Quantitative and qualitative models exist for the evaluation of financial risk. Some evaluation models are based on requiring either inputs of historical data or expert opinions. In this paper, we have evaluated the risk in an investment portfolio of a public utilities company in the region of Friuli Venezia Giulia, North East of Italy. For the evaluation, the AHP, a classic model proposed by Saaty, has been used, recognising the hierarchy structure in criteria and sub-criteria defined by the experiences of sector operators and compared with pairs. Five portfolios proposed by financial promoters and five obtained randomly have been compared, considering the knowledge and preferences of the company managers and a level of risk equal to the level proposed by banks. We consider the affiliation sector of the portfolio titles and the geography, meaning the Country of emission of titles, to analyse country risk and the currency of issue of titles to analyse exchange rate risk. For each criterion, experts evaluated sub-criteria. To identify the weights of both algorithms related to the differentiation of titles within a portfolio and to identify the criteria based on the socioeconomic knowledge within a financial framework, experts relied on involved operators. The flexibility of this instrument translates into the ability to use this instrument to consider either qualitative aspects of the risk or quantitative and semi quantitative aspects. The instrument can be considered a usual instrument in the management of public utilities companies, as long as the instrument is linked to the knowledge of managers.

MARKET RISK MANAGEMENT FOR PUBLIC UTILITIES THROUGH AHP

SIMEONI, Patrizia;
2013-01-01

Abstract

Quantitative and qualitative models exist for the evaluation of financial risk. Some evaluation models are based on requiring either inputs of historical data or expert opinions. In this paper, we have evaluated the risk in an investment portfolio of a public utilities company in the region of Friuli Venezia Giulia, North East of Italy. For the evaluation, the AHP, a classic model proposed by Saaty, has been used, recognising the hierarchy structure in criteria and sub-criteria defined by the experiences of sector operators and compared with pairs. Five portfolios proposed by financial promoters and five obtained randomly have been compared, considering the knowledge and preferences of the company managers and a level of risk equal to the level proposed by banks. We consider the affiliation sector of the portfolio titles and the geography, meaning the Country of emission of titles, to analyse country risk and the currency of issue of titles to analyse exchange rate risk. For each criterion, experts evaluated sub-criteria. To identify the weights of both algorithms related to the differentiation of titles within a portfolio and to identify the criteria based on the socioeconomic knowledge within a financial framework, experts relied on involved operators. The flexibility of this instrument translates into the ability to use this instrument to consider either qualitative aspects of the risk or quantitative and semi quantitative aspects. The instrument can be considered a usual instrument in the management of public utilities companies, as long as the instrument is linked to the knowledge of managers.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11390/1037400
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