Welcome to the

International Cost of Capital and Risk Calculator


Please email me at cam.harvey@duke.edu to order Excel version.


What does the program do?

The basic goal of the program is to deliver the cost of capital across 136 countries. The program produces the cost of capital for a project of average risk within a particular country. The methodology follows the model of Erb, Harvey and Viskanta (1995) (EHV) who use a method based on matching credit/political/economic/financial risk to expected returns. All expected returns are calculated in U.S. dollars.

The cost of capital implementation is more general than the EHV model.

Volatility and Correlation

The program also produces forecasts of volatility and correlation with the MSCI world index over one to five year horizons.

Payback

The program is able to answer the following type of question: How long does it take for my investment to double in value with 95% probability. More generally, the client can input the investment multiple.

Projects with greater risk than country

The program produces a cost of capital for a project of average risk in a particular country. If the project is perceived as 20% riskier than the country as an average, then the expected rate of return needs to be adjusted.

Local currency discount rates

If local currency discount rates are needed, then we recommend adding the difference between the local expected inflation and the U.S. expected inflation. This difference likely changes through time. Hence, you would use a series of discount rates (one for each time horizon).

Cost

Currently, Excel version is available for $2,500. The program expires every six months (the data and coefficients need to be updated). The fee does not include support. There is an optional consulting arrangement that can be negotiated directly with me and depends on the intensity that you will use the program.

Access

Please email me at cam.harvey@duke.edu to order Excel version.