DCF и NPV на собесе финансового аналитика
Зачем DCF на собесе финаналитика
DCF (Discounted Cash Flow) — стандартный метод оценки стоимости бизнеса / проекта. На собесе финаналитика типичная задача — оценить инвестиционный проект через NPV. Без понимания DCF / NPV — слабая позиция, особенно для FP&A / corporate finance ролей.
Слабый ответ — «сравню revenue». Сильный — про FCF projection, WACC, terminal value, sensitivity, validation через multiples.
Принцип DCF
Идея: value of business / project = sum of future cash flows, discounted к today.
Why discount? Future $1 < today's $1 из-за:
- Inflation
- Opportunity cost (could invest elsewhere)
- Risk (future uncertain)
Discount rate = required return = cost of capital.
NPV (Net Present Value)
Formula:
NPV = Σ (CF_t / (1 + r)^t) - Initial Investmentгде:
- CF_t — cash flow в год t
- r — discount rate
- t — years
Decision rule:
- NPV > 0 → проект выгоден (creates value)
- NPV < 0 → отвергнуть
- NPV = 0 → indifferent (break-even)
Пример:
- Initial investment: $100k
- CF year 1: $40k, year 2: $50k, year 3: $30k
- Discount rate: 10%
- NPV = -100 + 40/1.1 + 50/1.21 + 30/1.331 = -100 + 36.4 + 41.3 + 22.5 = $0.2k
Marginal. Boundary case — small assumption change flips decision.
IRR (Internal Rate of Return)
Definition: discount rate, при котором NPV = 0.
Use case: «какая return investment даёт?»
Decision rule:
- IRR > hurdle rate → принять
- IRR < hurdle rate → отвергнуть
Limitations:
- Multiple IRR при alternating cash flows
- Misleading для projects different scales
- NPV preferable для capital budgeting decisions
WACC (Weighted Average Cost of Capital)
Стандартный discount rate для company-wide projects.
Formula:
WACC = (E/V) × Re + (D/V) × Rd × (1 - tax)где:
- E — market value of equity
- D — market value of debt
- V = E + D
- Re — cost of equity (CAPM)
- Rd — cost of debt (yield)
- tax — corporate tax rate
Re via CAPM:
Re = Rf + β × (Rm - Rf)- Rf — risk-free rate (government bond yield)
- β — stock volatility relative to market
- Rm - Rf — equity risk premium (5-7%)
В РФ 2026: WACC обычно 15-25% для tech companies, 12-18% для stable.
Terminal value
Большая часть DCF value — terminal value (после explicit forecast period).
Gordon Growth Model (perpetuity):
TV = CF_(n+1) / (r - g)где g = long-term growth rate (2-4% обычно).
Exit multiple:
TV = CF_n × multiple (e.g., EV/EBITDA 10x)Discount TV к today:
PV of TV = TV / (1 + r)^nWhy terminal value matters:
- Often 60-80% of total DCF value
- Sensitive к g и discount rate
- Sanity check: TV growth не должен превышать GDP growth long-term
Free Cash Flow (FCF)
Unlevered FCF (для company valuation):
EBIT × (1 - tax) + D&A - Capex - Δ working capitalLevered FCF (для equity valuation):
Net income + D&A - Capex - Δ WC - Net debt repaymentУровень для DCF: обычно unlevered → discount at WACC → enterprise value.
DCF model steps
Forecast operating model: revenue, costs, EBITDA на 5-10 years.
Compute FCF: EBIT × (1-tax) + D&A - Capex - ΔWC.
Determine WACC.
Discount each FCF к present: CF_t / (1 + WACC)^t.
Terminal value: Gordon growth or exit multiple.
Sum: Enterprise Value = PV of FCFs + PV of TV.
Equity value: EV - Net debt = Equity value.
Per share value: Equity / shares outstanding.
Sensitivity analysis
DCF heavily зависит от assumptions. Always sensitivity.
Two-way data table (Excel):
- Rows: WACC (10%, 12%, 14%, 16%, 18%)
- Columns: terminal g (1%, 2%, 3%, 4%, 5%)
- Cells: NPV / Enterprise Value
Other key sensitivities:
- Revenue growth
- EBITDA margin
- Capex assumptions
Validation
DCF — assumptions-heavy. Sanity check:
1. Multiples comparison:
- EV/EBITDA, EV/Revenue
- Compare к peer multiples
- DCF must be in reasonable range
2. IRR sanity:
- Reasonable IRR (10-25% typical)
- Если 40%+ — likely overestimated
3. Terminal value share:
- 60-80% normal
90% — flag (overdependent on terminal)
4. Forecast period choices:
- 5-10 years explicit
- Beyond — terminal
Типичные кейсы
«Оцените проект через NPV. Initial investment $1M, FCF $200k / year × 7 years, WACC 12%»
PV of FCFs: 200k × annuity factor (12%, 7 yr) = 200k × 4.564 = $912k. NPV = 912 - 1000 = -$88k → отвергнуть.
«Why NPV > IRR для decisions?»
IRR может mislead для projects different scales, multiple IRR при non-conventional CFs. NPV — absolute value created.
«Terminal value 80% of DCF. OK?»
Common, но flag. Means most value beyond forecast. Sensitivity на g critical.
«DCF vs multiples (relative valuation)?»
DCF — fundamental, future-oriented. Multiples — relative к peers, market-driven. Best: оба подхода вместе.
Частые ошибки
- Constant FCF growth. Reality — non-linear, seasonal.
- WACC без CAPM. «Pick 10%» — arbitrary.
- Terminal g слишком high. Above GDP — unreasonable long-term.
- Без sensitivity. Single number — false precision.
- Mismatch unlevered FCF / levered discount rate. Conceptual error.
FAQ
DCF для startup?
Сложно — short history, high uncertainty. Альтернатива: VC-multiples, scenario analysis.
IRR vs MIRR?
MIRR (Modified IRR) — assumes reinvestment at WACC, не at IRR. Realistic. Используется для projects с non-standard CFs.
Inflation в DCF?
Real CF + real discount rate ИЛИ nominal CF + nominal discount rate. Don't mix.
DCF чувствителен к WACC?
Yes — небольшое изменение → big NPV swing. Sensitivity обязательна.
Где практиковать DCF?
Wall Street Prep, BIWS courses. Build DCF for public companies (Yandex, Tinkoff before delist) — compare к market value.