Quantification of the cost anomalies of PJSC «Aeroplane» shares by scenario-dynamic modeling and machine learning methods during the transformation of the mortgage market and high volatility of the key interest rate

Abstract

This paper is devoted to determining the target value of shares of PJSC Aeroplane for 2026-2027 in conditions of high macroeconomic uncertainty and structural changes in the housing construction market. The relevance of the study is due to the critical situation of the company, which is characterized by a record debt burden, falling demand amid the cancellation of preferential mortgages and the high key interest rate of the Central Bank of the Russian Federation, as well as an unprecedented appeal to the government for financial support. The paper provides a systematic analysis of 16 key factors affecting the company's market value, including macroeconomic indicators, financial condition, operational efficiency, reputational and legal risks. The methodological basis of the study was a hybrid approach combining scenario modeling of discounted cash flows (DCF) with elements of machine learning (gradient boosting). For each of the four macroeconomic scenarios (disinflationary, baseline, pro-inflationary, and risky), free cash flows and terminal cost were calculated, taking into account the likelihood of government support. At the same time, a gradient boosting model was built using more than 30 features (macroeconomic indicators, corporate indicators, news tone, market data), which allowed us to adjust the DCF estimate taking into account qualitative factors and binary events. The simulation results show that the target share price for 2026 is in the range of 500 to 900 rubles in the absence of government support and from 1200 to 1600 rubles when receiving it. The worst-case scenario (default or asset withdrawal) involves a price drop below 300 rubles. On the horizon of 2027, subject to a reduction in the key rate to 7.5–8.5% and a recovery in demand, the fair value is estimated at 1,800-2,200 rubles. The main conclusion of the work is the conclusion that the company's investment attractiveness critically depends on the outcome of negotiations with the government and the ability of management to restructure debt. Aeroplane shares are characterized by exceptionally high volatility and may be of interest only to investors with a high risk tolerance and a long-term perspective.