Kvantifikace tržního rizika na úrovni společnosti aplikací metodologie CorporateMetrics

Abstract

The objective of the master's thesis is to apply CorporateMetrics methodology for a risk estimation of operating profit and net operating cash flow before corporate income tax payment on the Uponor Infra Fintherm a.s. for the year 2018. Thesis is divided into several chapters. In the second chapter, used methodology is characterized. There are described its principle and benefits. Some market risks are described there as well as the process of measuring their impact on financial results using CorporateMetrics methodology. The third chapter is mainly focused on an introduction of the Uponor Infra Fintherm a.s. and the analysis of its financial situation in years 2011 to 2015. There are also given assumptions of an income statement values for year 2018. At the beginning of the fourth chapter, there are described two chosen market risks, which are the object of financial modeling. For these risk factors, stochastic model to forecast future development in 2018 is estimated. Subsequently, scenarios of possible future development are applied on the chosen financial categories. By doing so, their probability distribution functions for year 2018 are obtained. In the end, chosen characteristics of these distributions are commented.