Risk assessment of projects with R&D using the risk measure VaR and ES

Оценка рисков проектов С R&D с помощью меры риска VaR И ES

Vigen Minasyan ()

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: The preprint was prepared on the basis of research work carried out at the RANEPA under the President of the Russian Federation in 2019. This paper proposes a model for assessing the risks of projects of companies in which there is R&D (Research & Development) - research and development work (R&D), a set of measures that includes both scientific research and the production of prototypes and small-scale samples products prior to the launch of a new product or system into industrial production. In this work, a method for assessing the corresponding risks was developed using a modified VaR measure for this application. The constructed model makes it possible to assess the risks of projects with R&D using the risk measure VaR with all possible parameters present in the model. At the same time, the paper analyzes the level of influence of projects with R&D on the economy as a whole.

Pages: 29 pages
Date: 2020-05
New Economics Papers: this item is included in nep-acc, nep-cis and nep-ppm
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:052027

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