Net profit at risk of the grain milling company

Marek Latus

Abstract

Dissertation addresses the problem of net profit at risk estimation in grain milling company, using the VaR (Value at Risk) measure, computed by Monte Carlo simulation. This paper presents the construction of simulation model, taking into account the major measurable risk factors occurring in the milling industry. Simulation model allows to estimate the net profit at risk, thanks to the implementation of the risk factors in the form of probability distributions. An estimation of net profit, using Monte Carlo simulation, allows to present the results of the analysis in terms of probability, in the form of the probability distribution of the examined value, which allows for quantification of risk and facilitates the process of optimization of the operational decisions in the enterprise. The results of the Monte Carlo simulation analyses allow to formulate the affirmation that the estimation of net profit of the milling companies is loaded with a large risk, caused by many factors, but to the greatest extent by volatility of the grain market price. The combination of simulation analysis and optimization, as well as the ability to model the variability of selected risk factors, gives milling companies effective tool for proactive risk management in running a grain processing business
Diploma typeDoctor of Philosophy
Author Marek Latus
Marek Latus,,
-
Title in EnglishNet profit at risk of the grain milling company
Languagepl polski
Certifying UnitFaculty of Management, Information Systems and Finance (MISaF)
Disciplinenauki o zarządzaniu / nauki ekonomiczne(nauki ekonomiczne) / nauki społeczne()
Defense Date19-11-2015
End date10-12-2015
Supervisor Adam Kopiński (MISaF / IZF / KFPiZW)
Adam Kopiński,,
- Katedra Finansów Przedsiębiorstwa i Zarządzania Wartością

Internal reviewers Katarzyna Kuziak (MISaF / IZF / KIFiZR)
Katarzyna Kuziak,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem
External reviewers Justyna Franc-Dąbrowska
Justyna Franc-Dąbrowska,,
-
Pages245
Keywords in EnglishValue at risk, VaR measures, Monte Carlo simulation, risk
Abstract in EnglishDissertation addresses the problem of net profit at risk estimation in grain milling company, using the VaR (Value at Risk) measure, computed by Monte Carlo simulation. This paper presents the construction of simulation model, taking into account the major measurable risk factors occurring in the milling industry. Simulation model allows to estimate the net profit at risk, thanks to the implementation of the risk factors in the form of probability distributions. An estimation of net profit, using Monte Carlo simulation, allows to present the results of the analysis in terms of probability, in the form of the probability distribution of the examined value, which allows for quantification of risk and facilitates the process of optimization of the operational decisions in the enterprise. The results of the Monte Carlo simulation analyses allow to formulate the affirmation that the estimation of net profit of the milling companies is loaded with a large risk, caused by many factors, but to the greatest extent by volatility of the grain market price. The combination of simulation analysis and optimization, as well as the ability to model the variability of selected risk factors, gives milling companies effective tool for proactive risk management in running a grain processing business
KBN classificationekonomia
Thesis file
Latus_M_Pomiar_Zagrozonego_Zysku_Netto_Przedsiebiorstwa_Mlynaskiego.pdf 9,25 MB

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