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Cost of capital and probability of default in value-based risk management

机译：基于价值的风险管理中的资本成本和违约概率

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Purpose - This papa- aims to present the combination of enterprise risk management (ERM) and value-based management as especially suitable methods for companies with a shareholder value imperative. Among its major benefits, these methods make the contribution of risk management for business decisions more effective. Design/methodology/approach - Any possible inconsistencies between ERM, generating value because of imperfect capital markets and the CAPM to calculate cost of capital, which assumes perfect markets, must be avoided. Therefore, it is imperative that valuation methods used are based on risk analysis, and thus do not require perfect capital markets. Findings - Value-based risk management requires the impact of changes in risk on enterprise value to be calculated and the aggregation of opportunities and risks related to planning to calculate total risk (using Monte Carlo simulation) and valuation techniques that reflect the effects changes in risk, on probability of default, cost of capital and enterprise value (and do not assume perfect capital markets). It is recommended that all relevant risks should be quantified and described using adequate probability distributions derived from the best information. Practical implications - This approach can help to improve the use of risk analysis in decision-making by improving existing risk-management systems. Originality/value - This extension of ERM is outlined to provide risk-adequate evaluation methods for business decisions, using Monte Carlo simulation and recently developed methods for risk-fair valuation with incomplete replication in combination with the probability of default. It is shown that quantification of all risk using available information should be accepted for the linking of risk analysis and business decisions.
机译：目的-本白皮书旨在介绍企业风险管理（ERM）和基于价值的管理相结合的情况，这是特别适合需要股东价值的公司的方法。这些方法的主要优点之一是使风险管理对业务决策的贡献更加有效。设计/方法/方法-必须避免ERM之间的任何可能的矛盾，即由于不完善的资本市场而产生价值，而CAPM则需要假定理想市场的资本成本来计算资本成本。因此，必须使用的评估方法是基于风险分析的，因此不需要完美的资本市场。调查结果-基于价值的风险管理需要计算风险变化对企业价值的影响，以及与计划相关的机会和风险的汇总，以计算总风险（使用蒙特卡洛模拟）和反映风险影响变化的估值技术，违约概率，资金成本和企业价值（并且不假设完善的资本市场）。建议使用从最佳信息中得出的适当概率分布来量化和描述所有相关风险。实际意义-这种方法可以通过改进现有的风险管理系统来帮助在决策中更好地使用风险分析。独创性/价值-ERM的这一扩展概述为使用蒙特卡罗模拟和最近开发的风险公平评估方法（不完全复制以及违约概率）为业务决策提供了足够的风险评估方法。结果表明，在将风险分析和业务决策联系起来时，应接受使用可用信息对所有风险进行量化的方法。

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