dr reza raei

In the past several years many financial theories such as portfolio optimization model، model prices of capital assets (CAPM)، arbitrage pricing، and the like، are based on normal return distribution. Yet recent research has rejected the assumption that if the distribution of returns is different from the normal distribution، so variables and methods that they use in these models are challenged. Then it is important that the exact types of distributions are specified. In this research we conduct a test on stock return distribution of 22 firms using R/S method as well as the Anderson–Darling criteria. It covers the period of 2001-2013. The test results show that the return distributions of nine firms are stable.

In this study، in order to consider the effects of cash flow fluctuations on project profitability، the new risk kind indicators are proposed to assess projects risk. Firstly، Project cash flow calculates on the basis of cost and revenue data in an LNG project. Then distribution curves of two variables، oil price and interest rate of foreign loans، are utilized to determine distribution curve of net present value of cash flow in project life time through Monte Carlo simulation method. Based on this result distribution curve of profitability index and two risk indices، value at risk and expected shortfall، are estimated. The risk assessment results show that profit volatility in LNG projects greatly affected by dependence on feed gas price and factory revenue with oil price. Financial risk assessment of Iran LNG project، as the case study of this research، shows the deterministic price formula for calculating upstream gas is such that with rising oil prices and factory revenues، upstream gas prices to be raised proportionally. Despite the positive effect on reducing financial risk of the project، this relationship between revenues and costs has limited the range of shareholder profits، significantly.