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Risk adjusted discount rate

In investment appraisal, a risk-adjusted discount rate can be used for particular types or risk classes of investment projects to reflect their relative risks.

Different projects have different risks, so the discount rate(required rate of return) should be risk-related. It is often said that ‘the higher the risk, the higher the return’. Investment projects with higher risk should therefore be discounted with a higher discount rate than lower risk investment projects.

Theoretically, the capital asset pricing model (CAPM) can be used to determine a project-specific discount rate which reflects an investment project’s systematic risk. This means selecting a proxy company with similar business activities to a proposed investment project, ungearing the proxy company equity beta to give an asset beta which does not reflect the proxy company financial risk, regearing the asset beta to give an equity beta which reflects the financial risk of the investing company, and using the CAPM to calculate a project-specific cost of equity for the investment project.

Simulation is a computer-based method of evaluating an investment project whereby the probability distributions associated with individual project variables and interdependencies between project variables are incorporated. Unlike sensitivity analysis, the simulation allows multiple variables to change simultaneously.

Random numbers are assigned to a range of different values of a project variable to reflect its probability distribution. Each simulation run randomly selects values of project variables using random numbers and calculates a mean (expected) NPV.

A picture of the probability distribution of the mean (expected) NPV is built up from the results of repeated simulation runs. The project risk can be assessed from this probability distribution as the standard deviation of the expected returns, together with the most likely outcome and the probability of a negative NPV.

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