Simulace Monte Carlo v analýze rizika investičního projektu

The master's thesis deals with the risk analysis of an investment in a 100% stake in Ernst Leopold s.r.o., a company operating in the foundry industry. The theoretical and methodological part of the paper discusses the issue of risk and defines and compares conventional approaches to investment evaluation. Following the conclusions of the theory, it further highlights the benefits of simulation methods, which help to avoid underestimation of risk and provide a more complete picture of the risk profile of an investment plan. The application section begins with an introduction of the chosen company and a strategic analysis that provides the basis for the development of not only a deterministic but also a stochastic financial plan. The subsequent valuation of the company is determined by the DCF method in the equity variant. Cumulative operating EBITDA and equity value are selected as target criteria for the simulation, and a list of key risk factors is obtained by disaggregating them. Deterministic estimates of these plan parameters are replaced by interval estimates, their statistical dependence is modelled, and the simulation is carried out using Crystal Ball software. Based on its conclusions and the estimated high variability of the target criterion, a transaction price interval is proposed, and an earn-out agreement is recommended for the purpose of spreading the risk between buyer and seller.