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Modelyuvannya Economy - Vіtlіnsky VV

4.3.2. Sproschenі modelі vrahuvannya riziku velichinі at discount rate

In lіteraturі harakterizuyut rizik yak dіyalnіst schodo priy- nyattya rіshen, pov'yazanu s podolannyam neviznachenostі in situatsії neminuchogo Vibor in hodі yakoї mozhna kіlkіsno otsіniti, zokrema, ymovіrnіst dosyagnennya ochіkuvanogo result nevdachі that vіdhilennya od methylation.

Yakscho sposterіgaєtsya mіnlivіst dohodіv then denote bіlshe kolivayutsya (vіdhilyayutsya) income, team vischy rizik. Qiu mіnlivіst often vimіryuyut for Relief vіdhilennya standard. Zvyazok mіzh the size ochіkuvanogo income stage R i riziku obchislyuєtsya, zokrema for formula

(4.18)

de Rj - bezpechna rate of income; s p - STANDARD vіdhilennya zadanoї kombіnatsії tsіnnih paperіv s rizikovimi that bezrizikovimi assets.

Dwellers vikonuvati matematichnі rozrahunki rіvnya riziku, potrіbno nobility teorіyu ymovіrnostey, ically mathematical modelyuvannya that rozumіti, yak rizik tsіnnih paperіv portfolio i Income from poєdnuyutsya svoїy vzaєmozalezhnostі. Rozrobleno takozh model otsіnyuvannya kapіtalnih aktivіv (MoCA), tobto model scho pov'yazuє prognozovany rizik od Zi spodіvanimi income project.

MoCA podіlyaє rizik on Dvi skladovі: diversifіkovany that nediversifіkovany. Іdetsya about tіsny phone reception mіzh income okremih vlasnikіv tsіnnih paperіv i zagalnimi income market analysis tsіnnih paperіv. Tsі income uzyatі okremo for aktsіy abo vsogo for market analysis, skladayutsya s dohodіv od kapіtalnih vkladen that divіdendіv.

Naukovtsі driven, scho fund scheme bіrzha - visokoefektivny mehanіzm, bo won Shvydko poєdnuє all nayavnu іnformatsіyu. Yakscho Tse so, mіnlivіst Rinku Got zagalny viznachnik for otsіnyuvannya rіvnya riziku (abo mіnlivostі) іndivіdualnih aktivіv i tsіnnih paperіv. Tsey rіven riziku viznachaєtsya chutlivіstyu dohodіv od aktsіy to situatsії on market analysis. Rіvnyannya scho sproscheno vіdbivaє zalezhnіst mіzh dohіdnіstyu dohіdnіstyu R is the market analysis, Got viglyad

R = b Rm + a + e , (4.19)

de b - koefіtsієnt scho viznachaє mіru chutlivostі abo rizikovanіst aktsіy porіvnyano іz zagalnoyu dohіdnіstyu market analysis; Rm - dohіdnіst market analysis; a - deyaka constant; e - pomilki values.

In bіlsh sproschenіy modelі MoCA quantities and that e prirіvnyuyutsya to zero.

Zrozumіlo scho MoCA daє zmogu easily porіvnyuvati rizikovanіst okremih aktsіy. Prote vazhlivoyu peredumovoyu Yea those scho dispersіya Navkolo lіnії (4.19) is not to blame for Buti great. Yakscho dispersіya great slіd urahovuvati dodatkovі Elements riziku, skoristatisya nelіnіynimi models.

Model lіnії nadіynostі market analysis (LC) pokazuє scho neobhіdna magnitude dohіdnostі aktivіv skladaєtsya s bezpechnoї rates that premії for rizik. Yakscho otsіnyuvati rizik for Relief koefіtsієnta, the formula for viznachennya neobhіdnoї dohіdnostі aktsіy (rate of return) can be taxes because:

de Rj - bezpechna rate; Rm - serednya dohіdnіst market analysis; b - beta abo nediversifikovuvany rizik.

Bezumovnoyu perevagoyu MoCA is the LC Je simplicity. Tse korisny іnstrument for otsіnyuvannya tsіnnih paperіv, yaky daє zmogu viznachiti neobhіdnu income rate (discount rate), and the stop can vikoristati for znahodzhennya teperіshnoї vartostі tsіnnih paperіv.

Zamіst of dwellers teperіshnyu vartіst spodіvanih dohodіv znahoditi of formula

(4.20)

dotsіlnіshe skoristatisya sproschenoyu zalezhnіstyu

(4.21)

de FV n - maybutnya vartіst spodіvanih dohodіv; n - Quantity rokіv.

Zreshtoyu, yaky bi zastosovuvavsya method is not for vrahuvannya riziku - Standard vіdhilennya chi pokaznik -? Obidva stvoryuyut pіdґruntya for otsіnyuvannya aktivіv.

MoCA is the LC does not takі vzhe th bezdogannі, mozhlivі th INSHI suttєvі chinniki scho vplivayut viznachennya at discounted rates. Those sama stosuєtsya th vikoristannya randomness ryadіv for Pevnyi perіod hour, tobto tse not naykraschy sposіb viznachennya spodіvanih dohodіv.