財(cái)務(wù)風(fēng)險(xiǎn)管理是一個(gè)增值活動(dòng)嗎[文獻(xiàn)翻譯]-展示頁(yè)
2025-04-16 22:16本頁(yè)面
【正文】 (V0?W0).Shimko rearranges (2) to provide the following formulation:V0=μ1/ (1+r) – (k/ (1+r+k))*(z*σ1/ (1+r)) (3)This suggests that the value of the project equals its NPV value minus a risk charge that is proportional to the difference between the expected value and the worst case value.“The project’s cash flows are not correlated”Note that, since it is assumed that the project’s cashflows are not correlated with the market, the NPV is found by discounting the expected cashflow at the riskfree rate. Shimko points out that we obtain the NPV formulation, V0=μ1/ (1+r), as a special case when k= 0. Furthermore, as k= ≥ ∞ the value of the asset approaches its worst case value W0. Hence, the value of the asset is affected by total risk, and particularly the valueatrisk.This approach emphasises that, when there are limitations to portfolio diversification, investors (and managers) bee concerned with total risk. The RPV method allows us to focus on a crucial element of risk management。 why do firms engage in such activities, and how do they do it? How firms engage in riskmanagement has been extensively considered. Methods typically involve bining financial instruments such as shares, bonds, options and futures, in order to obtain a desired payoff profile (see Smith and Smithson (1998) for an excellent analysis).In this paper, we consider the more controversial question。 and riskmanage。原文：Financial risk management: is it a valueadding activity？Financial risk management is a process to deal with the uncertainties resulting from financial markers. It involves assessing the financial risks facing an organization and developing management strategies consistent with internal priorities and policies. Addressing financial risks proactively may provide an organization with a petitive advantage. It also ensures that management, operational staff, stakeholders, and the board of directors are in agreement on key issues of risk.Considering whether financial risk management is valueadding. Although risk management can reduce total risk, this may not affect the cost of capital or firm value. Welldiversified investors have already eliminated all of the specific risk, and riskmanagement may be seen as a zero NPV activity at best, and at worst, a valuereducing activity. However, there is a role for risk management. Reduction of total risk may reduce the expected costs of financial distress, this increases firm value. Present a method of investment appraisal that takes account of total risk through expected financial distress costs. Such a method can result in three possible decisions relating to a new project。 reject the project invest in the project。 or invest in the project but do not riskmanage. Finally, presents worked examples.When considering a firm’s financial risk management activities, we may ask two questions。 why bother with financial riskmanagement? Is financial riskmanagement value adding? Shapiro and Titman (1998) consider this question of whether risk management is desirable. A firm’s total risk consists of two elements。 the valueatrisk. A potential drawback is that the value V0 is affected by different agents’ private valuations, either through k, or through the choice of W0 (since this choice affects z). Indeed, the author presents numerical examples that show that NPV valuation can be much greater than the subjective RPV valuation. Therefore, using RPV could have serious problems for investment appraisal. It is possible that the RPV method could lead to incorrect project acceptance/rejection decisions.It is better to adjust the cashflows!In this section, we provide an approach to investment appraisal based upon Shapiro and Titman (1998) rather than Shimko (2001). The goal of investment appraisal is to identify and accept valueincreasing projects. This method should reflect the market valuation of the project. If we assume that the CAPM formulation is robust, and that investors are only rewarded for holding market risk, it is better to adjust the cashflows rather than the discount rate. In our analysis, we retain the idea of valueatrisk, specifically relating it to financial distress.Consider a one period investment opportunity that requires investment of l at time 0. The time 1 cashflow X is normally distributed, with mean μ1 and standard deviation σ1. Furthermore, if the realised cashflow is less than l, the firm faces financial distress. This carries a cost of F, where F reflects disruption to services, loss of repu
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