QUANTITATIVE METHODS IN THE RISK ANALYSIS ON THE EXAMPLE OF THE OIL SECTOR

• Authors: Alicja Byrska-Rąpała
• Languages of publication: EN

Abstracts

EN

The geological object (deposit) is a specific type of asset of mining enterprise which cannot be quantitatively or qualitatively interchangeably measured. In spite of rapid development of geological and economic sciences, still none of universal method of evaluation of value of resources has been settled yet. In the article, on the example of the oil sector, author described chosen methods of the mathematical statistics and the financial mathematics tools, which are used in the risk assessment related to estimating the fair market value of hydrocarbons. In the article the following subjects are presented: - the hyperbolic lognormal distribution in the exploration risk assessment, - the exponential utility function and the evaluation of the real option in the economic risk assessment. For each area of risk assessment is to recommend software. Statistical methods and the financial engineering used in estimating the fair value of the properties, are from many years the topic of numerous scientific publications and research. Many of the studies has indicated the importance of mathematical methods in solving problems in the area, where not long ago intuition and experience of evaluator of deposit were mainstream.

Keywords

EN

fair market value; hyperbolic lognormal distribution; exponential utility function; risk tolerance level; equivalent of certainty; real option

• Publisher: Katedra Informatyki Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Information Systems in Management
• Year: 2012
• Volume: 1
• Issue: 3
• Pages: 171-183

Dates

published

2012

Contributors

author

Alicja Byrska-Rąpała

• Faculty of Management, AGH University of Science of Technology Krakow

References

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Identifiers

ISSN

2084-5537