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Kyrgyz-Russian Slavic University, Kyrgyzstan
Championship participant: the National Research Analytics Championship - "Kyrgyzstan";
the Open European-Asian Research Analytics Championship;
In the conditions of the instability of developing their national economies (natural and manmade disasters, the political situation, etc.). When developing the investment project performance indicators of the project, should consider the risks and uncertainties of the project, i.e. incomplete and inaccurate information about the terms of the project, and risk, i.e. the possibility of such conditions that lead to negative consequences for all or individual participants.
Thus the traditional approach to the solution of this problem is based on development of scenarios of implementation of the project that cause certain positive or negative deviations from the baseline scenario, corresponding to the values of performance indicators. The risk associated with the occurrence of certain conditions of the project depends on whether, in terms of whose interests it is estimated.
The project is considered stable if at all possible scenarios it is effective and financially realizable, and possible adverse effects are eliminated by measures under the project activities.
In order to assess the sustainability and effectiveness of the project in the conditions of uncertainty is recommended to use the following methods:
All methods except the first, include the development of scenarios of the project in the most likely or most dangerous conditions to the participants and the assess the financial implications of such scenarios. This makes it possible for the need to include in the draft measures to prevent or redistribution resulting losses. If these measures do not ensure sustainability of the project implementation, a more detailed study of the effect of uncertainty on the feasibility and effectiveness of the investment project is necessary.
If there is information on the various scenarios of the project, the likelihood of their implementation and on the values of basic parameters of the project for each of the scenarios, the general indicator of performance can be defined - the expected effect of the integral (expected NPV). Evaluation of the expected performance of the project, taking into account the uncertainty is being produced in the presence of information about different scenarios of the project, the likelihood of their implementation. Calculations are made in the following order:
The main indicator used to compare different projects (design options) and select the best of them, is an integral indicator of the expected effect (NPV). Methods for determining the parameters of the expected effect are depended on the available information on the uncertain conditions of the project.
The probabilistic description of the conditions of the project is applicable when the effectiveness of the project is caused, first of all the uncertainty of natural - climatic conditions (weather, soil characteristics and mineral reserves, the possibility of earthquakes or floods, etc.) or operation and depreciation of fixed assets processes (decrease in strength of structures buildings, equipment failure, etc.). Fluctuation in the prices of made production and consumed resources alsocan be described byprobability distribution.
In the case where there are a finite number of scenarios and their probabilities are given, the expected effect of the integrated project is calculated as follows:
where NPVож- expected integral effect of the project;
pk- the probability of the scenario;
k = 1,2, ... - the number of scenarios;
NPVk- the integrated effect of the scenario.
The risk of failure of the project and the average loss from the project if it is ineffectiveare determined by formulas:
where pнэ- the risk of failure of the project;
Унэ- the average loss for scenarios with negative values of integral effects.
Let's consider the option, when at a certain stage of the project - the project is terminated due to unforeseen circumstances (natural and man-caused disaster, changing market conditions, political events, wars, etc.). Accordingly, in the formula (1), we introduce additional terms and conditions of an integral evaluation of the expected effects of the project:
where pH- the probability of termination of the project.
The condition of the project is defined the minimum possible damage in the event of unforeseen circumstances:
Finding the parameters of the investment project in conditions of uncertainty of the project is interfaced to difficulties to describe the analytical expressions of the interdependence of the parameters of the project. Lack or insufficient information about the occurrence of various events. Simulation modeling using Monte-Carlo method provides the ability to analyze scenarios in a lack of information on the project. The result of this analysis supports the probability distribution of possible outcomes of the project.
Simulation modeling by the Monte Carlo method allows us to construct a mathematical model for a project with uncertain parameter values, knowing only the probability distributions of the parameters of the project and also the relationship between changes in parameters (correlation), to obtain the distribution of profitability of the project.
At formation of scenarios with use of simulation modeling are used the following steps:
Analysis of the resulting parameters at the generated scenarios allows to evaluate the possible range of their variation under different conditions of the project. Probabilistic characteristics are used to:
As result of this comprehensive analysis acts the probability distribution of possible results of the project. Decision-making level for low-profit projects, if the risk analysis determines is improved that the chances to get a satisfactory income exceed the probability of unacceptable losses.