Mathematical modeling of risk situations. Modeling risk situations in economics and business

Federal Agency for Education

T O M S AND Y POLITE

APPROVE

Dean of AWTF

Gaivoronsky S.A.

"_____" _______________ 2009

CALCULATION OF OPERATIONAL RISKS

course guidelines

CALCULATION OF OPERATIONAL RISKS

Guidelines for the course Guidelines for the course

"Risk Theory and Modeling risk situations»

for students of the specialty 080116 "Mathematical Methods in Economics"

Tomsk: Ed. TPU, 2009. - 26 p.

Compiled by: Kochegurov A.I.

Reviewer: Babushkin Yu.V.

Methodical instructions were discussed at the meeting of the Department of Applied Mathematics on November 16, 2008.

Head Department V.P.Grigoriev

1. The concept of economic risk and risk classification

The processes currently taking place in Russia, the changing business conditions have required a reorientation of the principles of the work of enterprises towards the analysis and evaluation of various external and internal factors affecting the efficiency of their activities. In foreign countries, even in relatively stable business conditions, considerable attention is paid to the problem of risk research. The leading principle in the work of the organization (manufacturing enterprise, commercial bank, trading company) is the desire for profit. This desire is limited by the possibility of incurring losses. This is where the concept of risk comes into play.

I would like to note that this concept has a fairly long history. But they began to study various aspects of risk most actively only at the end of the 19th - beginning of the 20th century.

There was no interest in the problem of economic risks in the USSR, and the reasons for this are obvious: the economic policy of the USSR for a long time corresponded to the orientation towards the predominantly extensive development of the national economy of the country and the dominance of administrative methods of management. All this led to the fact that the rationale for the effectiveness of economic activity in a planned economy and, accordingly, all feasibility studies of any projects did without risk analysis.

The implementation of modern economic reform in Russia aroused interest in the issues of considering risk in economic activity, and the risk theory itself in the process of forming market relations not only received its further development, but became practically in demand.

To date, there is still no unambiguous understanding of the nature of risk. Each financial manager has his own idea of ​​risk, methods for assessing it and ways to determine its size. In addition, risk is a complex phenomenon that has many different and sometimes opposite foundations and prerequisites, which makes it possible for there to be several definitions of risk concepts from different points of view, and here are just a few of them:

risk - possible danger; acting at random in the hope of a happy outcome;

risk is a potential, numerically measurable possibility of loss;

risk - uncertainty associated with the possibility of adverse situations and consequences during the implementation of the project;

risk is a concept used to express uncertainty about events and / or their consequences that may materially affect the objectives of the organization;

risk is any event that financial results company performance may be lower than expected.

It should also be noted that the concept of "risk" is interpreted in different ways and depending on the scope of risk management. For mathematicians, risk is a distribution function of a random variable, for insurers it is an insurance object, the amount of possible insurance compensation associated with an insurance object, for investors it is the uncertainty associated with the value of investments at the end of the period, the probability of not reaching the goal, for economists it is an event, associated with a hazardous event that may or may not occur, etc.

From these definitions, the close relationship between risk, probability and uncertainty is clearly visible. Therefore, for the most complete and accurate disclosure of the “risk” category, it is necessary to substantiate such concepts as “probability” and “uncertainty”, since the probabilistic nature of market activity and the uncertainty of the situation during its implementation underlies risks.

Consider the concept of probability. This term is fundamental to the theory of probability and allows quantitative comparison of events in terms of their degree of possibility. The probability of an event is a certain number, which is the greater, the more likely the event is. Probability is the possibility of obtaining a certain result. Obviously, the event that occurs more often is considered more likely. Thus, first of all, the concept of probability is connected with the experimental, practical concept of the frequency of an event.

The accuracy of measuring probabilities depends on the amount of statistical data and the possibility of using them for future events, i.e. from maintaining the conditions under which past events occurred. But at the same time, in many cases, when making decisions, statistical data are very small in volume or not available at all, therefore, another way of measuring the probabilities of the situation is used, based on the subjective views of the decision maker.

In this regard, the probabilities measured in this way are called the subjective probabilities of the situation. When determining subjective probabilities, the opinion of the subject, reflecting the state of his information fund, comes first. In other words, the subjective probability is determined on the basis of an assumption based on a judgment or personal experience evaluator (expert), and not on the frequency with which a similar result was obtained in similar conditions. Hence the wide variation in subjective probabilities, which is explained by the spectrum of different information or possibilities of operating with the same information.

Dependence on the volume of initial information and on the subject leads to the fact that uncertainty is added to the probabilistic situation. Thus, the concept of probability alone is not enough to characterize risk.

Uncertainty implies the presence of factors under which the results of actions are not deterministic, and the degree of possible influence of these factors on the results is unknown, for example, it is incompleteness or inaccuracy of information.

The conditions of uncertainty that take place in any type of entrepreneurial activity are the subject of research and the object of constant observation by economists of various profiles.

Such an integrated approach to the study of the phenomenon of uncertainty is due to the fact that economic entities in the course of their functioning are dependent on a number of factors that can be divided into external (legislation, market reaction to products, actions of competitors) and internal (competence of the company's personnel, fallibility defining the characteristics of the project, etc.).

Another approach to the classification of uncertainty is used in the design of works and is associated with human uncertainty, with the impossibility of accurately predicting the behavior of people in the process of work. Technical uncertainty is much less than human uncertainty, it is associated with the reliability of equipment, the predictability of production processes, the complexity of technology, the level of automation, etc. Social uncertainty is determined by the desire of people to educate social connections and help each other.

Under these conditions, the development of construction projects and business plans, forecasting and planning of production volumes, sales and cash flows can be approximate calculations. Often, activities can bring losses instead of the expected profit.

