Kvantifikace tržního rizika ve vybraném podniku aplikací metodologie CorporateMetrics

Abstract

The goal of this diploma thesis is to quantify the impact of market risk on the operating profit for 2020, using the CorporateMetrics methodology.The whole thesis is divided into methodological and application part and contains five main chapters. The first chapter is an introduction and contains a short presentation of the whole thesis. In the second chapter is a description of the CorporateMetrics methodology. There are described individual steps of the methodology used, including its principle and description of selected types of market risk. The content of the third chapter is charakteristic of the company Vítkovice, a.s., including the evaluation of its current financial situation and assumptions for the development of items in the profit and loss account for the year 2020. The fourth chapter describes the selected risk factors and estimates the stochastic model to predict their development for the year 2020. The development scenarios are then applied to selected financial categories and the result is the probability distribution of the operating result for the year 2020, including the determination of its basic charakteristic. The fifth chapter is a conclusion and therefore contains a summary of the whole work.