Minimum risk rule author. Method of the minimum number of erroneous decisions

Koshechkin S.A. Ph.D., International Institute of Economics of Law and Management (MIEPM NNGASU)

Introduction

In practice, an economist in general and a financier in particular very often has to evaluate the efficiency of a particular system. Depending on the characteristics of this system, the economic meaning of efficiency can be expressed in various formulas, but their meaning is always the same - this is the ratio of results to costs. In this case, the result has already been obtained, and the costs have been incurred.

But how important are such posterior estimates?

Of course, they represent a certain value for accounting, characterize the operation of the enterprise over the past period, etc., but it is much more important for a manager in general and a financial manager in particular to determine the efficiency of the enterprise in the future. And in this case, the efficiency formula needs to be slightly adjusted.

The fact is that we do not know with 100% certainty either the magnitude of the result obtained in the future or the magnitude of potential future costs.

The so-called “uncertainty” that we must take into account in our calculations, otherwise we will simply end up with the wrong decision. As a rule, this problem arises in investment calculations when determining efficiency investment project(IP), when an investor is forced to determine for himself what risk he is willing to take in order to get the desired result, while the solution to this two-criteria problem is complicated by the fact that investors’ risk tolerance is individual.

Therefore, the criterion for making investment decisions can be formulated as follows: an individual entrepreneur is considered effective if its profitability and risk are balanced in a proportion acceptable for the project participant and formally presented in the form of expression (1):

IP efficiency = (Profitability; Risk) (1)

By “profitability” it is proposed to understand economic category, characterizing the relationship between the results and costs of an individual entrepreneur. IN general view IP profitability can be expressed by formula (2):

Profitability =(NPV; IRR; PI; MIRR) (2)

This definition does not at all contradict the definition of the term “efficiency”, since the definition of the concept “efficiency”, as a rule, is given for the case of complete certainty, i.e. when the second coordinate of the “vector” - risk, is equal to zero.

Efficiency = (Profitability; 0) = Result: Costs (3)

Those. in this case:

Efficiency ≡ Profitability(4)

However, in a situation of “uncertainty” it is impossible to speak with 100% confidence about the magnitude of results and costs, since they have not yet been received, but are only expected in the future, therefore there is a need to make adjustments to this formula, namely:

R r and R z - the possibility of obtaining a given result and costs, respectively.

Thus, in this situation, a new factor appears - a risk factor, which certainly must be taken into account when analyzing the effectiveness of IP.

Definition of risk

IN general case Risk is understood as the possibility of some unfavorable event occurring, entailing various types of losses (for example, physical injury, loss of property, receiving income below the expected level, etc.).

The existence of risk is associated with the inability to predict the future with 100% accuracy. Based on this, it is necessary to highlight the main property of risk: risk occurs only in relation to the future and is inextricably linked with forecasting and planning, and therefore with decision-making in general (the word “risk” literally means “decision making”, the result of which is unknown ). Following the above, it is also worth noting that the categories “risk” and “uncertainty” are closely related and are often used as synonyms.

First, risk occurs only in cases where a decision is necessary (if this is not the case, there is no point in taking risks). In other words, it is the need to make decisions in conditions of uncertainty that creates risk; in the absence of such a need, there is no risk.

Secondly, risk is subjective, and uncertainty is objective. For example, the objective lack of reliable information about the potential volume of demand for manufactured products leads to a range of risks for project participants. For example, the risk generated by uncertainty due to the lack of marketing research for an individual entrepreneur turns into a credit risk for the investor (the bank financing this individual entrepreneur), and in the case of non-repayment of the loan, into the risk of loss of liquidity and further into the risk of bankruptcy, and for the recipient this risk is transformed into the risk of unforeseen fluctuations in market conditions, and for each of the IP participants the manifestation of risk is individual, both in qualitative and quantitative terms.

Speaking about uncertainty, we note that it can be specified in different ways:

In the form of probability distributions (distribution random variable it is known exactly, but it is not known what specific value the random variable will take)

In the form of subjective probabilities (the distribution of a random variable is unknown, but the probabilities of individual events, determined by expert means, are known);

In the form of interval uncertainty (the distribution of a random variable is unknown, but it is known that it can take on any value in a certain interval)

In addition, it should be noted that the nature of uncertainty is formed under the influence of various factors:

Temporary uncertainty is due to the fact that it is impossible to predict the value of a particular factor in the future with an accuracy of 1;

Unknown exact values parameters of the market system can be characterized as uncertainty of market conditions;

The unpredictability of the behavior of participants in a situation of conflict of interest also creates uncertainty, etc.

The combination of these factors in practice creates a wide range of different types of uncertainty.

Since uncertainty is a source of risk, it should be minimized by acquiring information, ideally, trying to reduce uncertainty to zero, i.e. to complete certainty, by obtaining high-quality, reliable, comprehensive information. However, in practice, this is usually not possible, therefore, when making a decision under conditions of uncertainty, it is necessary to formalize it and assess the risks the source of which is this uncertainty.

Risk is present in almost all areas human life, therefore it is impossible to formulate it accurately and unambiguously, because the definition of risk depends on the scope of its use (for example, for mathematicians risk is a probability, for insurers it is the subject of insurance, etc.). It is no coincidence that many definitions of risk can be found in the literature.

Risk is the uncertainty associated with the value of an investment at the end of a period.

Risk is the probability of an unfavorable outcome.

Risk is a possible loss caused by the occurrence of random unfavorable events.

Risk is a possible danger of loss arising from the specifics of certain natural phenomena and activities of human society.

Risk is the level of financial loss, expressed a) in the possibility of not achieving the goal; b) the uncertainty of the predicted result; c) in the subjectivity of assessing the predicted result.

All the many studied methods for calculating risk can be grouped into several approaches:

First approach : risk is assessed as the sum of the products of possible damages, weighted taking into account their probability.

Second approach : risk is assessed as the sum of risks from decision making and risks from the external environment (independent of our decisions).

Third approach : risk is defined as the product of the probability of a negative event occurring and the degree of negative consequences.

All these approaches, to one degree or another, have the following disadvantages:

The relationship and differences between the concepts of “risk” and “uncertainty” are not clearly shown;

The individuality of risk and the subjectivity of its manifestation are not noted;

The range of risk assessment criteria is limited, as a rule, to one indicator.

In addition, the inclusion in risk assessment indicators of such elements as opportunity costs, lost profits, etc., found in the literature, according to the author, is inappropriate, because they characterize profitability rather than risk.

The author proposes to consider risk as an opportunity ( R) losses ( L), arising from the need to make investment decisions under conditions of uncertainty. At the same time, it is especially emphasized that the concepts of “uncertainty” and “risk” are not identical, as is often believed, and the possibility of an adverse event occurring should not be reduced to one indicator - probability. The degree of this possibility can be characterized by various criteria:

The probability of an event occurring;

The magnitude of the deviation from the predicted value (range of variation);

Dispersion; expected value; standard deviation; asymmetry coefficient; kurtosis, as well as many other mathematical and statistical criteria.

Since uncertainty can be specified by its various types (probability distributions, interval uncertainty, subjective probabilities, etc.), and the manifestations of risk are extremely diverse, in practice it is necessary to use the entire arsenal of the listed criteria, but in the general case the author suggests using the expectation and the mean square deviation as the most adequate and well-proven criteria in practice. In addition, it is emphasized that when assessing risk, individual risk tolerance should be taken into account ( γ ), which is described by indifference or utility curves. Thus, the author recommends that risk be described by the three aforementioned parameters (6):

Risk = (P; L; γ) (6)

Comparative analysis of statistical risk assessment criteria and their economic entity are presented in the next paragraph.

Statistical risk criteria

Probability (R) events (E)– number ratio TO cases of favorable outcomes, to the total number of all possible outcomes (M).

P(E)= K/M (7)

The probability of an event occurring can be determined by an objective or subjective method.