Further, it should be taken into account that the risk accompanies all the processes taking place in the enterprise, regardless of whether they are active or passive. In this case, the third side of the risk is revealed - its belonging to any activity. For example, if an enterprise plans to implement a project, it is subject to investment, market risks; and if the enterprise does not carry out any actions, it again bears risks - the risk of lost profits, market risk.

This provision is already embedded in the very definition of the concept of “enterprise”, because in the course of its activities, the enterprise sets certain goals - to receive income, incur costs, etc. Therefore, it plans its activities. But, choosing this or that development strategy, the enterprise may lose its funds or receive an amount that is less than planned. This is due to the uncertainty of the situation in which it is located. In conditions of uncertainty, the management of the enterprise has to make decisions, the probability of successful implementation of which (and, therefore, the receipt of income in full) depends on many factors that affect the enterprise from the inside and outside. In this situation, the concept of risk is manifested, which means that the risk can be characterized as the probability of shortfall in planned income in the face of uncertainty associated with the activities of the enterprise.

Then it is possible to give the most appropriate definition of the concept of "risk". So, risk is the probability of an event occurring or the occurrence of circumstances associated with a given structure of business processes that can affect the achievement of goals.

This approach considers the results of an event without detaching from the causes. In addition, he draws a dividing line between controllable causes of risk and uncontrollable ones, which would be considered "events" or "circumstances". Risk factors that, when combined with risk events, can cause damage are organizational gaps and should be examined for their place in the business process diagram.

Thus, it should be noted that risk is a complex concept that is caused by uncertainty and is closely related to probabilistic processes. The risk is inextricably linked with the activities of the enterprise, regardless of whether this activity is active or passive. However, there are general goals that an effective risk management process should contribute to.

As a rule, the main goals pursued by companies when creating a risk management system are as follows:

the most efficient use of capital and maximum income;

increasing the sustainability of the company's development, work efficiency, overall productivity, reducing the likelihood of losing part or all of the company's value;

image improvement.

But whether the goal is to eliminate risks or manage them effectively, the value of an approach that addresses all three aspects of risk (event, impact, and organization's operating structure) is extremely high. This logical approach occurs three times: before the event (prevention), during the event (detection), and after the event (protection). A threat without prevention leads to a risky event, an event without detection leads to a missed event, and a missed event without protection leads to damage.

So, in order to achieve the above goals, it is necessary to reveal the essence of the main types of risk that the company faces.

Since the concept of risk covers almost all activities of an economic entity, then, as a result, there is a variety of risks that arise in the work of the company, and in order to correctly manage risks, the company must know what risks its activities are associated with. The classification of these risks is a rather complex problem, which has been dealt with by economists for quite a long time. Moreover, there are more than 40 different risk criteria and more than 220 types of risks, so there is no common understanding in the economic literature on this issue.

Thus, J. M. Keynes was one of the first to classify risks. He approached this issue from the side of the entity carrying out investment activities, identifying three main types of risks [J. M. Keynes. General Theory of Employment, Interest and Money. ch.11]:

entrepreneurial risk - the uncertainty of obtaining the expected income from investing funds;

"Lender" risk - the risk of non-repayment of a loan, including legal risk (avoidance of repayment of a loan) and credit risk (insufficiency of collateral);

risk of change in the value of the monetary unit - the probability of losing funds as a result of changes in the exchange rate of the national currency (market risk).

Keynes noted that these risks are closely intertwined - so the borrower, participating in a risky project, seeks to get the largest possible difference between the interest on the loan and the rate of return; the creditor, given the high risk, also seeks to maximize the difference between the net rate of interest and his interest rate. As a result, the risks are "superimposed" on each other, which is not always noticed by investors.

At present, most often, especially foreign authors, adhere to a classification in which the following types of risks necessarily appear:

operational risk (operational risk);

market risk (market risk);

credit risk.

This approach is followed by leading Western banks, experts of the Basel Committee, developers of systems for analysis, measurement and risk management.

To these basic risks are added several more options that occur in one sequence or another:

business risk (business risk);

liquidity risk;

legal risk (legal risk);

regulatory risk.

The last 4 risks do not appear in all developments. Thus, the risk associated with regulatory authorities is most relevant for banking organizations, so it is more common in areas related to banking. Liquidity risk is included by some authors in the concept of market risks.

In this work, we will rely on the classification that corresponds to the considered direction of the consulting company. This, firstly, will allow at the initial stage of the analysis to limit ourselves to those risks that have a direct impact on the company's work. Secondly, taking into account the specifics of the organization's activities will allow us to prioritize the study of profile risks and consider first of all those that have the greatest impact on the organization's activities.

The most comprehensive classification of risks is the Risk Management Guidelines for Derivatives. According to this document, the organization faces the following types of risks:

Credit risks (including repayment risk) are probable losses associated with the refusal or inability of a counterparty to fully or partially fulfill its credit obligations. These risks exist both for banks (the classic risk of default on a loan), and for enterprises with receivables and organizations operating in the market valuable papers.

Operational risks are the probability of direct or indirect losses as a result of uncontrollable events, business organization deficiencies, inadequate control, wrong decisions, system errors that are related to human resources(unprofessional, illegal actions of the company's personnel), technologies, property, internal systems, relationships with the internal and external environment, legislative regulation and individual risky projects. This can include risks associated with errors of the company's management, its employees, problems with the internal control system, poorly developed work rules, etc., i.e. operational risk is the risk associated with the internal organization of the company, as well as the risk of damage environment(environmental risk); the risk of accidents, fires, breakdowns; the risk of disruption in the functioning of the facility due to design and installation errors, a number of construction risks; equipment failures, etc.

