Balance sheet simulation
Stochastic Balance Simulation
We know that forecasts based on average values are on average wrong. In addition deterministic models will miss the important dimension of uncertainty – that gives both the different risks facing the company and the opportunities they produce.
2010 © | S@R | 0 comments | ContinuedThe Case of Enterprise Risk Management
Traditionally, when estimating costs, project value, equity value or budgeting, one number is generated – a single point estimate.
2010 © | S@R | 0 comments | ContinuedA short presentation of S@R
Most companies have some sort of model describing the company’s operations – but…
2010 © | S@R | 1 comment | ContinuedWACC, Uncertainty and Infrastructure Regulation
Calculating Wacc for a company for a number of years into the future is not a trivial task. Wacc is no longer a single value, but a time series with values varying from year to year.
2010 © | S@R | 0 comments | Continued
The Probability of Bankruptcy
A good metric should have a low probability of rejecting a true hypothesis of bankruptcy (false positive) and a high probability of rejecting a false hypothesis of bankruptcy (false negative).
2009 © | S@R | 0 comments | Continued
Predicting Bankruptcy
The Z-score is not intended to predict when a firm will file a formal declaration of bankruptcy in a district court. It is instead a measure of how closely a firm resembles other firms that have filed for bankruptcy.
2009 © | S@R | 0 comments | Continued
The Risk of Bankruptcy
There are several models in use for predicting bankruptcy and we have in our balance simulation model implemented two; Altman’s Z-score model and the risk index Z developed by Hannan and Hanweck.
2009 © | S@R | 0 comments | Continued
The weighted average cost of capital
The weighted cost of capital (WACC) and the return on invested capital (ROIC) are the most important elements in company valuation, and the basis for most strategy and performance evaluation methods.
2008 © | S@R | 2 comments | Continued
