Kvantifikace rizika ve strojírenském podniku metodologií CorporateMetrics

Abstract

The diploma thesis deals with risk estimation using CorporateMetrics in an engineering company. The aim of the thesis is currency and commodity risk estimation using CorporateMetrics in a specific company. The maximumu shortfall of cash flows for a specified period was determine, using Cash Flow at Risk index. The historical simulation and the Cornish-Fisher aproximation were used to estimate the risk of cash flows. The calculation of the Expected Tail Loss is also the part of the thesis. The thesis is divided into five chapters, the first chapter is introductory. The second chapter focuses on the characterization of CorporateMetrics methodology. Furthermore, different types of risks, methods of calculation Value at Risk are provided and the volatility modelling is explaind at the end of chapter. The third chapter describes the company and company risks, which have an impact on the company economy. The fourth chapter includes the calculations of Cash Flow at Risk, Expected Tail Loss and determine the effects of currency and commodity risk on cash flows. The evaluation of the results obtained is carried out at the end of theses.