Liquidity risk is the risk that a firm will not be able to repay its obligations with available capital at a particular moment. the probability of a loss due to a lack of funds in the required time frame and, as a result, the inability of the company to fulfill its obligations. The occurrence of such a risk event may entail fines, penalties, damage to the business reputation of the company, up to declaring it bankrupt. For example, a company must pay off its accounts payable within two weeks, but due to a delay in payment for shipped products, it does not have cash. It is obvious that the creditors will impose penalties on the enterprise. As a rule, liquidity risk occurs due to unprofessional management of cash flows, receivables and payables.

Market risks are possible losses resulting from changes in market conditions. They are associated with fluctuations in prices on commodity markets and exchange rates, exchange rates on stock markets, etc. Market risks are most exposed to volatile assets of the company (commodities, cash, securities, etc.), since their value largely depends on the prevailing market prices.

Legal risks - the risk that, in accordance with the current this moment the partner is not obliged by law to fulfill its obligations under the transaction.

Often, these risks are closely intertwined - a vivid example is the situation with the notorious English bank "Barings" - shortcomings in internal control systems (operational risk) and, as a result, the game on the stock exchange of one of the employees led to the impossibility of closing futures positions on SIMEX (risk of losing liquidity) due to incorrect price forecasting (market risk).

So, after conducting a study of the current situation in the company, we can say that at present the priority for “Success” is to reduce operational risks. Therefore, in this work we will focus on operational risks, their assessment and management.

In addition to the above classification, risks can be classified according to other criteria. For example, strategic and informational risks are often singled out.

Information risks are understood as the probability of damage as a result of the loss of information significant for the company.

Strategic risks are the risk of loss due to the uncertainty resulting from a company's long-term strategic decisions. In addition, they affect the company as a whole, and the application of the implemented risk analysis system to them at the enterprise can often lead to a change in the company's course, give a clear assessment of the company's planned actions to create a competitive advantage and conquer the market. A company's strategic risk assessment should take into account both the microeconomic environment (such as its closest competitors, changes in market conditions or resource prices) and the macroeconomic environment (in particular political risks that are difficult to assess).

Often, according to their consequences, risks are divided into three categories:

acceptable risk- this is the risk of a decision, as a result of which the enterprise is threatened with loss of profit; within this zone entrepreneurial activity retains its economic feasibility, i.e. losses take place, but they do not exceed the size of the expected profit;

critical risk- is the risk at which the company is threatened with loss of revenue; in other words, the critical risk zone is characterized by the danger of losses that obviously exceed the expected profit and, in extreme cases, can lead to the loss of all funds invested by the enterprise in the project;

catastrophic risk- the risk at which the insolvency of the enterprise occurs; losses can reach a value equal to the property status of the enterprise. This group also includes any risk associated with a direct danger to human life or the occurrence of environmental disasters.

The basis for the following classification of risks is also the nature of the impact on the results of the enterprise. Thus, risks are divided into two types:

clean risk - the possibility of a loss or a zero result;

speculative risk is the probability of obtaining both a positive and a negative result.

It is obvious that the above classifications are interconnected.

2. Modeling of risk situations and operational risk management

2.1 Features of operational risks

Once again, we note the fact that operational risks are primarily associated with a person: direct and indirect business losses arise due to errors of personnel, management, theft and abuse, and even in cases where they are caused by failures in the operation of telecommunications, computers and information technologies. systems, in most cases they are based on human errors.

Before talking about operational risk modeling, let's look at their unique characteristics:

Operational risks are endogenous in nature, and therefore different for each company. They depend on technologies, processes, organization, people and culture of the company, therefore, in order to manage operational risks, it is necessary to collect company-specific data. It should be noted that most companies do not have a long history of relevant data. And industry data may not be entirely applicable.

Operational risks are dynamic and constantly changing depending on the strategy, business processes, applied technologies, competitive environment, etc., as a result, it becomes clear that even the historical data of the company itself may not be relevant indicators of current and future risks.

The most effective risk mitigation strategies include changes in business processes, technology, organization and people, i.e. a modeling approach is needed that can measure the impact on operational decisions. For example, how will operational risk change if a company starts selling and servicing products over the Internet, or if some key functions are outsourced?

The most common operational risks:

errors in computer programs ah( failure software and information technology or systems, failure of equipment and communications);

personnel errors (n inadequate qualifications of employees this operation; unfair execution of established provisions and regulations; personnel overload; random one-time errors);

errors in the function distribution system(duplication of functions; exclusion of individual functions);

lack of a work plan or its poor quality leads to delays in making managerial decisions, and the formalization of plans and procedures for action in critical situations not only facilitates the identification of problematic aspects, but also reduces the risk of labor conflicts.

Historically, the highest operational risks and the biggest losses on them occur in the presence of the following circumstances:

concentration occurs in a non-core area of ​​activity, where the company's management is not aware of the real risks associated with these trading operations;

an event duration of more than a few months indicates a careless control environment, negligent management, and a lack of awareness of the seriousness of the problem.

