Measuring Risk Structure Using the Capital Asset Pricing Model

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dc.contributor.authorKonečný, Zdeněkcs
dc.contributor.authorZinecker, Marekcs
dc.coverage.issue1cs
dc.coverage.volume63cs
dc.date.issued2015-03-03cs
dc.description.abstractThis article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM) for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50 %, however, in the neutral sector is this more dominant.en
dc.description.abstractCílem studie je navrhnout inovativní metodu kalkulace podílů provozního a operativního rizika v kontextu podnikových financí. Navržený metodický nástroj umožňující monitorování struktury rizik je určený pro teorii i podnikovou praxi.cs
dc.formattextcs
dc.format.extent227-233cs
dc.format.mimetypeapplication/pdfcs
dc.identifier.citationActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. 2015, vol. 63, issue 1, p. 227-233.en
dc.identifier.doi10.11118/actaun201563010227cs
dc.identifier.issn1211-8516cs
dc.identifier.orcid0000-0003-1764-0904cs
dc.identifier.other113181cs
dc.identifier.researcheridAAL-5760-2021cs
dc.identifier.scopus36976830900cs
dc.identifier.urihttp://hdl.handle.net/11012/70186
dc.language.isoencs
dc.publisherMendel University in Brnocs
dc.relation.ispartofActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensiscs
dc.relation.urihttps://acta.mendelu.cz/63/1/0227/cs
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivatives 4.0 Internationalcs
dc.rights.accessopenAccesscs
dc.rights.sherpahttp://www.sherpa.ac.uk/romeo/issn/1211-8516/cs
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/cs
dc.subjectBeta Coefficienten
dc.subjectCapital Asset Pricing Modelen
dc.subjectFinancial Risken
dc.subjectOperational Risken
dc.subjectRisk Structureen
dc.subjectKoeficient beta
dc.subjectCAPM
dc.subjectfinanční riziko
dc.subjectprovozní riziko
dc.subjectstruktura rizik
dc.titleMeasuring Risk Structure Using the Capital Asset Pricing Modelen
dc.title.alternativeMěření struktury rizik s využitím CAPMcs
dc.type.driverarticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
sync.item.dbidVAV-113181en
sync.item.dbtypeVAVen
sync.item.insts2025.02.03 15:43:12en
sync.item.modts2025.01.17 15:27:25en
thesis.grantorVysoké učení technické v Brně. Fakulta podnikatelská. Ústav ekonomikycs
thesis.grantorVysoké učení technické v Brně. Fakulta podnikatelská. Ústav financícs
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