Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia

Detalhes bibliográficos
Autor(a) principal: Pinto, Gabriel
Data de Publicação: 2022
Tipo de documento: Trabalho de conclusão de curso
Idioma: por
Título da fonte: Repositório Institucional da UNESP
Texto Completo: http://hdl.handle.net/11449/234554
Resumo: Valuation is the process of calculating the value of an asset, being applied in determining the value of stocks, portfolio management, merger and acquisition process, etc. In this paper, the Discounted Cash Flow (DCF) method was employed, which calculates the intrinsic value of an asset, based on assumptions related to cash flow projections. In order to capture the uncertainties related to these assumptions, the Monte Carlo Simulation (MCS) was incorporated into the model, being performed a comparative analysis between the results obtained in the DCF model and the results of the model that incorporates the MCS in the DCF. For the adoption of premises, a study was held about the electric sector and the evaluated company, Engie Brasil Energia, the largest private electric power generator company in Brazil in 2022. Excel and the VBA programming language were used in the modeling, and the data were obtained from the Engie Brasil Energia website. With the DCF, a valuation of 44.17 BRL per share was calculated, and by incorporating MCS into the DCF, a probability distribution of the value per share was obtained with an average value of 43.78 BRL. It was concluded that by applying the MCS to the DCF, a more comprehensive view of the company's value is achieved by considering the impact of the uncertainties of the assumptions
id UNSP_8584d6a3523a0ea98378ff610a297e4c
oai_identifier_str oai:repositorio.unesp.br:11449/234554
network_acronym_str UNSP
network_name_str Repositório Institucional da UNESP
repository_id_str 2946
spelling Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil EnergiaApplication of Monte Carlo simulation in the valuation of the Engie Brasil Energia companyDiscounted Cash FlowMonte Carlo SimulationValuationFluxo de caixa descontadoSimulação de Monte CarloMonte Carlo, Método deFluxo de caixaAções (Finanças)Valuation is the process of calculating the value of an asset, being applied in determining the value of stocks, portfolio management, merger and acquisition process, etc. In this paper, the Discounted Cash Flow (DCF) method was employed, which calculates the intrinsic value of an asset, based on assumptions related to cash flow projections. In order to capture the uncertainties related to these assumptions, the Monte Carlo Simulation (MCS) was incorporated into the model, being performed a comparative analysis between the results obtained in the DCF model and the results of the model that incorporates the MCS in the DCF. For the adoption of premises, a study was held about the electric sector and the evaluated company, Engie Brasil Energia, the largest private electric power generator company in Brazil in 2022. Excel and the VBA programming language were used in the modeling, and the data were obtained from the Engie Brasil Energia website. With the DCF, a valuation of 44.17 BRL per share was calculated, and by incorporating MCS into the DCF, a probability distribution of the value per share was obtained with an average value of 43.78 BRL. It was concluded that by applying the MCS to the DCF, a more comprehensive view of the company's value is achieved by considering the impact of the uncertainties of the assumptionsO valuation é o processo de calcular o valor de um ativo, sendo aplicado na determinação do valor de ações, gestão de portfólio, processo de fusão e aquisição, etc. Neste trabalho utilizou-se o método do Fluxo de Caixa Descontado (FCD) que calcula o valor intrínseco de um ativo baseando-se em premissas relativas às projeções de fluxos de caixa. Para capturar as incertezas relativas a estas premissas incorporou-se a Simulação de Monte Carlo (SMC) ao modelo, sendo realizada uma análise comparativa dos resultados obtidos no modelo FCD e dos resultados do modelo que incorpora a SMC ao FCD. Para a adoção de premissas realizou-se um estudo do setor elétrico e da empresa avaliada, Engie Brasil Energia, a maior geradora privada de energia elétrica no Brasil em 2022. Na modelagem utilizou-se o Excel e a linguagem de programação