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Rizikové přirážky v testu postačitelnosti rezerv životního pojištění
Sotona, Petr ; Senft, Tomáš (vedoucí práce) ; Mandl, Petr (oponent)
In the present thesis we study risk margins in the liability adequacy test for life insurance. First we look at the theory of risk margins and liability adequacy test. We discuss desirable characteristics of the risk margins and the methods used to their evaluation. We show risk margins from di erent aspects and views as well. In second part of the thesis we introduce the model of product for endowment and we describe contractual cash flows. We also construct generation mortality tables for use in described model. Afterwards we evaluate risk margin for mortality risk using stochastic modelling. Finally we compare calculated risk margin with value of the margin calculated by current approach recommended to calculation of LAT in the Czech Republic and analyse results.
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Predikce poptávky po oběživu v ekonomice z hlediska centrální banky
Senft, Tomáš
This diploma thesis deals with modeling and forecasting of the daily series of currency in circulation, which is one of the main autonomous factors influencing the liquidity of financial markets. Reasons for its modeling are explained and three constructed stochastic models are presented. There are ARIMA and GARCH models based on Box-Jenkins methodology and STS model. STS model is structured time series model using Kalman equations. Forecasts of models are combined together and statistically compared. The results show that the combination of STS and ARIMA models is the best model for forecasting of the daily series of currency in circulation and it has the same forecasting performance as the current model-judgement practice in the Czech National Bank. The model might be also applied at least as a supportive tool for the liquidity management.
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Rizikové přirážky v testu postačitelnosti rezerv životního pojištění
Sotona, Petr ; Senft, Tomáš (vedoucí práce)
In the present thesis we study risk margins in the liability adequacy test for life insurance. First we look at the theory of risk margins and liability adequacy test. We discuss desirable characteristics of the risk margins and the methods used to their evaluation. We show risk margins from di erent aspects and views as well. In second part of the thesis we introduce the model of product for endowment and we describe contractual cash flows. We also construct generation mortality tables for use in described model. Afterwards we evaluate risk margin for mortality risk using stochastic modelling. Finally we compare calculated risk margin with value of the margin calculated by current approach recommended to calculation of LAT in the Czech Republic and analyse results.
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Strategická analýza
Senft, Tomáš ; Krause, Josef (vedoucí práce) ; Mikan, Pavel (oponent)
Cílem této bakalářské práce je vypracování strategické analýzy společnosti Al-Namura s.r.o. Tento podnik se zabývá výrobou nealkoholických nápojů a velkoobchodem s nápoji. V První části jsou představeny teoretické pojmy a základní postupy při tvorbě strategické analýzy. V druhé části jsou tyto postupy aplikovány při tvorbě strategické analýzy vybrané společnosti. Díky těmto metodám zjišťujeme příležitosti a hrozby a silné a slabé stránky. Výsledky jednotlivých analýz jsou následně aplikovány do SWOT analýzy, na jejíž základě jsou vypracována strategická doporučení.
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Rizikové přirážky v testu postačitelnosti rezerv životního pojištění
Sotona, Petr ; Senft, Tomáš (vedoucí práce)
In the present thesis we study risk margins in the liability adequacy test for life insurance. First we look at the theory of risk margins and liability adequacy test. We discuss desirable characteristics of the risk margins and the methods used to their evaluation. We show risk margins from di erent aspects and views as well. In second part of the thesis we introduce the model of product for endowment and we describe contractual cash flows. We also construct generation mortality tables for use in described model. Afterwards we evaluate risk margin for mortality risk using stochastic modelling. Finally we compare calculated risk margin with value of the margin calculated by current approach recommended to calculation of LAT in the Czech Republic and analyse results.
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Predikce poptávky po oběživu v ekonomice z hlediska centrální banky
Senft, Tomáš
This diploma thesis deals with modeling and forecasting of the daily series of currency in circulation, which is one of the main autonomous factors influencing the liquidity of financial markets. Reasons for its modeling are explained and three constructed stochastic models are presented. There are ARIMA and GARCH models based on Box-Jenkins methodology and STS model. STS model is structured time series model using Kalman equations. Forecasts of models are combined together and statistically compared. The results show that the combination of STS and ARIMA models is the best model for forecasting of the daily series of currency in circulation and it has the same forecasting performance as the current model-judgement practice in the Czech National Bank. The model might be also applied at least as a supportive tool for the liquidity management.
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Rizikové přirážky v testu postačitelnosti rezerv životního pojištění
Sotona, Petr ; Mandl, Petr (oponent) ; Senft, Tomáš (vedoucí práce)
In the present thesis we study risk margins in the liability adequacy test for life insurance. First we look at the theory of risk margins and liability adequacy test. We discuss desirable characteristics of the risk margins and the methods used to their evaluation. We show risk margins from di erent aspects and views as well. In second part of the thesis we introduce the model of product for endowment and we describe contractual cash flows. We also construct generation mortality tables for use in described model. Afterwards we evaluate risk margin for mortality risk using stochastic modelling. Finally we compare calculated risk margin with value of the margin calculated by current approach recommended to calculation of LAT in the Czech Republic and analyse results.
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Predikce poptávky po oběživu v ekonomice z hlediska centrální banky
Senft, Tomáš ; Hurt, Jan (oponent) ; Koňák, Michal (vedoucí práce)
Tato diplomová práce se zabývá modelováním a predikcí objemu oběživa, která patří mezi hlavní autonomní veličiny ovlivňující likviditu trhu. v práci jsou objasněny potřeby jeho modelování a prezentovány tři zkonstruované stochastické modely. Jsou jimi ARIMA a GARCH model vycházející z Box-Jenkinsovy metodologie a STS model. STS model je strukturovaný model časové řady využívající Kalmanovy rekurze. Předpovědi jednotlivých modelů jsou dále kombinovány a statisticky porovnány. Výsledky ukazují, že nejvhodnějším modelem pro předpovídání objemu oběživa je kombinace STS a ARIMA modelu, který dosáhl stejné kvality předpovědí jako expertní doad používaný v ČNB. Lzde jej tedy použít přinejmenším jako podpůrný prostředek pro řízení likvidity v ČNB.
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