GDL

Using Value-at-Risk for IS/IT Project and Portfolio Appraisal and Risk Management

ISSN 1566-6379
Journal from gdlhub / 2012-06-22 14:08:00
Oleh : Stefan Koch , Academic Conferences Limited
Dibuat : 2012-06-22, dengan 1 file

Keyword : IT investment, risk management, value-at-risk, project portfolio
Url : http://www.ejise.com/volume9/issue1/p1
Sumber pengambilan dokumen : Internet

This paper makes the case for adopting a risk measure from the finance sector for IS/IT project and portfolio

evaluation. The proposed value-at-risk approach constitutes a well-tested approach in high-risk environments, especially

banking, and reports the expected maximum loss (or worst loss) over a target horizon within a given confidence interval.

Value-at-risk is computed using either an analytical, parametric approach, or resorting to simulation, either based on

historical samples or Monte Carlo methods. The main advantages of using value-at-risk measures are that they are

methodologically consistent with modern IS/IT evaluation approaches like real options, that they offer possibilities for

management and assessment of IS/IT project portfolios, and that the results are easy to interpret.

Deskripsi Alternatif :

This paper makes the case for adopting a risk measure from the finance sector for IS/IT project and portfolio

evaluation. The proposed value-at-risk approach constitutes a well-tested approach in high-risk environments, especially

banking, and reports the expected maximum loss (or worst loss) over a target horizon within a given confidence interval.

Value-at-risk is computed using either an analytical, parametric approach, or resorting to simulation, either based on

historical samples or Monte Carlo methods. The main advantages of using value-at-risk measures are that they are

methodologically consistent with modern IS/IT evaluation approaches like real options, that they offer possibilities for

management and assessment of IS/IT project portfolios, and that the results are easy to interpret.

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