VBA, sendo os dados utilizados obtidos no site da Engie Brasil Energia. Com o FCD calculou-se um valuation de R$44,17 por ação e ao incorporar a SMC ao FCD obteve-se uma distribuição de probabilidade do valor por ação com valor médio de R$43,78. Concluiu-se que ao aplicar a SMC ao FCD obtém-se uma visão mais abrangente do valor da empresa ao considerar o impacto das incertezas das premissas.Não recebi financiamentoUniversidade Estadual Paulista (Unesp)Centurião, Lúcia Regina [UNESP]Nascimento, Marcelino Pereira do [UNESP]Universidade Estadual Paulista (Unesp)Pinto, Gabriel2022-05-04T18:13:22Z2022-05-04T18:13:22Z2022-03-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/bachelorThesisapplication/pdfhttp://hdl.handle.net/11449/234554porinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESP2024-12-11T15:42:17Zoai:repositorio.unesp.br:11449/234554Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestrepositoriounesp@unesp.bropendoar:29462024-12-11T15:42:17Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
Application of Monte Carlo simulation in the valuation of the Engie Brasil Energia company
title Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
spellingShingle Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
Pinto, Gabriel
Discounted Cash Flow
Monte Carlo Simulation
Valuation
Fluxo de caixa descontado
Simulação de Monte Carlo
Monte Carlo, Método de
Fluxo de caixa
Ações (Finanças)
title_short Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
title_full Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
title_fullStr Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
title_full_unstemmed Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
title_sort Aplicação da simulação de Monte Carlo no valuation da empresa Engie Brasil Energia
author Pinto, Gabriel
author_facet Pinto, Gabriel
author_role author
dc.contributor.none.fl_str_mv Centurião, Lúcia Regina [UNESP]
Nascimento, Marcelino Pereira do [UNESP]
Universidade Estadual Paulista (Unesp)
dc.contributor.author.fl_str_mv Pinto, Gabriel
dc.subject.por.fl_str_mv Discounted Cash Flow
Monte Carlo Simulation
Valuation
Fluxo de caixa descontado
Simulação de Monte Carlo
Monte Carlo, Método de
Fluxo de caixa
Ações (Finanças)
topic Discounted Cash Flow
Monte Carlo Simulation
Valuation
Fluxo de caixa descontado
Simulação de Monte Carlo
Monte Carlo, Método de
Fluxo de caixa
Ações (Finanças)
description Valuation is the process of calculating the value of an asset, being applied in determining the value of stocks, portfolio management, merger and acquisition process, etc. In this paper, the Discounted Cash Flow (DCF) method was employed, which calculates the intrinsic value of an asset, based on assumptions related to cash flow projections. In order to capture the uncertainties related to these assumptions, the Monte Carlo Simulation (MCS) was incorporated into the model, being performed a comparative analysis between the results obtained in the DCF model and the results of the model that incorporates the MCS in the DCF. For the adoption of premises, a study was held about the electric sector and the evaluated company, Engie Brasil Energia, the largest private electric power generator company in Brazil in 2022. Excel and the VBA programming language were used in the modeling, and the data were obtained from the Engie Brasil Energia website. With the DCF, a valuation of 44.17 BRL per share was calculated, and by incorporating MCS into the DCF, a probability distribution of the value per share was obtained with an average value of 43.78 BRL. It was concluded that by applying the MCS to the DCF, a more comprehensive view of the company's value is achieved by considering the impact of the uncertainties of the assumptions
publishDate 2022
dc.date.none.fl_str_mv 2022-05-04T18:13:22Z
2022-05-04T18:13:22Z
2022-03-10
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/bachelorThesis
format bachelorThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11449/234554
url http://hdl.handle.net/11449/234554
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Estadual Paulista (Unesp)
publisher.none.fl_str_mv Universidade Estadual Paulista (Unesp)
dc.source.none.fl_str_mv reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv repositoriounesp@unesp.br
_version_ 1834484759592435712

Registros relacionados