Predikce finanční výkonnosti elektrotechnického podniku

Abstract

The diploma thesis is focused on prediction of financial performance in a company, which is expressed as Economic Value Added. The aim is to check possibilities to predict Economic Value Added based on real data from electro-technical Company. Prediction is performed on twelve following months by Monte Carlo method. Theoretical part of the thesis describes performance of the company and traditional and modern methods of its evaluation. It also describes methods for predicting of financial variables by stochastic processes, Monte Carlo method, methods for determination of cost of capital, Cholesky algorithm and other methods used in prediction. Practical part is focused on EVA prediction for twelve following months. Future value of EVA is calculated based on a narrowed range of values. Vasicek model in arithmetical form is used for simulation of economical components EVA, i.e. profitability of own capital, assets return, financial leverage, cost of capital and own capital. Own capital is replaced by return of own capital because of its nonstationarity. Cost of own capital is set by modular method utilized by Ministry of Industry and Trade of the Czech Republic. The results show that company is not creating Added Value for the owners. It was also checked and verified that selected model can be used for EVA prediction and EVA characteristics calculation.