CC BY
177
международный научный журнал «символ науки» УДК 338
№7/2015
ISSN 2410-700Х
Karandina I.K
project manager The centre for continuing education, ROSNOU
Moscow, Email:[email protected]
Orekhov V.I. doctor of economic Sciences, Professor head of the Department of Economics and management (basic), MISAO
Moscow, E-mail:[email protected] Orekhova T.R.
candidate of economic Sciences, Professor of Economics and management (basic), MISAO
Moscow, E-mail :[email protected]
RISK MANAGEMENT IN INVESTMENT AND CONSTRUCTION PROJECT
Abstract
This article discusses methods of risk assessment in the implementation of investment-construction projects. The characteristic of the method of expert assessment and analysis of the relevance (appropriateness) of the costs and analogies.
Keywords
methods, risks, valuation, investments, construction, project.
Regardless of the nature of the investment, a necessary condition for long-term development of the company is the return exceeding the cost of wasted resources with regard to their best alternative use. Effective, timely investment in the project is to achieve a new level of profitability, to enhance the value and competitiveness of the company. Conversely, investment in the project, risks were underestimated, and may in the future negatively impact the financial results and sustainability of the company. This can be fully attributed to the modern real estate market in Russia, which is characterized as high growth rate of development, and at the same time high risk and return. The above determines the relevance of the research topic.
In General there are two approaches to the study of project risks - qualitative and quantitative. The qualitative approach implies a description of all potential project risks and their causes, the evaluation of their consequences and measures for their reduction [3, pp. 95-96].
During the qualitative analysis of the risk factors that can lead to possible losses and the probability and time of occurrence. Calculates the maximum value of losses in case of the worst scenario, in addition can be built distribution of probability of occurrence of damage depending on the size of the effect [1, p. 43]. Qualitative methods of risk assessment of the project includes the set of methods of expert estimations, analysis of the appropriateness of costs, the method of analogies thatl. Methods of peer review
This group of methods is a complex logical and mathematical-statistical methods and procedures of risk analysis, based on the opinions of experts with experience in implementing similar projects. Each expert in the form of questionnaires provided an exhaustive list of risks and to evaluate the probability of their occurrence on a special scale. Among them are: Delphi method, method of scoring, rating methodology - rating method, based on point scoring, etc. [4, p. 236].
In the process of studies using the Delphi method eliminates the communication between experts and conducted a survey to ascertain their views about future hypothetical events. The experts answer the questions in the form of quantitative risk assessments independently and anonymously, then they might adjust their opinions based on expert opinion. Group assessment can take place in several stages [5, p. 74].
The method of risk scoring is based on the summary measure, defined on a number of private expert evaluate risk indicators. It consists of the following steps:
1) identification of factors affecting the occurrence of the risk;
2) the Choice of the generalized indicator and a set of individual criteria, characterizing the degree of risk of each factor;
3) devising a weighting system and the grade scale for each indicator (factor);
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4) the Integral estimation of the generalized criterion of the degree of project risks;
5) provide recommendations on risk management [2, p. 72].
Rating methodology - rating method, the ranking based on the point estimates suggest a streamlining of risks depending on their significance and likelihood of occurrence with the use of absolute (the likely amount of the loss or the share of losses from risk) or relative criteria. [7, pp. 44-46].
The level of risk or probable loss is determined by multiplying the likelihood and potential damage of the appropriate type of risk, and then there is the ranking of the values obtained.
Having considered the basic principles of conducting a qualitative risk assessment, it should be noted that, in practice, these methods may only be applicable in conjunction with other, more objective (quantitative) methods. First, the risk of bias in the results due to poor selection of the experts, their qualifications, the dominance of opinions or even mistakes methodological nature. Secondly, these methods do not take into account the fact that the occurrence of one risk event can provoke the loss of different species and adversely affect the outcome of a project in several aspects. [6,pp 65-78]
These factors limit the application of expert methods of risk assessment in real estate development. They can be used at the initial stage of analysis, such as during the initial identification of risks on the project: experts may be composed of a matrix of likely threats (lower prices per sq. m., the risk of non-receipt or revocation of permits, the occurrence of errors in the design or emergency). Subsequently, the results of the expert survey can be used in the quantitative analysis (e.g. sensitivity analysis) and the final grade for the project will be reached on the basis of more objective factors.
II. Analysis of the relevance (appropriateness) of the costs and method of analogies In analyzing the appropriateness of these expenses is the assumption that the cost overruns (negative outcome characteristic of risk) may be caused by the following factors:
• the cost of the project as a whole or its individual phases was initially underestimated;
• actual performance machines (mechanisms) is not equal to planned;
• actual cost standards are not equal planned because of unforeseen changes in the external environment (inflation,
changes in the tax regime).
The analysis leads to a test itemized list of possible increase of costs for the project. Funding for the project is broken into stages, so at the first signs that the risks of investing grows, the investor can take steps to reduce costs or to terminate its funding [2, pp. 74-75].
