Studio di un indicatore per la valutazione del rischio delprogetto nella metodologia dellâ€™analisi costi benefici - Proposed risk indicators in the cost-benefit analisys methodology
AbstractCost-benefit analysis allows to assess in advance the performance of investment projects through the calculation of appropriate indices, such as the NPV, the IRR, the B/C ratio. Performance indicators are, however, affected by the uncertainty inherent in the exercise of forecasting the future values of the physical and economic parameters generated by the project. Probability distribution of the expected values of each performance indicator can be determined, e.g., through Montecarlo simulations of the CBA model. Derived from the simulated probability distribution, the paper, starting from the definition of the loss function in the statistical decision theory, proposes a set of risk indicators (Index of absolute risk, Index of internal relative risk, Index of generalized relative risk), which include a "weight" function that models the level of aversion against the expected loss of the performance indices by the person who will bear the project risk.
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Bibliographic InfoPaper provided by Centre for Industrial Studies (CSIL) in its series Working Papers with number 201102.
Length: 7 pages
Date of creation: 01 Apr 2011
Date of revision:
risk analysis; risk adversion; Montecarlo simulation; cost benefit analysis - rischio; avversione al rischio; simulazione Montecarlo; analisi costi benefici;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-CMP-2011-07-02 (Computational Economics)
- NEP-PPM-2011-07-02 (Project, Program & Portfolio Management)
- NEP-RMG-2011-07-02 (Risk Management)
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