ASSESSMENT OF RISKS ARISING FROM THE USE OF MULTIPLIER TECHNOLOGY TO ASSESS THE SHARES

On the example of oil and gas companies, the author considers the problem of using the method of market multipliers in assessing the value of companies in the Russian Federation. We study the possibility and correctness of the application of industry multipliers and multipliers of companies-analogues to the evaluation of the value of a particular company. One of the classical methods of stock valuation is a comparative method implemented in the form of a multiplier valuation method. As a multiplier value used to evaluate a particular company, it is often used the expected value of the industry multiplier or the company of an analogue or their value at a particular moment. However, the multipliers themselves exhibit volatility in time and space (in the transition from one company to another, even within one industry). Naturally, the question arises about the risk of assessment that is about the model risk. This paper is based on the findings of statistical studies of industry multipliers and their volatility in the Russian Federation. The author introduced the concept of the multiplicatory volatility of shares and proposed a formula for its evaluation. We also analyzed the risk measures of VaR and ES calculated with volatilities calculated in different ways. Estimates of the risk measures VaR and ES obtained using conventional statistical estimates of the volatility of shares (when possible) led to smaller estimated values of risk compared to those obtained using the multiplier of volatility. It is important to note that the proposed version of the calculation of risk measures VaR and ES with the use of multiplier volatility can also be used in relation to nonpublic companies.

multiplier P/E, multiplier P/B, value of shares, volatility of shares, volatility of multiplier, VaR measure of risk, ES measure of risk, companies-analogues

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