Development of an investment risk management model for innovative environmental projects under macroeconomic instability factors

Abstract

Financing of environmental innovations in Russia faces a paradox: under a formally favourable regulatory framework (Bank of Russia methodological guidelines on verification of green instruments, Resolution No. 1587 on taxonomy) the share of green issues in the total volume of bonds in 2024 dropped to 5.3% against 45.5% a year earlier. The contraction occurred amid the rise of the key rate to 21% and the increase in the cost of capital for projects with long payback horizons. The emerging collision between the declared climate agenda and the actual flow of capital into short instruments with floating rates forms the research question: which configuration of risk management allows to keep positive NPV of an environmental project under key rate volatility of 7.5–21%. The aim of the work is to construct a multifactor model for managing investment risks of innovative environmental projects with an endogenous macroeconomic component. The methods used include ratio analysis, factor decomposition by chain substitution, Monte Carlo simulation (10 000 iterations) and scenario analysis on three macroeconomic trajectories. The empirical base is a hypothetical project for implementation of best available technologies for wastewater treatment with capital cost of 487.3 mln rub. Quantitative estimates of NPV sensitivity to the key rate are obtained (elasticity −1.47); the selectivity of the additional environmental risk premium in the cumulative model of the discount rate is demonstrated. A three-circuit risk management mechanism is proposed in which country and industry circuits are separated by hedging methods. The applicability of the results extends to investment departments of corporations, lending banks and operators of state programmes for supporting environmental projects.