文章基本信息

标题：Using Value‑at‑Risk for ISIT Project and Portfolio Appraisal and Risk Management
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作者：Stefan Koch
期刊名称：Electronic Journal of Information Systems Evaluation
电子版ISSN：1566-6379
出版年度：2006
卷号：9
期号：1
页码：1-6
出版社：Academic Conferences Limited
摘要：This paper makes the case for adopting a risk measure from the finance sector for ISIT 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 ISIT evaluation approaches like real options, that they offer possibilities for management and assessment of ISIT project portfolios, and that the results are easy to interpret.
关键词：IT investment ; risk management ; value-at-risk ; project portfolio