The objective method of determining probability is based on calculating the frequency with which a given event occurs. For example, the probability of getting heads or tails when tossing a perfect coin is 0.5.

The subjective method is based on the use of subjective criteria (the judgment of the evaluator, his personal experience, expert assessment) and the probability of an event in this case may be different, being assessed by different experts.

There are a few things to note about these differences in approach:

First, objective probabilities have little to do with investment decisions, which cannot be repeated many times, while the probability of getting heads or tails is 0.5 over a significant number of tosses, and for example, with 6 tosses, 5 heads can appear. and 1 tails.

Secondly, some people tend to overestimate the likelihood of unfavorable events and underestimate the likelihood of positive events, while others do the opposite, i.e. react differently to the same probability (cognitive psychology calls this the context effect).

However, despite these and other nuances, it is believed that subjective probability has the same mathematical properties as objective probability.

Range of variation (R)– the difference between the maximum and minimum value of the factor

R= X max - X min (8)

This indicator gives a very rough assessment of risk, because it is an absolute indicator and depends only on the extreme values ​​of the series.

Dispersion – the sum of squared deviations of a random variable from its mean, weighted by the corresponding probabilities.

(9)

Where M(E)– average or expected value (mathematical expectation) of a discrete random variable E is defined as the sum of the products of its values ​​and their probabilities:

(10)

Mathematical expectation is the most important characteristic of a random variable, because serves as the center of its probability distribution. Its meaning is that it shows the most plausible value of the factor.

Using variance as a measure of risk is not always convenient, because its dimension is equal to the square of the unit of measurement of the random variable.

In practice, the results of the analysis are more clear if the spread of the random variable is expressed in the same units of measurement as the random variable itself. For these purposes, use standard (mean square) deviation σ(Ε).

(11)

All of the above indicators have one common drawback - this absolute indicators, the values ​​of which predetermine the absolute values ​​of the original factor. It is therefore much more convenient to use the coefficient of variation (CV).

(12)

Definition CV This is especially clear for cases where the average values ​​of a random event differ significantly.

Three points need to be made regarding the risk assessment of financial assets:

Firstly, when performing a comparative analysis of financial assets, profitability should be taken as the basic indicator, because the value of income in absolute form can vary significantly.

Secondly, the main indicators of risk in the capital market are dispersion and standard deviation. Since the basis for calculating these indicators is profitability (profitability), a relative and comparable criterion for different types of assets, there is no urgent need to calculate the coefficient of variation.

Thirdly, sometimes in the literature the above formulas are given without taking into account probability weighting. In this form they are suitable only for retrospective analysis.

In addition, the criteria described above were supposed to be applied to a normal probability distribution. It is, indeed, widely used in analyzing the risks of financial transactions, because its most important properties (symmetry of the distribution around the average, negligible probability of large deviations of a random variable from the center of its distribution, the three-sigma rule) make it possible to significantly simplify the analysis. However, not all financial transactions assume a normal distribution of income (issues of choosing a distribution are discussed in more detail below). For example, the probability distributions of receiving income from transactions with derivative financial instruments (options and futures) are often characterized by asymmetry (skew) relative to the mathematical expectation of a random variable (Fig. 1).

So, for example, an option to buy a security allows its owner to make a profit in the case of a positive return and at the same time avoid losses in the case of a negative one, i.e. Essentially, the option cuts off the return distribution at the point where losses begin.

Fig. 1 Probability density graph with right (positive) asymmetry

In such cases, using only two parameters (mean and standard deviation) in the analysis process may lead to incorrect conclusions. Standard deviation does not adequately characterize the risk for biased distributions, because it ignores that most of the variability is on the “good” (right) or “bad” (left) side of the expected return. Therefore, when analyzing asymmetric distributions, an additional parameter is used - the asymmetry (skew) coefficient. It represents the normalized value of the third central moment and is determined by formula (13):

The economic meaning of the asymmetry coefficient in this context is as follows. If the coefficient has positive value(positive slope), then the highest incomes (right “tail”) are considered more likely than low ones and vice versa.

The skewness coefficient can also be used to roughly test the hypothesis that a random variable is normally distributed. Its value in this case should be equal to 0.

In some cases, a distribution shifted to the right can be normalized by adding 1 to the expected return and then calculating natural logarithm the obtained value. This distribution is called lognormal. It is used in financial analysis along with normal.

Some symmetric distributions may be characterized by a fourth normalized central moment – kurtosis (e).

(14)

If the kurtosis value is greater than 0, the distribution curve is more skewed than the normal curve and vice versa.

The economic meaning of excess is as follows. If two transactions have symmetrical return distributions and the same averages, the investment with the higher kurtosis is considered less risky.

For a normal distribution, kurtosis is 0.

Selecting the distribution of a random variable.

The normal distribution is used when it is impossible to accurately determine the probability that a continuous random variable takes on a particular value. The normal distribution assumes that the variants of the predicted parameter gravitate toward the mean value. Parameter values ​​significantly different from the average, i.e. those located in the “tails” of the distribution have a low probability of implementation. This is the nature of the normal distribution.

The triangular distribution is a surrogate of the normal one and assumes a distribution that increases linearly as it approaches the mode.

A trapezoidal distribution assumes the presence of an interval of values ​​with the highest probability of implementation (HBP) within the RVD.

A uniform distribution is chosen when it is assumed that all variants of the predicted indicator have the same probability of occurrence

However, when the random variable is discrete rather than continuous, use binomial distribution And Poisson distribution .

Illustration binomial distribution An example is the tossing of dice. In this case, the experimenter is interested in the probabilities of “success” (falling out of a side with a certain number, for example, with a “six”) and “failure” (falling out of a side with any other number).

The Poisson distribution is applied when the following conditions are met:

1. Each small interval of time can be considered as an experience, the result of which is one of two things: either “success” or its absence – “failure”. The intervals are so small that there can only be one “success” in one interval, the probability of which is small and constant.

2. The number of “successes” in one large interval does not depend on their number in another, i.e. “successes” are randomly scattered across time periods.

3.The average number of “successes” is constant throughout the entire time.

Typically, the Poisson distribution is illustrated by recording the number of traffic accidents per week on a certain section of road.

Under certain conditions, the Poisson distribution can be used as an approximation of the binomial distribution, which is especially convenient when the use of the binomial distribution requires complex, labor-intensive, time-consuming calculations. The approximation guarantees acceptable results if the following conditions are met:

1. The number of experiments is large, preferably more than 30. (n=3)

2. The probability of “success” in each experiment is small, preferably less than 0.1. (p = 0.1) If the probability of “success” is high, then the normal distribution can be used for replacement.

3. The estimated number of “successes” is less than 5 (np=5).

In cases where the binomial distribution is very labor-intensive, it can also be approximated by a normal distribution with a “continuity correction”, i.e. making the assumption that, for example, the value of a discrete random variable 2 is the value of a continuous random variable in the interval from 1.5 to 2.5.

Optimal approximation is achieved when the following conditions are met: n=30; np=5, and the probability of “success” p=0.1 ( optimal value p=0.5)

The price of risk

It should be noted that in the literature and practice, in addition to statistical criteria, other risk measurement indicators are used: the amount of lost profits, lost income and others, usually calculated in monetary units. Of course, such indicators have a right to exist; moreover, they are often simpler and clearer than statistical criteria, but to adequately describe the risk they must also take into account its probabilistic characteristics.

C risk = (P; L) (15)

L - is defined as the sum of possible direct losses from an investment decision.

To determine the price of risk, it is recommended to use only such indicators that take into account both coordinates of the “vector”, both the possibility of an adverse event occurring and the amount of damage from it. As such indicators, the author suggests using, first of all, dispersion, standard deviation ( RMS-σ) and coefficient of variation ( CV). To enable economic interpretation and comparative analysis of these indicators, it is recommended to convert them into monetary format.

The need to take both indicators into account can be illustrated by the following example. Let's assume that the probability that a concert for which a ticket has already been purchased will take place with a probability of 0.5, it is obvious that the majority of those who bought a ticket will come to the concert.