Description : The textbook "Risk Theory and Modeling of Risk Situations" was written in accordance with the requirements of the State Educational Standards of the 2nd generation of the Ministry of Education Russian Federation. It corresponds to the programs of the disciplines "Risk Theory and Modeling of Risk Situations" and "Mathematical Methods of Financial Analysis" special. 061800 "Mathematical Methods in Economics", the discipline program "Decision Theory and Risk Management in the Financial and Tax Sphere" spec. 351200 "Taxes and taxation", the program of discipline "Management" spec. 061100 "Management", as well as a number of economic specialties containing the discipline "Management", since "Risk Management" is part of this discipline.
The textbook "Risk Theory and Modeling of Risk Situations" contains eleven chapters.
The first chapter "The place and role of economic risks in the management of organizations" defines the organization, considers the types of organizations, their characteristics and goals. The place and role of risks in economic activity is determined, the definitions and essence of risks are given. The classification of uncertainties and risks is given, the risk management system is revealed, the basic concepts of risk management are given. The main mathematical methods for assessing economic risks are considered and their characteristics are given.
The second chapter "Risks of service enterprises" is devoted to service technologies and their differences from industrial technologies. The classification of risks of service enterprises is given and a dynamic analysis of the situation in the service market is given. A risk management model for service sector organizations is proposed.
The third chapter "The influence of the main factors of market equilibrium on risk management" is devoted to the study of the influence on the change in the degree of economic risk of such factors characterizing the uncertainty of a market economy as: risk limits, uncertainty in supply and demand, time accounting, elasticity, taxation, etc.
In the fourth chapter "Financial risk management" created theoretical basis financial risk management based on methods of financial and actuarial mathematics. A classification of financial risks is presented, the main parameters inherent in the considered financial risks are identified, and using the proposed mathematical methods, analytical dependencies are given for their assessment. This makes it possible to carry out a comparative quantitative analysis of risks and, on its basis, to choose such risk management methods that are the most effective.
The fifth chapter "Quantitative assessments of economic risk under uncertainty" considers methods for making effective solutions under conditions of uncertainty, using various performance criteria. Multicriteria problems of choosing efficient solutions are studied. Under consideration sewing company, for which the optimal volume of production is chosen under conditions of uncertainty and the functioning of the enterprise in a risky situation is studied.
The sixth chapter "Making the optimal decision under risk" is devoted to the presentation of probabilistic and statistical methods for making effective decisions and choosing the optimal solution using confidence intervals. The problem of choosing the optimal number of jobs in a hairdressing salon, taking into account the risk of servicing, is considered. Using the decision tree method, the problems of optimizing the strategy for entering the market, maximizing profit from shares and choosing the optimal project for the reconstruction of a dry cleaning factory are considered. The material devoted to the emergence of risks in setting the mission and goals of the company is touched upon. The activities of a company for interior decoration and design, an enterprise for baking bakery products and their subsequent sale, and a beauty salon under risk are investigated.
The seventh chapter "Management of investment projects under risk" gives the basic concepts of investment projects, their analysis and evaluation, investment risks are given. We study investments in a portfolio of securities, the purpose of which is to form an effective portfolio, made up of a combination of risk-free and risky assets. Methods of analysis of economic efficiency are given investment project and comparative financial analysis of investment projects. The methodology for accounting for project risks is considered and practical recommendations for their management are given.
The eighth chapter "Risk management of tourism" is devoted to the types and forms, dynamics of tourism development in Russia. The uncertainty factors of tourism development and the risks associated with tourism activities, as well as their classification are considered. The economic impact of tourism and the specifics of making a managerial decision are studied. The analysis of activity of the organization on rendering of tourist services in the conditions of risk is given.
The ninth chapter "Risk management of hotels and restaurants" discusses the development factors, features and specifics of hospitality, the risks inherent in the hospitality industry, and their management. Recommendations are given to reduce and manage risks in the hospitality business.
In the tenth chapter "Basic methods and ways to reduce economic" risks are explored on the basis of mathematical modeling economic tools for reducing risks: diversification, insurance, hedging using forward and future contracts, swaps and options, etc., as well as methods for improving risk management aimed at reducing their level and increasing profitability are summarized. An assessment of the effectiveness of risk management methods is given.
Chapter eleven "Psychology of behavior and assessment of the decision maker" is devoted to the study and systematization of the influence of psychological factors on the behavior of market participants and the formation of packages of recommendations for risk management and the choice of effective solutions. Are being considered conflict situations and the role of the manager in making risky decisions.
At the end of the textbook "Risk Theory and Modeling of Risk Situations", questions for repetition and self-control are given for each chapter.
Textbook content

THE PLACE AND ROLE OF ECONOMIC RISKS IN THE MANAGEMENT OF ORGANIZATIONS
1.1. Organizations, types of enterprises, their characteristics and goals
1.2. Place and role of risks in economic activity

• 1.2.1. Definition and nature of risks
• 1.2.2. Management of risks
• 1.2.3. Risk classification
• 1.2.4. System of uncertainties

• 1.3.1. Management activities
• 1.3.2. Risk management
• 1.3.3. Risk management process
• 1.3.4. Mathematical methods for assessing economic risks

• 3.2.1. Relationship between market equilibrium and commercial risk
• 3.2.2. Influence of Market Equilibrium Factors on Changes in Commercial Risk
• 3.2.3. Modeling the process of achieving equilibrium
• 3.2.4. The impact of changes in demand on the level of commercial risk
• 3.2.5. The impact of a change in supply on the degree of commercial risk
• 3.2.6. Building supply-demand dependencies

• 4.1.1. Classification of financial risks
• 4.1.2. Relationship of financial and operational leverage to total risk
• 4.1.3. Development risks

• 4.2.1. Types of interest risks
• 4.2.2. Operations with interest
• 4.2.3. Average percentages
• 4.2.4. Variable interest rate
• 4.2.5. Interest rate risks
• 4.2.6. Interest rate risk of bonds

• 4.3.1. Equivalent flows
• 4.3.2. Payment flows

• 4.4.1. Investment risks
• 4.4.2. Rates of return on risky assets
• 4.4.3. net present value
• 4.4.4. Annuity and sinking fund
• 4.4.5. Investment appraisal
• 4.4.6. Risk investment payments
• 4.4.7. Time discounting

