QUANTITATIVE ANALYSIS OF RISK OF INVESTMENT DECISION

Abstract

The article is devoted to a comprehensive study of the quantitative analysis of investment decisions. The degree of influence of risk factors on the effectiveness of management decisions in the investment sphere is determined. The characteristic features of the stages of quantitative analysis are identified and described. The group of methods for quantitative risk analysis of investment decisions is investigated in detail, in conclusion, the advantages and disadvantages of their application are disclosed. The purpose of the article is to study in detail various aspects of the quantitative analysis of an investment decision, to identify the advantages and disadvantages of various methods and the effectiveness of their application in the face of uncertainty. Findings. There is no universal method for quantitative risk analysis. Each investment decision must be approached individually and carefully, reinforcing the algorithm for its adoption by in-depth analysis. Each of the above methods has its own advantages and disadvantages. Significant disadvantages of the methods of quantitative analysis of investment decisions include: • the need for a large amount of initial, and most importantly relevant information for a long period of time; • difficulties in determining the laws of distribution of the studied parameters and the resulting indicators (statistical method, Monte Carlo method); • an isolated consideration of changes in one factor without taking into account the influence of others (stability testing method, sensitivity analysis), etc. It is possible to overcome the aforementioned shortcomings by using the theory of fuzzy sets, which allows one to form a full range of investment project implementation scenarios. In this case, the investment decision is made not on the basis of several assessments of the project’s effectiveness, but on the totality of these assessments. To reduce the damage from possible errors and improve the quality of investment decisions made by resorting to the following recommendations: • when analyzing risks, it is fundamentally important to consider the dynamics of indicators that affect the level of risk; • quantitative methods of risk analysis should be used comprehensively, using the simplest ones at the initial stage (the method of sensitivity analysis and adjusting the discount rate), and more complex and requiring additional information — when calculating the effectiveness of an investment decision (simulation, building probability distribution curves, tree decisions); • it is necessary to take into account specific features of the implementation of methods for each type of risk in question; • for the analysis of risks a significant role is played by the volume and quality of the source data; • when choosing analysis methods, one should take into account not only the depth of the calculated data, but also an alternative to forecasting indicators that affect the level of risk; • timing and technical capabilities of analysis are of great importance when choosing a method; • the effectiveness of the application of risk analysis methods increases with the formalization of risk with the goal of mathematical modeling of its impact on the results of the enterprise.