Now let’s assume that the probability of a favorable outcome of an airliner flight is also 0.5; it is obvious that the majority of passengers will refuse the flight.

This abstract example shows that with equal probabilities of an unfavorable outcome, the decisions made will be polar opposite, which proves the need to calculate the “price of risk.”

Particular attention is focused on the fact that investors’ attitude to risk is subjective, therefore, in the description of risk there is a third factor - the investor’s risk tolerance (γ). The need to take this factor into account is illustrated by the following example.

Suppose we have two projects with the following parameters: Project “A” - profitability - 8% Standard deviation - 10%. Project “B” - profitability – 12% Standard deviation – 20%. The initial cost of both projects is the same – $100,000.

The probability of being below this level will be as follows:

From which it clearly follows that project “A” is less risky and should be preferred to project “B”. However, this is not entirely true, since the final investment decision will depend on the investor’s degree of risk tolerance, which can be clearly represented by the indifference curve .

From Figure 2 it is clear that projects “A” and “B” are equivalent for the investor, since the indifference curve unites all projects that are equivalent for the investor. At the same time, the nature of the curve will be individual for each investor.

Fig.2. Indifference curve as a criterion of investors' risk tolerance.

An investor’s individual attitude to risk can be graphically assessed by the degree of steepness of the indifference curve; the steeper it is, the higher the risk aversion, and vice versa, the lower it is, the more indifferent the attitude to risk. In order to quantify risk tolerance, the author suggests calculating the tangent of the tangent angle.

Investors' attitudes to risk can be described not only by indifference curves, but also in terms of utility theory. The investor's attitude to risk in this case is reflected by the utility function. The x-axis represents the change in expected income, and the y-axis represents the change in utility. Since in general zero income corresponds to zero utility, the graph passes through the origin.

Since the investment decision made can lead to both positive results (income) and negative ones (losses), its utility can also be both positive and negative.

The importance of using the utility function as a guide for investment decisions will be illustrated with the following example.

Let’s say an investor is faced with a choice whether or not to invest his money in a project that allows him to win and lose $10,000 with equal probability (outcomes A and B, respectively). Assessing this situation from the perspective of probability theory, it can be argued that an investor can, with an equal degree of probability, both invest his funds in the project and abandon it. However, after analyzing the utility function curve, you can see that this is not entirely true (Fig. 3)

Figure 3. Utility curve as a criterion for making investment decisions

From Figure 3 it can be seen that the negative utility of outcome “B” is clearly higher than the positive utility of outcome “A”. The algorithm for constructing a utility curve is given in the next paragraph.

It is also obvious that if the investor is forced to take part in the “game”, he expects to lose utility equal to U E = (U B – U A):2

Thus, the investor must be willing to pay the OS amount in order not to participate in this “game”.

Note also that the utility curve can be not only convex, but also concave, which reflects the investor’s need to pay insurance on this concave section.

It is also worth noting that utility plotted on the y-axis has nothing to do with the neoclassical concept of utility economic theory. In addition, on this chart The y-axis has an unusual scale; utility values ​​are plotted on it like degrees on the Fahrenheit scale.

The practical application of utility theory has revealed the following advantages of the utility curve:

1.Utility curves, being an expression of the individual preferences of the investor, being constructed once, allow making investment decisions in the future taking into account his preferences, but without additional consultations with him.

2.The utility function can generally be used to delegate decision-making rights. In this case, it is most logical to use the utility function of top management, since in order to ensure its position when making decisions, it tries to take into account the conflicting needs of all stakeholders, that is, the entire company. However, keep in mind that the utility function may change over time to reflect financial conditions at a given time. Thus, utility theory allows us to formalize the approach to risk and thereby scientifically substantiate decisions made under conditions of uncertainty.

Plotting a utility curve

The construction of an individual utility function is carried out as follows. The subject of the study is asked to make a series of choices between various hypothetical games, based on the results of which the corresponding points are plotted on the graph. So, for example, if an individual is indifferent to winning $10,000 with complete certainty or playing a game that wins $0 or $25,000 with equal probability, then one can argue that:

U(10.000) = 0.5 U(0) + 0.5 U(25.000) = 0.5(0) + 0.5(1) = 0.5

where U is the utility of the amount indicated in brackets

0.5 – probability of the game outcome (according to the game conditions, both outcomes are equivalent)

Utilities of other amounts can be found from other games using the following formula:

Uc (C) = PaUa(A) + PbUb(B) + PnUn(N)(16)

Where Nn– utility of the sum N

Un– probability of outcome with receiving a sum of money N

The practical application of utility theory can be demonstrated by the following example. Let’s say an individual needs to choose one of two projects described by the following data (Table 1):

Table 1

Constructing a utility curve.

Despite the fact that both projects have the same expected value, the investor will give preference to project 1, since its utility for the investor is higher.

The nature of risk and approaches to its assessment

Summarizing the above study of the nature of risk, we can formulate its main points:

Uncertainty is an objective condition for the existence of risk;

The need to make a decision is a subjective reason for the existence of risk;

The future is a source of risk;

The magnitude of losses is the main threat from the risk;

Possibility of loss - the degree of threat from the risk;

The “risk-return” relationship is a stimulating factor in decision-making under conditions of uncertainty;

Risk tolerance is a subjective component of risk.

When deciding on the effectiveness of an individual investment under conditions of uncertainty, the investor solves at least a two-criteria problem, in other words, he needs to find the optimal risk-return combination of the individual entrepreneur. Obviously, it is possible to find the ideal option “maximum profitability - minimum risk” only in very rare cases. Therefore, the author proposes four approaches to solve this optimization problem.

1. The “maximum gain” approach is that, from all options for investing capital, the option that gives the greatest result is selected ( NPV, profit) at a risk acceptable to the investor (R ex.add). Thus, the decision criterion in formalized form can be written as (17)

(17)

2. The “optimal probability” approach is that of possible solutions the one at which the probability of the result is acceptable for the investor is selected (18)

(18)

M(NPV) mathematical expectation NPV

3. In practice, the “optimal probability” approach is recommended to be combined with the “optimal variability” approach. The variability of indicators is expressed by their dispersion, standard deviation and coefficient of variation. The essence of the strategy of optimal outcome fluctuation is that from among the possible solutions, the one in which the probabilities of winning and losing for the same risky capital investment have a small gap is selected, i.e. the smallest amount of variance, average square deviation, variations.

(19)

Where:

CV(NPV) – coefficient of variation NPV

4. Minimum risk approach. From all possible options, the one that allows you to get the expected winnings is selected (NPV ex.add.) with minimal risk.

(20)

Investment project risk system

The range of risks associated with the implementation of individual entrepreneurs is extremely wide. There are dozens of risk classifications in the literature. In most cases, the author agrees with the proposed classifications, however, as a result of studying a significant amount of literature, the author came to the conclusion that hundreds of classification criteria can be named; in fact, the value of any IP factor in the future is an uncertain value, i.e. is a potential source of risk. In this regard, the construction of a universal general classification of IP risks is not possible and is not necessary. According to the author, it is much more important to identify an individual set of risks that are potentially dangerous for a particular investor and evaluate them, therefore this dissertation focuses on the tools for quantitative assessment of the risks of an investment project.

Let us examine in more detail the risk system of an investment project. Speaking about the risk of individual entrepreneurs, it should be noted that it involves risks in an extremely wide range of areas human activity: economic risks; political risks; technical risks; legal risks; natural risks; social risks; production risks, etc.

Even if we consider the risks associated with the implementation of only the economic component of the project, the list of them will be very extensive: the segment of financial risks, risks associated with fluctuations in market conditions, risks of fluctuations in business cycles.