• 4.5.1. Factors Contributing to Credit Risks
• 4.5.2. Credit risk analysis
• 4.5.3. Credit risk mitigation techniques
• 4.5.4. Loan payments
• 4.5.5. Accrual and payment of interest on consumer loans
• 4.5.6. Credit guarantees

• 4.7.1. Relationship between interest rate and inflation rate
• 4.7.2. inflation premium
• 4.7.3. The impact of inflation on various processes to reduce inflation

• 4.8.1. Currency Conversion and Interest Accrual
• 4.8.2. Exchange rates over time
• 4.8.3. Reduction of currency risks

• 4.9.1. Exchange risks
• 4.9.2. Impact of default risk and taxation
• 4.9.3. Asset value maximization

• 5.2.1. The concept of playing with nature
• 5.2.2. The subject of game theory. Basic concepts

• 5.3.1. Guaranteed result criterion
• 5.3.2. Criterion of optimism
• 5.3.3. Criterion of pessimism
• 5.3.4. Savage's Minimax Risk Criterion
• 5.3.5. Criterion of generalized maximin (pessimism - optimism) Hurwitz

• 5.5.1. Multicriteria tasks
• 5 5 2. Pareto optimality
• 5.5.3. Choice of decisions in the presence of multicriteria alternatives

• 5.7.1. Upper and lower price of the game
• 5.7.2. Reduction of a matrix game to a linear programming problem
• 5.7.3. Selection of the optimal product range

• 6.5.1. decision tree
• 6.5.2. Optimizing your go-to-market strategy
• 6.5.3. Profit maximization from shares
• 6.5.4. Selection of the optimal project for the reconstruction of a dry-cleaning factory

• 6.6.1. Choosing the optimal solution using statistical estimates
• 6.6.2. Normal distribution
• 6.6.3. Risk Curve
• 6.6.4. Choosing the Optimal Solution Using Confidence Intervals
• 6.6.5. Production cost forecasting model

• 6.8.1. Interior decorating and design firm
• 6.8.2. Enterprise for baking bakery products and their subsequent sale
• 6.8.3. Beauty saloon

• 7.1.1. Basic concepts of investment projects
• 7.1.2. Analysis and evaluation of investment projects
• 7.1.3. Risks of investment projects

• 7.3.1. Investment Management Process
• 7.3.2. Diversified portfolio
• 7.3.3. Risks associated with investing in a portfolio of securities
• 7.3.4. Practical recommendations for the formation of an investment portfolio

• 7.4.1. Analysis of associated risk factors
• 7.4.2. Preliminary assessment and selection of enterprises
• 7.4.3. Grade financial condition enterprises as an investment object
• 7.4.4. Examples of analysis using financial ratios
• 7.4.5. Assessment of the prospects for the development of the organization
• 7.4.6. Comparative the financial analysis investment projects
• 7.4.7. Analysis of organization survey methods in the field

• 7.5.1. Project risk assessment model
• 7.5.2. Accounting for risk when investing
• 7.5.3. Practical conclusions on the management of risky investment projects

• 8.1.1. Development of tourism in Russia
• 8.1.2. Types and forms of tourism
• 8.1.3. Features of tourism - as factors of development uncertainty

• 8.2.1. Travel motivation
• 8.2.2. Impact of tourism

• 8.3.1. Factors affecting tourism and the tourism economy
• 8.3.2. Classification of tourism risks

• 9.4.1. Identification of risks
• 9.4.2. Risks of investment projects
• 9.4.3. Risk Reduction in the Hospitality Industry

• 10.1.1. Risk Management Process Diagram
• 10.1.2. Risk Examples
• 10.1.3. Choice of risk management techniques

• 10.3.1. Essence of insurance
• 10.3.2. Main characteristics of insurance contracts
• 10.3.3. Calculation of insurance operations
• 10.3.4. insurance contract
• 10.3.5. Advantages and disadvantages of insurance

• 10.4.1. Risk Management Strategies
• 10.4.2. Basic concepts
• 10.4.3. Forward and futures contracts
• 10.4.4. Exchange rate hedging
• 10.4.5. Main aspects of risk
• 10.4.6. Hedging the exchange rate with a swap
• 10.4.7. Options
• 10.4.8. Insurance or hedging
• 10.4.9. Synchronization of cash flows
• 10.4.10. Hedging model
• 10.4.11. Measuring hedge effectiveness
• 10.4.12. Minimizing hedging costs
• 10.4.13. Correlated hedging

• 10.9.1. Risk financing
• 10.9.2. Assessing the effectiveness of risk management

• 11.1.1. Psychological problems of the behavior of an economic personality
• 11.1.2. Management actions of an entrepreneur in the service sector
• 11.1.3. Personal attitude to risk
• 11.1.4. intuition and risk

• 11.2.1. Plots of utility functions
• 11.2.2. Expected utility theory
• 11.2.3. Accounting for the attitude of the decision maker to risk
• 11.2.4. Group decision making

• 11.3.1. perspective theory
• 11.3.2. Rational approach to decision making
• 11.3.3. Decision Asymmetry
• 11.3.4. Behavior invariance
• 11.3.5. The role of information in decision making

• 11.5.1. Decision making under risk
• 11.5.2. Requirements for the decision maker
• 11.5.3. Principles for evaluating the effectiveness of decisions made by decision makers

The textbook outlines the essence of uncertainty and risk, classification and factors acting on them; methods of qualitative and quantification economic and financial situations under conditions of uncertainty and risk.

A classification of service technologies is given, examples of the activities of service organizations in risk situations are considered.

