Analyzing Risk and Performance Using the Multi-Factor Concept
In this paper, we present a new model to analyze the risk and the expected level of firm performance. This model is based on the multi-factor approach to risk, in which unexpected performance is explained through sensitivities to unexpected changes of risk factors. Instead of using the multi-factor approach for the analysis of security portfolios, it is used to analyze performance measures of firms. In this paper the multi-factor approach is not only used to analyze risk, but also to analyze the expected level of performance. Furthermore, it is analyzed how instruments, as for instance projects, can be used to change the risk and the expected level of performance. An illustrative application in the field of finance is presented, although the model can also be applied in other areas.
|Keywords||finance, investment analysis, modelling, performance evaluation, risk analysis, risk management|
|Persistent URL||dx.doi.org/10.1016/0377-2217(95)00157-3, hdl.handle.net/1765/6027|
Vermeulen, E.M., Spronk, J., & van der Wijst, N.. (1996). Analyzing Risk and Performance Using the Multi-Factor Concept. European Journal of Operational Research, 93(1), 173–184. doi:10.1016/0377-2217(95)00157-3