Financial risks are risks caused by the probability of losses due to the implementation of financial activities in conditions of uncertainty. Financial risks include:

Risks of fluctuations in the purchasing power of money (inflationary, deflationary, currency)

The inflation risk of an individual entrepreneur is determined, first of all, by the unpredictability of inflation, since an erroneous inflation rate included in the discount rate can significantly distort the value of the indicator of the effectiveness of an individual entrepreneur, not to mention the fact that the operating conditions of national economic entities differ significantly at an inflation rate of 1% per month ( 12.68% per year) and 5% per month (79.58% per year).

Speaking about inflation risk, it should be noted that the interpretation of risk often found in the literature as the fact that income will depreciate faster than it is indexed is, to put it mildly, incorrect, and in relation to individual entrepreneurs is unacceptable, because The main danger of inflation lies not so much in its magnitude as in its unpredictability.

Subject to predictability and certainty, even the highest inflation can be easily taken into account in the IP either in the discount rate or by indexing the amount of cash flows, thereby reducing the element of uncertainty, and therefore risk, to zero.

Currency risk is the risk of loss of financial resources due to unpredictable fluctuations in exchange rates. Currency risk may play out cruel joke with the developers of those projects who, in an effort to avoid the risk of unpredictability of inflation, calculate cash flows in “hard” currency, as a rule, in US dollars, because Even the hardest currency is subject to internal inflation, and the dynamics of its purchasing power in a single country can be very unstable.

It is also impossible not to note the interrelationships between various risks. For example, currency risk can transform into inflation or deflation risk. In turn, all these three types of risk are interconnected with price risk, which refers to the risks of fluctuations in market conditions. Another example: the risk of fluctuations in business cycles is associated with investment risks, the risk of changes in interest rates, for example.

Any risk in general, and the risk of individual entrepreneurs in particular, is very multifaceted in its manifestations and often represents a complex construction of elements of other risks. For example, the risk of fluctuations in market conditions represents a whole set of risks: price risks (both for costs and products); risks of changes in the structure and volume of demand.

Fluctuations in market conditions can also be caused by fluctuations in business cycles, etc.

In addition, the manifestations of risk are individual for each participant in a situation associated with uncertainty, as mentioned above

The versatility of risk and its complex relationships is evidenced by the fact that even the solution to minimizing risk contains risk.

IP risk (R un)– this is a system of factors that manifests itself in the form of a set of risks (threats), individual for each participant in the IP, both quantitatively and qualitatively. The IP risk system can be represented in the following form (21):

(21)

The emphasis is placed on the fact that the risk of an IP is a complex system with numerous relationships, which manifests itself for each of the IP participants in the form of an individual combination - a complex, that is, the risk of the i-th project participant (Ri) will be described by formula (22):

Column of the matrix (21) shows that the significance of any risk for each project participant also manifests itself individually (Table 2).

table 2

An example of an individual entrepreneur's risk system.

To analyze and manage the IP risk system, the author proposes the following risk management algorithm. Its contents and tasks are presented in Fig. 4.

1. Risk analysis, as a rule, begins with a qualitative analysis, the purpose of which is to identify risks. This goal breaks down into the following tasks:

Identification of the full range of risks inherent in the investment project;

Description of risks;

Classification and grouping of risks;

Analysis of initial assumptions.

Unfortunately, the vast majority of domestic IP developers stop at this initial stage, which, in fact, is only the preparatory phase of a full-fledged analysis.

Rice. 4. Algorithm for managing IP risk.

2. The second and most complex phase of risk analysis is quantitative risk analysis, the purpose of which is to measure risk, which leads to the solution of the following tasks:

Formalization of uncertainty;

Risk calculation;

Risk assessment;

Risk accounting;

3. At the third stage, risk analysis smoothly transforms from a priori, theoretical judgments into practical risk management activities. This occurs at the moment the design of the risk management strategy is completed and its implementation begins. The same stage is completed by the engineering of investment projects.

4. The fourth stage - control, in fact, is the beginning of IP reengineering; it completes the risk management process and ensures its cyclical nature.

Conclusion

Unfortunately, the length of this article does not allow us to demonstrate in full practical use the above principles, in addition, the purpose of the article is to substantiate the theoretical basis for practical calculations, which are described in detail in other publications. You can view them at www. koshechkin.narod.ru.

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Risk aversion. It is extremely difficult to completely eliminate the possibility of loss, so in practice this means not taking on more than your usual level of risk.

Loss Prevention. An investor may attempt to reduce, but not eliminate, specific losses. Loss prevention means the ability to protect yourself from accidents using a specific set of preventive actions. Preventive measures mean measures aimed at preventing unforeseen events in order to reduce the likelihood and magnitude of losses. Typically, to prevent losses, measures such as constant monitoring and analysis of information on the securities market are used; safety of capital invested in securities, etc. Every investor is interested in preventive activities, but its implementation is not always possible for technical and economic reasons and is often associated with significant costs.

In our opinion, reporting can be classified as preventive measures. Reporting is the systematic documentation of all information related to the analysis and assessment of external and internal risks, recording the residual risk after taking all risk management measures, etc. All this information should be entered into certain databases and reporting forms that are easily for future use by investors.

Minimizing losses. An investor may attempt to prevent a significant portion of his losses. Methods for minimizing losses are diversification and limitation.

Diversification- this is a method aimed at reducing risk, in which an investor invests his funds in different areas (different types of securities, enterprises in various sectors of the economy), so that in case of a loss in one of them, he can compensate for this at the expense of another area.
Diversification of a securities portfolio involves the inclusion in the portfolio of various securities with different characteristics (levels of risk, profitability, liquidity, etc.). Possible low income (or losses) on some securities will be offset by high income on other securities. Selection of a diversified portfolio requires certain efforts related primarily to the search for complete and reliable information about the investment qualities of securities. To ensure portfolio sustainability, the investor limits the size of investments in securities of one issuer, thus achieving a reduction in risk. When investing in shares of enterprises in various sectors of the national economy, sectoral diversification is carried out.

Diversification is one of the few risk management techniques that any investor can use. However, we note that diversification can only reduce unsystematic risk. And the risk of investing capital is influenced by processes occurring in the economy as a whole, such as movements in the bank interest rate, expectations of a rise or decline, etc., and the risk associated with them cannot be reduced through diversification. Therefore, the investor needs to use other ways to reduce risk.

Limitation is the establishment of maximum amounts (limit) for investing capital in certain types of securities, etc. Establishing the size of limits is a multi-step procedure, including the establishment of a list of limits, the size of each of them, and their preliminary analysis. Compliance with established limits ensures economic conditions to preserve capital, generate sustainable income and protect the interests of investors.

Search for information is a method aimed at reducing risk by finding and using necessary information for the investor to make a risky decision.

Making erroneous decisions in most cases is due to the absence or lack of information. Information asymmetry, when individual market participants have access to important information, which other stakeholders do not have, prevents investors from behaving rationally and is a barrier to effective use resources and funds.

Obtaining the necessary information and increasing the level of information provided to the investor can significantly improve the forecast and reduce risk. To determine the amount of information needed and the advisability of purchasing it, one must compare the expected marginal benefits from it with the expected marginal costs associated with obtaining it. If the expected benefit from purchasing information exceeds the expected marginal cost, then such information must be purchased. If, on the contrary, it is better to refuse to purchase such expensive information.

Currently, there is a business area called accounting, associated with the collection, processing, classification, analysis and registration of various types of financial information. Investors can take advantage of the services of professionals in this business area.

Loss minimization methods are often called risk control methods. The use of all these methods of preventing and reducing losses is associated with certain costs, which should not exceed possible sizes damage. As a rule, an increase in the costs of preventing a risk leads to a reduction in its danger and the damage caused by it, but only to a certain limit. This limit occurs when the amount of annual costs to prevent the risk and reduce its size becomes equal to the estimated amount of annual damage from the realization of the risk.

Refund Methods(least cost) damages apply when an investor incurs losses despite efforts to minimize their losses.

Transfer of risk. Most often, risk transfer occurs through hedging and insurance.