The methodology for managing investment projects under risk conditions is outlined, recommendations are given for managing an investment portfolio, an assessment of the financial condition and development prospects of the investment object is carried out, and a model for accounting for risks in investment projects is proposed.

Considerable attention is paid to the methods and models of risk management and the psychology of behavior and assessment of the decision maker.

For students and graduate students of economic universities and faculties, students of business schools, risk managers, innovation and investment managers, as well as specialists in banking and financial institutions, employees of pension, insurance and investment funds.

Chapter 1 PLACE AND ROLE OF ECONOMIC RISKS IN THE ACTIVITIES OF ORGANIZATIONS

1.2. PLACE AND ROLE OF RISKS IN ECONOMIC ACTIVITY

1.3. RISK MANAGEMENT SYSTEM

Chapter 2 RISKS OF SERVICE ENTERPRISES

Chapter 3 IMPACT OF MAIN FACTORS OF MARKET EQUILIBRIUM ON RISK MANAGEMENT

3.2. INFLUENCE OF MARKET EQUILIBRIUM FACTORS ON RISK CHANGE

Chapter 4 FINANCIAL RISK MANAGEMENT

4.1. FINANCIAL RISKS

4.2. INTEREST RISKS

4.4. RISK INVESTMENT PROCESSES

4.5 CREDIT RISKS

4.7. INFLATION RISK

4.8. CURRENCY RISKS

4.9. ASSET RISKS

Chapter 5 QUANTITATIVE ESTIMATES OF ECONOMIC RISK UNDER UNCERTAINTY

5.2. MATRIX GAMES

5.5. MULTI-CRITERIA PROBLEMS OF THE SELECTION OF EFFICIENT SOLUTIONS

5.7. DETERMINING THE OPTIMAL VOLUME OF PRODUCTION OF A SEWING ENTERPRISE UNDER UNCERTAINTY

Chapter 6 OPTIMAL DECISION-MAKING UNDER ECONOMIC RISK

6.5. SELECTION OF THE OPTIMAL PLAN BY THE METHOD OF CONSTRUCTING EVENT TREES

6.6. COMPARATIVE EVALUATION OF SOLUTION OPTIONS

6.8. ACTIVITIES OF SERVICE ENTERPRISES UNDER RISK

Chapter 7 MANAGEMENT OF INVESTMENT: PROJECTS UNDER RISK

7.1. INVESTMENT PROJECTS IN THE CONDITIONS OF UNCERTAINTY OF IRISK

7.3. INVESTMENT IN SECURITIES PORTFOLIO

7.4. ANALYSIS OF THE ECONOMIC EFFICIENCY OF THE INVESTMENT PROJECT

7.5. RISK ACCOUNTING IN INVESTMENT ~ PROJECTS

Chapter 8 RISK MANAGEMENT OF TOURISM

8.2. PSYCHOLOGY OF THE IMPACT OF TOURISM ON PARTICIPANTS AND SURROUNDINGS

8.3. RISKS ASSOCIATED WITH TOURISM ACTIVITIES

Chapter 9 RISK MANAGEMENT OF HOTELS AND RESTAURANTS

9.4. RISKS IN THE HOSPITALITY INDUSTRY AND THEIR MANAGEMENT

Qualitative risk analysis methods

After all possible risks for a particular project have been identified, it is necessary to determine the feasibility of investing, developing and working on this project. To do this, an analysis of the risks of the investment project is carried out.

All possible and proposed risk analysis methods in theory can be conditionally divided into qualitative and quantitative approaches. A qualitative approach, in addition to identifying risks, involves determining the sources and causes of their occurrence, as well as a cost estimate of the consequences. The main features of the qualitative approach are: identifying simple risks for the project, determining dependent and independent risks both from each other and from external factors, and determining whether the risks are avoidable or not.

With the help of qualitative analysis, all risk factors are determined that entail, to one degree or another, losses or losses of the enterprise, as well as the probability and time of their occurrence. For the worst scenario of the project development, the maximum amount of the company's losses is calculated.

In the qualitative approach, the following methods of risk analysis are distinguished: the method of expert assessments; cost-benefit method; analogy method.

Method of expert assessments.

The method of expert assessments includes three main components. Firstly, the intuitive-logical analysis of the problem is based only on the intuitive assumptions of certain experts; only their knowledge and experience can serve as a guarantor of the correctness and objectivity of the conclusions. Secondly, the issuance of expert evaluation decisions, this stage is the final part of the expert's work. The experts form a decision on the expediency of working with the project they are studying, and an assessment of the expected results is proposed, according to different scenarios project development. The third stage, the final one for the method of expert assessments, is the processing of all the results of the solution. In order to obtain a final assessment, all received assessments from experts must be processed, and an overall relatively objective assessment and decision regarding a specific project is identified.

Experts are invited to fill out a questionnaire with a detailed list of risks related to the analyzed project, in which they need to determine the probability of occurrence of the risks identified by them on a certain scale. The most common methods of expert risk assessments include the Delphi method, the scoring method, ranking, pairwise comparison, and others.

The Delphi method is one of the expert assessment methods that provides a quick search for solutions, among which best solution. The use of this method allows avoiding contradictions among experts and obtaining independent individual decisions, excluding communication between experts during the survey. Experts are given a questionnaire, on the questions of which they need to give independent, maximally objective assessments, and reasonable assessments. Based on the completed questionnaires, the decision of each expert is analyzed, the prevailing opinion, extreme judgments are revealed, as clearly as possible, accessible and reasoned decisions are made, etc. As a result, experts can change their minds. The whole operation is usually carried out in 2-3 rounds, until the opinions of experts begin to coincide, which will be the final result of the study.

