Predikce ekonomické přidané hodnoty vybrané společnosti

Abstract

The aim of the thesis is verification of possibility of forecasting of the economic value added on real datas in energy company. Forecasting of indicator is performed for next eight quarters by using estimated stochastic processes of partial financial indicators by Monte Carlo method. Cost of capital is determined according to the CAPM model and modular model. For the forecasting of economic value added is used arithmetic Vasicek proces or arithmetic Vasicek process and geometric Schwartz process. The thesis is devided in addition to the introduction and conclusion into three parts. In the first part is characterised of the economic value added and shown the principle of calculating the cost of capital. In the second part are contained stochastic process, Cholesky algorithm and Monte Carlo method. In the last part is verified of possibility of forecasting of the economic value added and compared simulation.