Hedging is a system for concluding fixed-term contracts and transactions that takes into account likely future changes in prices and rates and pursues the goal of avoiding the adverse consequences of these changes. The essence of hedging is the purchase (sale) of futures contracts simultaneously with the sale (purchase) of a real product with the same delivery time and conducting a reverse transaction when the actual sale of the product arrives. As a result, sharp price fluctuations are smoothed out. In a market economy, hedging is a common way to reduce risk.

Based on the technique of carrying out operations, two types of hedging are distinguished:

Upward hedging(purchase hedging or long hedge) is an exchange transaction for the purchase of futures contracts (forwards, options and futures). Upward hedging is used in cases where it is necessary to insure against a possible increase in exchange rates (prices) in the future. It allows you to set the purchase price much earlier than the actual asset is purchased.

Downside hedging(sale hedging or short hedge) is an exchange operation for the sale of futures contracts. Downside hedging is used in cases where it is necessary to insure against a possible decline in exchange rates (prices) in the future.

Hedging can be carried out through transactions with futures contracts and options.

Hedging futures contracts implies the use of standard (in terms of timing, volume and delivery conditions) contracts for the purchase and sale of securities in the future, traded exclusively on exchanges.

The positive aspects of hedging with futures contracts are:

• accessibility of the organized market;
• the ability to hedge without taking on significant credit risks. Credit risk is reduced due to effective mechanisms for netting claims offered by the exchange;
• ease of regulation of the size of the hedging position or its closure;
• Availability of statistics on prices and trading volumes for available instruments, which allows you to choose the optimal hedging strategy.

The disadvantages of hedging with futures contracts are:

• inability to use futures contracts of arbitrary size and execution time. Futures contracts are standard contracts, their number is limited, due to this, the basis risk of hedging is obviously impossible to make less than a certain specified value;
• the need to incur commission expenses when concluding transactions;
• the need to divert funds and accept liquidity risk when hedging. The sale and purchase of standard contracts requires the payment of a deposit margin and its subsequent increase in the event of unfavorable price changes.

Hedging helps reduce the risk of an unfavorable change in price or exchange rates, but does not provide the opportunity to take advantage of a favorable change in price. During a hedging operation, the risk does not disappear, it changes its bearer: the investor transfers the risk to the stock speculator.

Insurance is a method aimed at reducing risk by converting occasional losses into relatively small fixed costs. By purchasing insurance (concluding an insurance contract), an investor transfers the risk to an insurance company, which compensates for various types of losses and damages caused by adverse events by paying insurance compensation and insured amounts. For these services, she receives a fee (insurance premium) from the investor.

The risk insurance regime in the insurance company is established taking into account the insurance premium, additional services provided by the insurance company, and the financial position of the policyholder. The investor must determine the ratio between the insurance premium and the insured amount that is acceptable to him, taking into account the additional services provided by the insurance company.

If an investor carefully and clearly assesses the balance of risk, he thereby creates the prerequisites for avoiding unnecessary risk. Each opportunity should be used to increase the predictability of probable losses so that the investor can have the data necessary to explore all of his payout options. And then he will contact the insurance company only in cases of catastrophic risk, that is, very high in terms of probability and possible consequences.

Transfer of risk control. An investor may entrust risk control to another person or group of persons by transferring:

• real property or activities associated with risk;
• responsibility for the risk.

An investor can sell any chain securities in order to avoid investment risk, can transfer his property (securities, cash, etc.) to trust management of professionals (trust companies, investment companies, financial brokers, banks, etc.), thereby transferring all risks associated with this property and its management activities. An investor can transfer risk by transferring a certain line of business, for example, transferring the functions of finding the optimal insurance coverage and portfolio of insurers to an insurance broker who will do this.

Risk Sharing is a method in which the risk of probable damage or loss is divided between the participants so that the possible losses of each are small. This method is the basis of risk financing. The existence of various collective funds and collective investors is based on this method.

The main principle of risk financing is the sharing and distribution of risk through:

1. preliminary accumulation of financial resources in general funds not related to a specific investment project;
2. organizing a fund in the form of a partnership;
3. managing several partnership funds at different stages of development.

Funds risk (venture) financing are associated both with the management of individual enterprises and with the organization of independent risky investor firms. The main goal of such funds is to support start-up knowledge-intensive companies (ventures), which, if the entire project fails, will take on part of the financial losses. Venture capital is used to finance the latest scientific and technical developments, their implementation, the release of new types of products, the provision of services and is formed from contributions from individual investors, large corporations, government departments, insurance companies, and banks.

In practice, risks are not strictly divided into separate categories, and it is not easy to give precise recommendations for risk management, however, we suggest using the following risk management scheme.

Risk management scheme:

Each of the listed risk resolution methods has its own advantages and disadvantages. The specific method is selected depending on the type of risk. An investor (or a risk specialist) chooses methods to reduce risk that are most likely to influence the amount of income or the value of his capital. The investor must decide whether it is more profitable to resort to traditional diversification or use some other method of risk management in order to most reliably ensure coverage of possible losses and to the least extent prejudice to its financial interests. A combination of several methods may ultimately prove to be the best solution.

From a cost minimization perspective, any risk reduction method should be used if it is the least costly. Expenses to prevent risk and minimize losses should not exceed the possible extent of damage. Each method must be used until the costs of its application begin to exceed the benefits.

Reducing the level of risk necessitates technical, organizational events, requiring certain, and in many cases, significant costs. And this is not always advisable. Thus, economic considerations set some limits to the risk reduction for a particular investor. When deciding on risk reduction, it is necessary to compare a number of indicators related to costs that provide an acceptable level of risk and the expected effect.

Summarizing the above methods of managing portfolio risks, we can distinguish two forms of managing securities portfolios:

• passive;
• active.

The passive form of management consists of creating a well-diversified portfolio with a predetermined level of risk and maintaining the portfolio unchanged for a long time.

The passive form of securities portfolio management is carried out using the following main methods:

• diversification;
• index method (mirror reflection method);
• portfolio preservation.

As already noted, diversification involves including a variety of securities with different characteristics in a portfolio. Selection of a diversified portfolio requires certain efforts related primarily to the search for complete and reliable information about the investment qualities of securities. The structure of a diversified portfolio of securities must meet the specific goals of investors. When investing in shares of industrial companies, industry diversification is achieved.

Index method, or the mirror reflection method, is based on the fact that a certain portfolio of securities is taken as a standard. The structure of the benchmark portfolio is characterized by certain indices. Next, this portfolio is mirrored. Usage this method complicated by the difficulty of selecting a reference portfolio.

Saving your portfolio based on maintaining structure and maintaining level general characteristics portfolio. It is not always possible to keep the portfolio structure unchanged, since given the unstable situation on the Russian stock market, it is necessary to buy other securities. During large transactions with securities, a change in their exchange rate may occur, which will entail a change in the current value of assets. It is possible that the amount of sale of securities of joint-stock companies exceeds the cost of their purchase. In this case, the manager must sell part of the portfolio of securities in order to make payments to clients who return their shares to the company. Large sales volumes can have a downward effect on the company's securities prices, which negatively affects its financial position.

The essence of the active form of management is permanent job with a portfolio of securities. The basic characteristics of active control are:

• selection of certain securities;
• determining the timing of the purchase or sale of securities;
• constant swap (rotation) of securities in the portfolio;
• providing net income.

If a decrease in the interest rate of the Central Bank of the Russian Federation is predicted, then it is recommended to buy long-term bonds with low income but coupons, the rate of which quickly increases when the interest rate falls. In this case, you should sell short-term bonds with high coupon yields, since their rate will fall in this situation. If the dynamics of the interest rate reveals uncertainty, the manager will turn a significant part of the securities portfolio into assets of increased liquidity (for example, into fixed-term accounts).

When choosing an investment strategy, the factors determining the industry structure of the investment portfolio remain risk and return on investment. When choosing securities, the factors that determine the return on investment are production profitability and prospects for sales growth.

Example 2.5. For the matrix of consequences given in example 2.1, select the best solution based on the Hurwitz criterion with λ =1/2.