The risk scoring method is based on a generalizing indicator determined by a number of private expertly assessed indicators of the degree of risk. It consists of the following steps:

• 1) Identification of factors that influence the occurrence of risk;
• 2) The choice of a generalized indicator and a set of particular criteria that characterize the degree of risk for each of the factors;
• 3) Drawing up a system of weighting coefficients and a rating scale for each indicator (factor);
• 4) Integral assessment of the generalized criterion of the degree of project risks;
• 5) Development of recommendations for risk management.

The ranking method implies the arrangement of objects in ascending or descending order of some property inherent in them. Ranking allows you to choose the most significant of the studied set of factors. The result of the ranking is the ranking.

If available n objects, then as a result of their ranking by the j-th expert, each object receives a score x ij - the rank attributed to the i-th object by the j-th expert. Values ​​x ij are in the range from 1 to n. The rank of the most important factor is equal to one, the least significant - to the number n. The ranking of the j-th expert is the sequence of ranks x 1j , x 2j , …, x nj .

This method simple in its implementation, however, when evaluating a large number of parameters, experts face the difficulty of building a ranked series, due to the fact that it is necessary to simultaneously take into account many complex correlations.

The method of pairwise comparison is the establishment of the most preferable objects when comparing all possible pairs. In this case, there is no need, as in the ranking method, to order all objects, it is necessary to identify a more significant object in each of the pairs or establish their equality.

Again, in comparison with the ranking method, pairwise comparison can be carried out with in large numbers parameters, as well as in cases of insignificant differences in parameters (when it is practically impossible to rank them, and they are combined into a single one).

When using the method, a matrix of size is most often compiled nxn, where n- the number of compared objects. When comparing objects, the matrix is ​​filled with elements a ij as follows (another filling scheme can be proposed):

The sum (per line) in this case allows you to evaluate the relative importance of objects. The object for which the amount will be the largest can be recognized as the most important (significant).

The summation can also be done by columns (), then the most significant will be the factor that scored the least number of points.

Expert analysis consists in determining the degree of risk impact based on expert assessments of specialists. The main advantage of this method is the simplicity of calculations. There is no need to collect accurate baseline data and use expensive and software tools. However, the level of risks depends on the knowledge of experts. And also a disadvantage is the difficulty in attracting independent experts and the subjectivity of their assessments. For the clarity and objectivity of the results, this method can be used in conjunction with other quantitative methods (more objective).

The method of relevance and expediency of costs, the method of analogies.

Cost-benefit analysis is based on the assumption that certain factors (or one of them) are causing the project to overspend. These factors include:

• · Initial underestimation of the cost of the project as a whole or its individual phases and components;
• change of design boundaries due to unforeseen circumstances;
• difference in the productivity of machines and mechanisms from that provided for by the project;
• · an increase in the cost of the project compared to the original, due to inflation or changes in tax legislation.

To carry out the analysis, first of all, all the above factors are detailed, then an estimated list of possible increases in project costs is compiled for each option for its development. The entire project implementation process is divided into stages, on the basis of this, the process of financing for the development and implementation of the project is also divided into stages. However, the stages of financing are set conditionally, as some changes may be made as the project is developed and developed. A phased investment of funds allows the investor to more closely monitor the work on the project, and in the event of an increase in risks, either stop or suspend financing, or begin to take certain measures to reduce costs.

Among the qualitative methods of risk analysis, the analogy method is also common. The main idea of ​​this method is to analyze other projects similar to the one being developed. On the basis of the same risky projects, possible risks are analyzed, their causes, the consequences of the impact of risks, and the consequences of the impact on the project of adverse external or internal factors. The resulting information is then projected onto new project, which allows you to determine all the maximum possible potential risks. The source of information can be the reliability ratings of design, contracting, investment and other companies regularly published by Western insurance companies, analyzes of trends in demand for specific products, prices for raw materials, fuel, land, etc. .

The complexity of this method of analysis is the difficult support of the most accurate analogue, due to the fact that there are no formal criteria that accurately establish the degree of similarity of situations. But, as a rule, even in the case of choosing the right analogue, it becomes difficult to formulate the correct prerequisites for analysis, a complete and close to reality set of project failure scenarios. The reason is that there are very few or no completely identical projects, any project under study has its own individual characteristics and risks that are interconnected according to the uniqueness of the project, so it is not always possible to absolutely accurately determine the cause of a particular risk.

A brief description of the cost moderation method and the analogy method indicates that they are more suitable for identifying and describing possible risk situations for a particular project than for obtaining even a relatively accurate assessment of the risks of an investment project.

Quantitative risk analysis method

To assess the risks of investment projects, the following quantitative methods of analysis are most common, such as:

• sensitivity analysis
• scripting method
• simulation modeling (Monte Carlo method)
• discount rate adjustment method
• decision tree

Sensitivity analysis

In the sensitivity analysis method, the risk factor is taken as the degree of sensitivity of the resulting indicators of the analyzed project to changes in the external or internal conditions of its functioning. The resulting project indicators are usually performance indicators (NPV, IRR, PI, PP) or annual project indicators ( net profit accumulated profit). Sensitivity analysis is divided into several successive stages:

• the basic values ​​of the resulting indicators are established, the relationship between the initial data and the resulting ones is mathematically established
• the most probable values ​​of the initial indicators are calculated, as well as the range of their changes (usually within 5-10%)
• the most probable values ​​of the resulting indicators are determined (calculated)
• The initial studied parameters are recalculated in turn within the obtained range, new values ​​of the resulting parameters are obtained
• · The input parameters are ranked according to their degree of influence on the resulting parameters. Thus, they are grouped based on the degree of risk.

The degree of exposure of the investment project to the corresponding risk and the sensitivity of the project to each factor is determined by calculating the elasticity index, which is the ratio of the percentage change in the resulting indicator to the change in the parameter value by one percent.

