Measuring Risk Structure Using the Capital Asset Pricing Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F15%3APU113168" target="_blank" >RIV/00216305:26510/15:PU113168 - isvavai.cz</a>
Result on the web
<a href="https://acta.mendelu.cz/63/1/0227/" target="_blank" >https://acta.mendelu.cz/63/1/0227/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201563010227" target="_blank" >10.11118/actaun201563010227</a>
Alternative languages
Result language
angličtina
Original language name
Measuring Risk Structure Using the Capital Asset Pricing Model
Original language description
This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50 %, however, in the neutral sector is this more dominant.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50602 - Public administration
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
2464-8310
Volume of the periodical
63
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
7
Pages from-to
227-233
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-84925448034