Solution. Considering the matrix of consequences Q row by row, for each i we calculate the values ​​ci= 1/2minqij + 1/2maxqij. For example, c1=1/2*2+1/2*8=5; similarly found c2=7; c3=6.5; c4= 4.5. The largest is c2=7. Consequently, the Hurwitz criterion for a given λ =1/2 recommends choosing the second option ( i=2).

2.3. Analysis of a related group of solutions under conditions of partial

uncertainty

If, when making a decision, the decision maker knows the probabilities pj If the real situation can develop according to option j, then they say that the decision maker is in conditions of partial uncertainty. In this case, you can be guided by one of the following criteria (rules).

Criterion (rule) for maximizing average expected income. This criterion is also called criterion for maximum average winnings. If the probabilities are known pj options for the development of the real situation, then the income received from the i-th solution is a random variable Qi with a distribution series

Expected value M[Qi] of the random variable Qi is the average expected income, also denoted by:

= M[Qi ] = .

For each i-th solution option, the values ​​are calculated, and in accordance with the criterion under consideration, an option is selected for which

Example 2.6. For the initial data of Example 2.1, let the probabilities of the development of a real situation be known for each of the four options that form a complete group of events:

p1 =1/2, p2=1/6, p3=1/6, p4=1/6. Find out which solution option achieves the highest average income and what is the amount of this income.

Solution. Let us find for each i-th solution option the average expected income: =1/2*5+1/6*2+1/6*8+1/6*4= 29/6, = 25/6, = 7, = 17/6. The maximum average expected return is 7 and corresponds to the third solution.

Rule for minimizing average expected risk (other name - minimum average loss criterion).

Under the same conditions as in the previous case, the decision maker’s risk when choosing the i-th solution is a random variable Ri with a distribution series

Expected value M and is the average expected risk, also denoted by: = M = . . The rule recommends making a decision that entails the minimum average expected risk: .

Example 2.7 . The initial data are the same as in example 2.6. Determine which solution option achieves the lowest average expected risk and find the value of the minimum average expected risk (loss).

Solution. For each i-th solution option, we find the value of the average expected risk. Based on the given risk matrix R, we find: = 1/2*3+1/6*3+1/6*0+1/6*8=20/6, = 4, = 7/6, = 32/6.

Therefore, the minimum average expected risk is 7/6 and corresponds to the third solution: = 7/6.

Comment. When they talk about the average expected income (gain) or the average expected risk (loss), they mean the possibility of repeated repetition of the decision-making process according to the described scheme or the actual repeated repetition of such a process in the past. The conditionality of this assumption is that the actually required number of such repetitions may not exist.

Laplpas criterion (rule) of equal opportunity (indifference). This criterion does not directly relate to the case of partial uncertainty, and it is applied under conditions of complete uncertainty. However, here it is assumed that all states of the environment (all variants of the real situation) are equally probable - hence the name of the criterion. Then the calculation schemes described above can be applied, considering the probabilities pj identical for all variants of the real situation and equal to 1/n. Thus, when using the criterion of maximizing the average expected income, a solution is selected that achieves . And in accordance with the criterion of minimizing the average expected risk, a solution option is selected for which .

Example 2.8. Using the Laplace criterion of equal opportunity for the initial data of Example 2.1, select the best solution based on: a) the rule for maximizing the average expected income; b) rules for minimizing the average expected risk.

Solution. a) Taking into account the equiprobability of the options in the real situation, the average expected income for each of the solution options is = (5+2+8+4)/4=19/4, = 21/4, = 26/4, = 15/4. Hence, the best option the solution will be the third, and the maximum average expected return will be 26/4.

b) For each solution option, we calculate the average expected risk based on the risk matrix, taking into account the equiprobability of the situation options: = (3+3+0+8)/4 = 14/4, = 3, = 7/4, = 18/4 . It follows that the third option will be the best, and the minimum average expected risk will be 7/4.

2.4. Pareto optimality of two-criteria financial

operations under conditions of uncertainty

From what was discussed above, it follows that each decision (financial transaction) has two characteristics that need to be optimized: average expected income and average expected risk. Thus, choosing the best solution is a two-criteria optimization problem. In multicriteria optimization problems, the main concept is the concept Pareto optimality. Let's consider this concept for financial transactions with the two indicated characteristics.

Let each operation A has two numerical characteristics E(a),r(A)(e.g. effectiveness and risk); during optimization E strive to increase and r decrease.

There are several ways to formulate such optimization problems. Let us consider this problem in general form. Let A - a certain set of operations, and different operations necessarily differ in at least one characteristic. When choosing the best operation, it is advisable that E was more and r was less.

We will say that the operation A dominates surgery b, and designate a > b, If E(a) ≥ E(b) And r(a) ≤ r(b) and at least one of these inequalities is strict. In this case, the operation A called dominant, and the operation b –dominated. It is obvious that no dominated operation can be recognized the best. Consequently, the best operation must be sought among non-dominated operations. The set of non-dominated operations is called Pareto set (region) or Pareto optimality set.

For the Pareto set, the following statement is true: each of the characteristics E,r is an unambiguous function of another, i.e., on the Pareto set, one characteristic of an operation can be used to unambiguously determine another.

Let's return to the analysis of financial decisions under conditions of partial uncertainty. As shown in Section 2.3, each operation has an average expected risk and average expected income. If you enter rectangular system coordinates, on the abscissa axis of which the values ​​are plotted , and on the ordinate axis there are values ​​, then each operation will correspond to a point ( , ) on the coordinate plane. The higher this point on the plane, the more profitable the operation; the further to the right the dot, the more risky the operation. Therefore, when searching for non-dominated operations (Pareto sets), you need to choose points above and to the left. Thus, the Pareto set for the initial data of examples 2.6 and 2.7 consists of only one third operation.

To determine the best operation in some cases, you can use some weighing formula in which the characteristics and enter with certain scales, and which gives a single number that specifies the best operation. Let, for example, for the operation i with characteristics ( , ) the weighing formula has the form f(i) = 3 - 2, and the best operation is selected based on the maximum value f(i). This weighting formula means that the decision maker agrees to increase the risk by three units if the income of the operation increases by at least two units. Thus, the weighting formula expresses the relationship of the decision maker to the indicators of income and risk.

Example 2.9. Let the initial data be the same as in examples 2.6 and 2.7, i.e. for the consequences and risk matrices of example 2.1, the probabilities of options for the development of the real situation are known: p1 = 1/2, p2 = 1/6, p3 = 1/6, p4=1/6. Under these conditions, the decision maker agrees to increase the risk by two units if the income of the operation increases by at least one unit. Determine the best operation for this case.

Solution. The weighing formula has the form f(i) = 2 - . Using the calculation results in examples 2.6 and 2.7, we find:

f(1) = 2*29/6 – 20/6 = 6,33; f(2) = 2*25/6 – 4 = 4,33;

f(3) = 2*7 – 7/6 = 12,83; f(4) = 2*17/6 – 32/6 = 0,33

Therefore, the third operation is the best, and the fourth is the worst.

Topic 3. Measurements and indicators of financial risks

Quantitative risk assessment. Risk of a separate operation. General risk measures.

This topic discusses criteria and methods for decision-making in cases where it is assumed that the probability distributions of possible outcomes are either known or they can be found, and in the latter case it is not always necessary to explicitly specify the distribution density.

3.1. General methodological approaches to quantitative risk assessment

Risk is a probabilistic category, therefore methods for its quantitative assessment are based on a number of the most important concepts of probability theory and mathematical statistics. Thus, the main tools of the statistical method of risk calculation are:

1) expected value m, for example, such a random variable as the result of a financial transaction k: m = E{k};

2) dispersion as a characteristic of the degree of variation of the values ​​of a random variable k around the grouping center m(recall that variance is the mathematical expectation of the squared deviation of a random variable from its mathematical expectation );

3) standard deviation ;

4) the coefficient of variation , which has the meaning of risk per unit of average income.