Where: E - elasticity index

NPV 1 - the value of the underlying resulting indicator

NPV 2 - the value of the resulting indicator when changing the parameter

X 1 - base value of the variable parameter

X 2 - changed value of the variable parameter

The higher the value of the elasticity index, the more sensitive the project is to changes in this factor, and the more the project is exposed to the corresponding risk.

Also, sensitivity analysis can be carried out graphically, by plotting the dependence of the resulting indicator on the change in the factor under study. The sensitivity of the NPV value to a change in the factor varies by the level of the slope of the dependence, the larger the angle, the more sensitive the values, and also the greater the risk. At the point of intersection of the direct response with the abscissa axis, the parameter value is determined in percentage terms, at which the project will become ineffective.

After that, based on the calculations, all the obtained parameters are ranked according to the degree of significance (high, medium, low), and a "sensitivity matrix" is built, with the help of which the factors that are the most and least risky for the investment project are highlighted.

Regardless of the advantages inherent in the method - the objectivity and clarity of the results obtained, there are also significant drawbacks - the change in one factor is considered in isolation, while in practice all economic factors are correlated to one degree or another.

Scenario Method

The scenario method is a description of all possible conditions for the implementation of the project (either in the form of scenarios or in the form of a system of restrictions on the values ​​of the main parameters of the project) as well as a description of possible results and performance indicators. This method, like all others, also consists of certain sequential steps:

• At least three possible scenarios are built: pessimistic, optimistic, realistic (or most likely or average)
• initial information about uncertainty factors is converted into information about the probability of individual implementation conditions and certain performance indicators

Based on the data obtained, the indicator of the economic efficiency of the project is determined. If the probabilities of the occurrence of one or another event reflected in the scenario are known exactly, then the expected integral effect of the project is calculated by the mathematical expectation formula:

Where: NPVi - integral effect in the implementation of the i-th scenario

pi - the probability of this scenario

At the same time, the risk of project inefficiency (Re) is estimated as the total probability of those scenarios (k) in which the expected project effectiveness (NPV) becomes negative:

The average damage from the implementation of the project in case of its inefficiency (Ue) is determined by the formula:

The main disadvantage of the scenario analysis method is the factor of taking into account only a few possible outcomes for an investment project, but in practice the number of possible outcomes is not limited.

PERT analysis method (Program Evaluation and Review Technique)

One of the methods of scenario analysis is the PERT-analysis method (Program Evaluation and Review Technique). The main idea of ​​this method is that when developing a project, three project parameters are set - optimistic, pessimistic, and most probable. The expected values ​​are then calculated using the following formula:

Expected Value = [Optimistic Value 4xMost Likely Value + Pessimistic Value]/6

Coefficients 4 and 6 are obtained empirically based on the statistical data of a large number of projects. Based on the results of the calculation, the rest of the analysis of the project is carried out. The effectiveness of the PERT analysis is maximum only if it is possible to justify the values ​​of all three estimates.

decision tree

The decision tree method represents network diagrams, in which each branch, then various alternative options for the development of the project. Following along each built project branch, you can trace all possible stages of project development, and, accordingly, choose the most optimal of them, and with the least risk. This method of analysis is divided into the following stages:

• Vertices are determined for each problematic and ambiguous moment in the development of the project, and branches are built (possible paths for the development of events)
• · For each arc, the probability and possible losses at this stage are determined by an expert method.
• · Based on all obtained vertex values, the most probable value of NPV (or other indicator significant for the project) is calculated
• Probability distribution analysis is carried out

The only limitation and possibly a disadvantage of the method is the mandatory availability of a reasonable number of options for the development of the project. The main difference is the possibility of full and detailed accounting of all factors and risks affecting the project. The method is especially used in situations where decisions on the implementation of the project are made gradually, and depend on earlier decisions taken Thus, each decision in turn determines the scenario for the further development of the project.

Simulation modeling (Monte Carlo method)

Risk analysis of investment projects by the Monte Carlo method combines two previously studied methods: the method of sensitivity analysis and scenario analysis. In simulation, instead of generating best and worst scenarios, hundreds of possible combinations of project parameters are generated by the computer, given their probability distribution. Each resulting combination gives its own NPV value. Such a calculation is possible only with the use of special computer programs. The stage-by-stage scheme of simulation modeling is constructed as follows:

• The factors influencing the cash flows project;
• a probability distribution is built for each factor (parameter), while, as a rule, it is assumed that the distribution function is normal, therefore, in order to set it, it is necessary to determine only two points (expectation and variance);
• · the computer randomly selects the value of each risk factor based on its probability distribution;

Fig.1.3

Fig.1.4

Among the disadvantages of this method of risk modeling are the following:

• the existence of correlated parameters greatly complicates the model
• the type of probability distribution for the parameter under study can be difficult to determine
• · when developing real models, it may be necessary to involve specialists or scientific consultants from outside;
• The study of the model is possible only with the availability of computer technology and special software packages;
• · relative inaccuracy of the obtained results in comparison with other methods of numerical analysis.

Discount rate adjustment method

Because of the simplicity of the calculations, the Risk-adjusted discount rate method is the most applicable in practice. This method is an adjustment to a given basic discount rate that is considered risk-free and minimally acceptable (for example, the company's marginal cost of capital). The adjustment is carried out as follows: the amount of the required risk premium is added, then the investment project efficiency criteria (NPV, IRR, PI) are calculated. The project efficiency decision is made according to the chosen criterion rule. The higher the risk, the higher the premium.

Risk adjustments are set separately for each individual project, as they completely depend on the specifics of the project under study.