Odhad pravděpodobnosti defaultu podniku ve zpracovatelském průmyslu na základě vybraných modelů

Abstract

The aim of the work is to estimate the probability of default of the company from the manufacturing industry according to selected models. The probability estimation method is inspired by Merton model. However, since the company is not publicly traded, the market value of assets is not compared with the value of debt, but the value of the company is obtained by applying the DCF-Entity income method, while the financial plan is simulated on the basis of Monte Carlo simulation and is performed in three variants. In estimating the probability, account is also taken of whether equity falls into negative territory in any year of the financial plan. The work is divided into five parts. The introduction is followed by a chapter aimed at describing the methodology for estimating the probability of default. In the third part, basic information about the company is presented and a strategic and financial analysis is performed. In the fourth section, the assumptions for the simulation of the financial plan are established, the results of this simulation are recorded, and then the values of the firm are determined and the resulting default probabilities are estimated. Furthermore, bankruptcy models are applied in this section and a sensitivity analysis is also performed to examine the effect of personnel costs on the probability of default. An evaluation of the results is written at the end of the fourth chapter. The thesis is then concluded with a conclusion. The resulting probabilities of default are relatively high in all three simulation variants, which is mainly due to high planned power consumption and high indebtedness of the firm; in the most pessimistic simulation variant, low return on invested capital is also one of the main reasons for the high probability of default.