Comment. For a small set n values ​​– small sample! – discrete random variable Strictly speaking, we are talking only about estimates listed risk measures .

So, average (expected) sample value, or selective analogue of mathematical expectation , is the quantity where Ri – probability of realizing the value of a random variable k. If all values ​​are equally likely, then the expected value of a random sample is calculated using the formula.

Likewise, sample variance (sample variance ) is defined as the standard deviation in the sample: or

. In the latter case, the sample variance is biased estimate of theoretical variance . Therefore, it is preferable to use an unbiased estimate of the variance, which is given by the formula .

Obviously, the assessment can be calculated as follows or .

It is clear that the assessment coefficient of variation now takes the form .

IN economic systems Under risk conditions, decision making is most often based on one of the following criteria.

1. Expected value (profitability, profit or expenses).

2. Sample variance or standard (mean square) deviation .

3. Expected value combinations And variances or sample standard deviation .

Comment . Under the random variable k in each specific situation, the indicator corresponding to this situation is understood, which is usually written in the accepted notation: mp – portfolio return securities, IRR – (Internal Rate of Return) internal (rate) of return etc.

Let's look at the idea presented using specific examples.

3.2. Probability distributions and expected returns

As has been said more than once, risk is associated with the likelihood that the actual return will be lower than its expected value. Therefore, probability distributions are the basis for measuring the risk of an operation. However, we must remember that the estimates obtained are probabilistic in nature.

Example 1. Let's say, for example, that you intend to invest $100,000. for a period of one year. Alternative investment options are given in table. 3.1.

Firstly, these are GKO-OFZ with a maturity of one year and an income rate of 8%, which can be purchased at a discount, i.e. at a price below par, and at the time of redemption their par value will be paid.

Table 3.1

Profitability assessment for four investment alternatives

State economy	Probability Ri		Return on investment in a given state of the economy, %
corporate securities
Deep recession
Slight decline
Stagnation
Slight rise
Strong rise
Expected return

Note. Profitability corresponding to different states of the economy should be considered as an interval of values, and its individual values ​​as points within this interval. For example, a 10% yield on a corporate bond with a slight decline represents most likely return value for a given state of the economy, and the point value is used for convenience of calculations.

Secondly, corporate securities (blue chips), which are sold at par with a coupon rate of 9% (i.e., for $100,000 of invested capital you can receive $9,000 per annum) and a maturity of 10 years. However, you intend to sell these securities at the end of the first year. Consequently, the actual yield will depend on the level of interest rates at the end of the year. This level, in turn, depends on the state of the economy at the end of the year: fast pace economic development are likely to cause interest rates to rise, which will reduce the market value of blue chips; In the event of an economic downturn, the opposite situation is possible.

Third, capital investment project 1, whose net cost is $100,000. Cash flow during the year is zero, all payments are made at the end of the year. The amount of these payments depends on the state of the economy.

And finally, alternative investment project 2, identical in all respects to project 1 and differing from it only probability distribution of payments expected at the end of the year .

Under probability distribution , we will understand the set of probabilities of possible outcomes (in the case of a continuous random variable, this would be the probability distribution density). It is in this sense that the data presented in Table 1 should be interpreted. 3.1 four probability distributions corresponding to four alternative options investing. The yield on GKO-OFZ is precisely known. It is 8% and does not depend on the state of the economy.

Question 1 . Can the risk on GKO-OFZ be unconditionally considered equal to zero?

Answer: a) yes; b) I think that not everything is so simple, but I find it difficult to give a more complete answer; c) no.

The correct answer is c).

For any answer, see reference 1.

Help 1 . Investments in GKO-OFZ are risk-free only in the sense that they nominal profitability does not change during a given period of time. At the same time they real the yield contains a certain amount of risk, since it depends on the actual growth rate of inflation during the period of holding this security. Moreover, GKOs can pose a problem for an investor who holds a portfolio of securities with the goal of generating continuous income: when the GKO-OFZ payment matures, the funds must be reinvested, and if interest rates decrease, the portfolio's income will also decrease. This type of risk, which is called reinvestment rate risk , is not taken into account in our example, since the period during which the investor owns GKO-OFZ corresponds to their maturity date. Finally, we note that relevant yield of any investment is the after-tax return, so the return values ​​used to make a decision must reflect the after-tax return.

For the other three investment options, real or actual returns will not be known until the end of the respective holding periods. Since return values ​​are not known with certainty, these three types of investments are risky .

There are probability distributions discrete or continuous . Discrete distribution has a finite number of outcomes; so, in table. Table 3.1 shows discrete probability distributions of returns for various investment options. The yield of GKO-OFZ accepts only one possible meaning, while each of the three remaining alternatives has five possible outcomes. Each outcome is associated with the probability of its occurrence. For example, the probability that GKO-OFZ will have a yield of 8% is 1.00, and the probability that the yield of corporate securities will be 9% is 0.50.

If we multiply each outcome by the probability of its occurrence, and then add the results, we get a weighted average of the outcomes. The weights are the corresponding probabilities, and the weighted average is expected value . Since the outcomes are internal rates of return (Internal Rate of Return, abbreviated as IRR), the expected value is expected rate of return (Expected Rate of Return, abbreviation ERR), which can be represented as follows:

ERR = IRRi, (3.1)

where IRRi , - i-th possible outcome; pi- probability of occurrence of the i-th outcome; P - number of possible outcomes.

Let's consider the classic decision-making scheme under conditions of uncertainty.

Let us recall that financial is an operation whose initial and final states have a monetary value, and the purpose of which is to maximize income - the difference between the final and initial values. Almost always, financial transactions are carried out under conditions of uncertainty and therefore their results cannot be predicted in advance. The person performing the operation is called the decision maker - Decision maker(in many cases the decision maker is the investor). The operation is called risky, if it can have several outcomes that are not equivalent for the decision maker.

Task. Let's consider 3 operations with the same set of two outcomes - alternatives A and B, which characterize the income received by the decision maker.

All 3 surgeries are risky. For the 1st and 2nd this is obvious, but why is the 3rd operation considered risky? After all, it promises only positive income for decision makers? Considering the possible outcomes of the 3rd operation, we see that we can get an income of 20 units, so the possibility of receiving an income of 15 units. is considered as a failure, as a risk of not receiving 5 units. income.

How to evaluate a financial transaction in terms of its profitability and risk? This question is not so easy to answer, mainly because the concept of risk is multifaceted. There are several different ways to do this assessment. Let's consider one of these approaches.

Matrices of consequences and risks. Let us consider the issue of conducting a financial transaction that has several possible outcomes. In this regard, an analysis of possible solutions and their consequences is carried out. Let us assume that the decision maker is considering m possible solutions: i = 1,…, m. The situation is uncertain, we only know that one of the n options: j = 1,…, n. If accepted i-that decision, and the situation will develop j-taya, then the income received by the decision maker will be equal to q ij. Matrix Q = (q ij) is called a matrix consequences (possible solutions). What decision does the decision maker need to make? In this uncertain situation, only a few recommendations can be made. They will not necessarily be accepted by the decision maker. Much will depend, for example, on his appetite for risk. But how to assess the risk in this scheme? Let's say we want to estimate the risk posed by i-that decision. We don't know the real situation, but if we knew it, we would choose best solution, i.e. generating the most income. If the situation j-taya, then a decision is made that gives income. So, taking i-that decision, we risk getting not, but only q ij, i.e. Adoption i-that decision carries the risk of not being correct. Matrix R= () are called risk matrix.

Task. Let there be a matrix of consequences:.

Let's create a risk matrix:

A situation of complete uncertainty is characterized by the absence of any additional information (for example, about the probabilities of certain options for the real situation). What rules and recommendations exist for making decisions in this situation?

Wald's rule (rule of extreme pessimism). If you are guided by this criterion, you must always focus on the worst conditions, knowing for sure that “it won’t be worse.” Considering i-that decision, we will assume that in fact the situation is the worst, i.e. bringing the smallest income: . Now let's choose a solution i 0 with the largest: . In the problem we have: From these numbers we find the maximum – 3. Wald’s rule recommends making the 3rd decision. Obviously, this approach is a “reinsurance” approach, natural for someone who is very afraid of losing.

