Aplikace metodologie CorporateMetrics ve vybraném podniku

Abstract

The goal of the diploma thesis is currency and commodity risk estimation by using CorporateMetrics methodology in a given company. Risk is determined at the level of operating profit using Earnings at Risk measure. Thesis is divided into five chapters. The second chapter includes the characterization of CorporateMetrics methodology. There are descriptions of some financial risks, financial modelling and statistical verification. Finally, there are mentioned the methods of calculation Value at Risk. The third chapter is focused on an introduction of the ArcelorMittal Ostrava a.s. and description of company risks. The chapter also includes an analysis of the net income in years 2012-2016. The financial plan is presented as well. The fourth chapter is focused on determine the effects of currency and commodity risk on operating profit chosen company. First, the risk factors that affect the company's results are characterized. For these risk factors stochastic model to predict future development is estimated. Subsequently, scenarios of possible development of risk factors in 2018 are generated, based on which the operating profit is predicted. At the end of the chapter, Earnings at Risk calculation is performed.