Valuing Streams of Risky Cashflows With Risk-value Models

28 Pages Posted: 12 Feb 2018

See all articles by Gregor Dorfleitner

Gregor Dorfleitner

University of Regensburg - Department of Finance

Werner Gleißner

Dresden University of Technology - Faculty of Economics and Business Management

Date Written: February 9, 2018

Abstract

Based on risk-value models, we introduce a multiperiod approach to the valuation of streams of risky cashflows. The valuation is based on the (expected) value of the output’s or input’s magnitude and the risk of the output cashflow, as captured by a risk measure. We derive three formulas for valuing single cashflows and utilize the principles of separate valuation and of cumulating the cashflows to derive a multi-period valuation method. In an axiomatic way, the paper sets out the foundations for a new approach and suggests several directions for its further development.

Keywords: risk-value models, company valuation, project valuation, alternative approach, value-at- risk (VaR)

Suggested Citation

Dorfleitner, Gregor and Gleißner, Werner, Valuing Streams of Risky Cashflows With Risk-value Models (February 9, 2018). Journal of Risk, Vol. 20, No. 3, 2018, Available at SSRN: https://ssrn.com/abstract=3121291

Gregor Dorfleitner (Contact Author)

University of Regensburg - Department of Finance ( email )

Regensburg, 93040
Germany

Werner Gleißner

Dresden University of Technology - Faculty of Economics and Business Management ( email )

Mommsenstrasse 13
Dresden, D-01062
Germany

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