E192C1C65B]
n3:mistoVydani
Minsk
n3:nazevZdroje
Teoria i praktika menedžmenta i marketinga - materialy maždunarodnouj naučno-praktičeskoj konferencii
n3:obor
n13:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n9:GP402%2F07%2FP121
n3:rokUplatneniVysledku
n5:2007
n3:tvurceVysledku
Čulík, Miroslav
n3:zamer
n11:MSM6198910007
s:numberOfPages
17
n19:hasPublisher
Magic Book
n8:isbn
978-985-6544-91-3
n20:organizacniJednotka
27510