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# 6 job evaluation and risk analysis, option 16

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Question 16. Assessing the impact of the structure and cost of capital on the effectiveness of the investment project

Task 8.2

Determine the magnitude of the risks from the purchase of assets of the two companies, equal to the value of X1 (mln. Dollars.) And X2 (mln. Dollars.).

The value of the joint buying is described as a function: y = ex1 + kx2.

Fluctuations in the value X1 and X2 with respect to the mean value describes the standard deviation: RMS (x1) = 1 million. USD., And RMS (x2) = 2 million. Dollars.

Consider limiting the options of companies:

1) On one market;

2) independent markets;

3) Purchase of good "diversified portfolio".

Variant m = 2: k = 1/2, e = 1/2.

Objective 3.2

There is a project duration of 2 years, 1 year at an investment whose value is precisely defined, and in the second year of the receipt of income is probabilistic and the data given in the table below:

Variants of income Income (Rm) The probability (Pm) Investments (I)

1 10 000 0.1 12 000

2 12 000 0.2 12 000

3 14 000 0.4 12 000

4 16 000 0.2 12 000

5 18 000 0.1 12 000

To determine the riskiness of the project, at a discount rate r (%), calculate the NPV for different discount rates:

r2 = 10%

Task 9.2.

According to five independent experts, the project will bring revenue Q with probability P. These are placed in the table.

Q, mln. P. 10 11 12 14 15

p 0.1 0.2 0.4 0.2 0.1

Define:

1. the riskiness of the project - expected average income and the risk of receiving less expected amount;

2. What is the maximum and the minimum income to be expected with a given confidence level Rzad = 0.683, if the risk of innovation;

3. What is the expected return is received, if for reasons independent project under the same conditions will be delayed for a year, the discount rate is equal to: r = 12%.

Problem 11.2

N randomly selected loans to the bank. Defectors have appeared k loans. Find the boundaries of the interval with a level of confidence Rdov = 0.954 for the probability of non-repayment of loans by the totality of loans granted by banks.

n = 2000; k = 100.

Problem 12.2

Calculate the VaR analytical method, if the portfolio is N and bought futures on the US dollar since January performance, the current futures price of P, based on the statistics of the January futures, the values \u200b\u200bstandard deviation coefficients K corresponding to each of the confidence levels that are listed in the table :

The confidence level of 90.0% 95.0% 97.5% 99.0%

Ratio 1.28 1.65 1.96 2.33

MSE Price Tool P its current value N, thous. Pcs.

0,003 100 200

# Additional information

17 pages