Savage Rule (rule minimal risk ). This criterion is also extremely pessimistic, but when choosing the optimal strategy, it advises focusing not on the amount of income, but on the risk. When applying this rule, the risk matrix is ​​analyzed R= ().Considering i-that decision, we will assume that in fact a situation of maximum risk is emerging. Now let's choose a solution i 0 with the smallest: . In the problem we haveIn the problem we haveFrom these numbers we find the minimum - 5. Savage’s rule recommends making the 3rd decision. The essence of this approach is to avoid big risks in every possible way when making a decision.

Hurwitz rule (pessimism-optimism). This criterion recommends that when choosing a solution you should not be guided by either extreme pessimism or extreme optimism. A decision is made in which the maximum is achieved, where is the “pessimism coefficient”. The value is chosen for subjective reasons. If it approaches 1, the Hurwitz rule approaches the Wald rule; as it approaches 0, the Hurwitz rule approaches the “extreme optimism” rule, which recommends choosing the strategy that maximizes the winnings in the line. In the problem, the Hurwitz criterion recommends the 2nd solution.

Let us assume that in the scheme under consideration the probabilities are known that the real situation develops according to the variant j. This situation is called partial uncertainty. What are the recommendations for making a decision in this case? You can follow one of the following rules.

Rule for maximizing average expected income. Income received by the company upon sale i-th solution is a random variable with the distribution law

	q i1	q i2		q in

The mathematical expectation of this random variable is the average expected income. The criterion recommends making a decision that maximizes the average expected return.

Task. Let in the previous problem Then the maximum average expected income be equal to 7, which corresponds to the 3rd solution.

Rule for minimizing average expected risk. Company risk during implementation i-th solution is a random variable with a distribution law

	r i1	r i2		r in

The mathematical expectation of this random variable is the average expected risk. The criterion recommends making a decision that minimizes the average expected risk.

The minimum risk method is used to determine the boundary value of the determining parameter for making a decision on the condition of an object, based on the condition of minimum average costs.

Let the state of some object be determined by the value of some parameter X. you must select this value for this parameter X 0 , to:

The serviceable state is characterized by the distribution density of the parameter X,f(x/ D1) and the faulty one is f(x/ D2) (Figure 2.8). Curves f(x/ D1) And f(x/ D2) intersect and therefore impossible to choose X 0 so that rule (2.16) would not give erroneous solutions.

Errors that arise when making decisions are divided into errors of the first and second types.

Error of the first kind– making a decision about the malfunction (presence of a defect) of an object, when in fact the object is in good condition.

Error of the second type– making a decision about the good condition of an object, when in reality the object is in a faulty state (the object contains a defect).

The probability of a type I error is equal to the product of the probability of two events:

the likelihood that the object is in good condition;

the probability that the value of the defining parameter x will exceed the boundary value X 0 .

The expression for determining the probability of a type I error has the form:

Where p(D 1 ) – a priori probability of the object being in good condition (considered known based on preliminary statistical data).

The probability of a type II error is determined similarly:

Rice. 2.8. Probability densities of states of the diagnostic object

Elements of information collection systems: unifying measuring transducers.

To coordinate the primary transducer with the devices of the information acquisition system, its output signal must be unified, i.e. meet certain requirements for level, power, type of storage medium, etc., which are determined by the relevant GOSTs.

To convert the output signals of primary converters into unified ones, a number of normalizing converters are used. Natural signals from primary converters of various physical quantities can be supplied to the input of normalizing converters, and corresponding unified signals are generated at the output.

The group of means that ensure unification of the signal between its source or the output of the primary transducer and the input of the secondary device belongs to the class of unifying measuring transducers (UMT).

The following types of UIP are distinguished:

individual;

group;

multichannel.

Individual UIP(Fig. 3.36a)) serve one PP and are connected between the PP and the switch or subsequent measuring transducer. Individual UIPs are placed together with the PP directly at the research site.

They are used to unify signals with a relatively small number of measured parameters and with limited measurement time, which does not allow the use of group UPS.

Individual UIPs allow you to produce:

converting one unified signal into another;

galvanic isolation of input circuits;

multiplication of the input signal over several outputs.

However, the use of its own UIP in each IMS measuring complex complicates the system and reduces its reliability and economic efficiency.

Group UIP(Fig. 3.36b)) are more efficient from this point of view; they serve a certain group of primary converters, the output signals of which are homogeneous physical quantities. They are located in Iis after the switch and are controlled together with the last control unit.

When constructing multi-channel IMS of heterogeneous physical quantities, the latter are grouped according to the type of physical quantity, and each group is connected to the corresponding group UIP.

Multichannel UIP.(Fig. 3.36c)) If the measured physical quantities are mostly heterogeneous, then the IIS can use multi-channel UIPs, which are several individual UIPs combined in one case or one board. Information conversion is carried out according to n entrances and n exits. The main design feature of a multi-channel UPS is the use of a common power source and control system for all individual UPSs.

Rice. 3.36. main types of unifying

measuring transducers

The main functions performed by the UIP:

linear (scaling, zeroing, temperature compensation);

nonlinear (linearization) signal transformations.

With a linear characteristic of the primary converter, the UIP performs linear operations, which are called scaling. The essence of scaling is as follows. Let the input signal vary from y 1 before y 2 , and the dynamic range of the output signal of the UIP should be in the range from 0 before z. Then, to match the beginning of the dynamic ranges of the UIP and the primary converter, a signal must be added to the PP signal, and then the total signal must be amplified at the same time.

It is also possible that the output signal of the PP is first amplified, and then the beginnings of the dynamic ranges are combined.

The first option for bringing the output signal to a unified form is usually used in individual UIPs, and the second in group ones.

Because The relationship between the output signal yPP and the measured parameter is most often nonlinear (for example, with thermocouples, platinum resistance thermal converters, etc.) The UIP must perform the operation linearization. Linearization consists of straightening the PP transformation function. In this case, the linearizing function should have the form of an inverse PP transformation function.

To linearize the transformation function in the UIP, special nonlinear links are used. They can be turned on up to linear

a unifying converter, after it or into the feedback circuit of an amplifier used to change the scale of the measured value.

U input

U OS

U out

R 1

R 2

R 3

R 4

R 5

D 1

D 2

D 3

Most often, linearization is achieved by piecewise linear approximation and is performed using a chain of series-connected resistors shunted by zener diodes or diodes D 1  D 3

Rice. 3.37.block diagram of UIP

As the voltage at the amplifier output increases, the divider current and the voltage drop across each resistor increase. R 1  R 5 .as soon as the voltage drop across any of the resistors reaches the breakdown voltage of the corresponding zener diode, the zener diode begins to bypass this resistor. The resistor resistances are selected in such a way as to obtain the required feedback voltage dependence U OS inverting amplifier U, removed from the resistor R 5 , from the output voltage of the amplifier.

A typical analog UIP contains:

output amplifier;

galvanic isolation device;

functional converter that linearizes the PP signal;

output amplifier;

stabilized power supply.

Some primary converters have an alternating current signal as an output signal; this signal is modulated either in amplitude (for example, differential transformer converters) or in frequency (for example, piezoresonators).

As an example, consider the block diagram of a UIP designed to convert alternating voltage from pressure, differential pressure, flow, level, and steam content sensors into a unified signal direct current 0…5 mA (Fig. 3.38.).

Rice. 3.38. Block diagram of UIP

The alternating voltage from the differential transformer primary converter is converted by the demodulator into a proportional direct current voltage, which is amplified by a magnetic MU and electronic U DC amplifiers covered by deep negative feedback through a feedback device OS, which allows, if necessary, to linearize the characteristic of the primary converter.

Unifying measuring converters working with frequency PPs must perform the same functions as amplitude PPs.