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Educational Programme
Final Grade
Year of Graduation
Nadezhda Bulovich
Comparable Analysis Using CFaR Methodology for the Efficiency of Industries
(Master’s programme)
The purpose of this master's work is a comparative analysis of the operating cash flows of the main sectors of the Russian economy.

A number of tasks were set and solved to achieve the goal:

1. The first Chapter of the study is devoted to an excursion into the nature of risk and the construction of its classification.

2. The second Chapter describes in detail the model of cash flows. Evaluation is performed by regression analysis.

3. The third describes an evaluation of efficiency of various industries. It was created a lot of scenarios using Monte Carlo method. Evaluating cash flow at risk (CFaR) and expected shortfall (ES). I was compared the indicators in the context of areas.

The scientific and practical significance of the work is due to the need to systematize and supplement existing methods of risk assessment and management, to build integrated risk systems for a particular Russian enterprise or industry. A comparative analysis of the effectiveness of industries has not been carried out before.

The final conclusions will allow corporate managers to have an industry benchmark in planning activities. Moreover, the results of the analysis presented in this paper may be one of the quantitative factors in assessing the reasonableness of mergers and acquisitions. Such analysis can be useful for the regulator and banks in the construction of relevant industry strategies. Private investors can also use it when choosing an industry to invest in.

Keywords: risk assessment of non-financial companies, CFaR, ES, regression analysis, simulation, Monte Carlo

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