The benchmarking method involves a risk assessment based on the analysis of data for similar, including at-risk projects. It can be implemented in past projects of the company-initiator or similar projects companies competitors. The difficulty with this method lies in the correct selection of analogue, as formal criteria to establish the degree of similarity of situations in practice are absent [3, p.107]. Also, is ignored, and the fact that any type of activity and external environment of the project are constantly evolving. Also there are no guidelines detailing the logic and details of this risk assessment. [7, p.89]
When evaluating the project for the construction of real estate, the benchmarking method is quite easy to implement, if the company has experience in building such facilities. On the basis of statistical material on the already completed projects and unplanned losses arising you can set the scope of risk on the project [3, p.108].
Whatever it was, and how methods of peer review analysis of the appropriateness of the costs and method of analogies can be used rather for preliminary assessment of projects. They can be called acceptable to describe possible risks, but not to obtain an objective assessment of risk. For construction projects of real estate limits their applicability and high degree of uncertainty about future market conditions: in this case, the method of analogies cannot be considered objective, since incoming streams of income from the sale of apartments, as the changes in the average price per square meter, can not be determined unambiguously.
References
1. The Bogatin, J. V. Investment analysis: a Training manual/ V. Bogatin, V. A. Swander. - M.: Publishing house "unity", 2012.- 288 p
2. Bocharov, V. V. Investment management: textbook /V. V. Bocharov.- SPb, 2013 -285 S.
3. The Vakhrin P. I. Investments. - M.: Dashkov I K, 2013. - 382 p.
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4. Damodaran, A. Investment valuation. The tools and techniques of valuation of any assets. — M.: Alpina Business Books, 2012. — 1342 S.
5. Ermolovich, L. L. Analysis of economic activity of the enterprise: Textbook/ L. L. Ermolovich. - M.: Publishing house "InterpressNews", 2012. - 574 p.
6. Popova, T. A. the Definition of risk within the concept of acceptable risk // Scientific notes NSUEM. — 2012.
7. Murray, S. L. Grantham, K. Development of a Generic Risk Matrix to Manage Project Risks // Journal of Industrial and Systems Engineering. — 2011. №5(1) . — pp. 35-51;
© Karandina I.K, Orekhov V. I, Orekhova T.R.,2015
УДК 621.382
Ананченко Игорь Викторович
канд. техн. наук, доцент, Университет ИТМО,
г.Санкт-Петербург, РФ E-mail: [email protected]
РАЗРАБОТКА МАТЕМАТИЧЕСКОЙ МОДЕЛИ ТОРГОВЛИ НА РЫНКЕ ФОРЕКС В СИТУАЦИЯХ ГЭП. ВАРИАНТЫ ПРОГРАММНО-АЛГОРИТМИЧЕСКОЙ РЕАЛИЗАЦИИ
МОДЕЛИ
Аннотация
Рассматриваются вопросы построения торговой системы для работы с финансовыми инструментами на рынке Форекс в ситуациях возникновения ценового разрыва (ГЭП)
Ключевые слова
ГЭП, валютный рынок Форекс, торговые роботы, торговая система, ценовой разрыв, финансовый
инструмент
Предлагаемая модель основана на том, что цена закрытия торгуемого финансового инструмента в пятницу и цена при открытии рынка в понедельник, как правило, не совпадают, то есть имеет место ценовой разрыв - ГЭП, обусловленный тем, что во время выходных произошли изменения в мировой экономической и политической обстановке и эти изменения учитываются новым значением цены. Трейдерами, торгующими на Форекс, отмечается, что часто в течении относительно короткого времени цена инструмента возвращается к тому значению, на котором завершились торги предыдущей недели. Пусть Cnew - цена открытия, а Cold -цена закрытия, тогда разница между ними характеризует величину ценового разрыва (ГЭП) Gap=|Cnew-Cold|. Если рассчитывать, что цена вернется к своему первоначальному значению Cold, то следует открывать ордер на продажу, если Cnew>Cold, и на покупку, если Cnew<Cold. Следует отметить, что ГЭП будет “закрыт” относительно быстро только если он достаточно выражен, т.е. больше некого значения epsl (разное для различных финансовых инструментов), но в тоже время значение ценового разрыва меньше eps2 (разное для различных финансовых инструментов), то есть выполняется условие, при котором eps1<|Cnew-Cold\<eps2. В упрощенном варианте учетом eps2 можно пренебречь, однако следует заметить, что слишком большое и нехарактерное для данного финансового инструмента значение ценового разрыва свидетельствует о том, что произошли важные фундаментальные изменения, связанные с оценкой торгуемого инструмента и, скорее всего, цена в обозримом будущем не вернется к первоначальному значению и открывать ордер, рассчитывая на возврат цены, не целесообразно, более вероятно дальнейшее продолжение движения цены именно в текущем направлении. Изменения финансового инструмента нельзя предсказать точно, т.к. невозможно учесть все факторы, оказывающие влияние на динамику изменения финансового инструмента. Для ограничения убытков используется параметр закрытия ордера StopLoss, фиксируется полученная прибыль после достижения значения, задаваемого параметром TakeProfit, возможная прибыль или убыток определяются не только этими значениями, но зависят также от объема лота открытого ордера, задаваемого
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