National Repository of Grey Literature 199 records found  beginprevious129 - 138nextend  jump to record: Search took 0.00 seconds. 
Portfólio Value at Risk a Expected Shortfall s použitím vysoko frekvenčních dat
Zváč, Marek ; Fičura, Milan (advisor) ; Janda, Karel (referee)
The main objective of this thesis is to investigate whether multivariate models using Highfrequency data provide significantly more accurate forecasts of Value at Risk and Expected Shortfall than multivariate models using only daily data. Our objective is very topical since the Basel Committee announced in 2013 that is going to change the risk measure used for calculation of capital requirement from Value at Risk to Expected Shortfall. The further improvement of accuracy of both risk measures can be also achieved by incorporation of high-frequency data that are rapidly more available due to significant technological progress. Therefore, we employed parsimonious Heterogeneous Autoregression and its asymmetric version that uses high-frequency data for the modeling of realized covariance matrix. The benchmark models are chosen well established DCC-GARCH and EWMA. The computation of Value at Risk (VaR) and Expected Shortfall (ES) is done through parametric, semi-parametric and Monte Carlo simulations. The loss distributions are represented by multivariate Gaussian, Student t, multivariate distributions simulated by Copula functions and multivariate filtered historical simulations. There are used univariate loss distributions: Generalized Pareto Distribution from EVT, empirical and standard parametric distributions. The main finding is that Heterogeneous Autoregression model using high-frequency data delivered superior or at least the same accuracy of forecasts of VaR to benchmark models based on daily data. Finally, the backtesting of ES remains still very challenging and applied Test I. and II. did not provide credible validation of the forecasts.
Biopaliva v Ruské federaci, Ukrajině a Bělorusku: současný stav a výhled do budoucnosti
Stankus, Elena ; Janda, Karel (advisor) ; Mazáček, David (referee)
The purpose of diploma thesis is to provide an overview of biofuels market in Russian Federation, Belarus and Ukraine and estimate prospects of future development. First chapter characterizes biofuels in regard of the feedstock and further utilization. Next part of the thesis describes development of biofuel industry in the key selected countries and analyses current trends on the global market. Next three sections review Russian, Ukrainian and Belarusian sectors of biofuels including feedstock potential, supportive policies, strategies, international collaboration and issues in biofuel production, distribution and consumption in each country. Last section of the thesis investigates potential from exported raw materials and its contribution to achievement of established targets with the following outlook for the future development.
Option pricing under stochastic volatility
Khmelevskiy, Vadim ; Fičura, Milan (advisor) ; Janda, Karel (referee)
This master's thesis focuses on the problem area of option pricing under stochastic volatility. The theoretical part includes terms that are essential for understanding the problem area of option pricing and explains particular models for both option pricing under stochastic volatility and those under constant volatility. The application of described models is performed in the practical part of the thesis. After that particular models are compared to the real data.
Development of oil and the impact on modern society
Khlyustova, Anastasia ; Cibulka, Jakub (advisor) ; Janda, Karel (referee)
The aim of this thesis entitled Development of oil and the impact on modern society is to analyze the evolution of oil prices, to describe the factors affecting it, identify strengths and weaknesses, and try to dismantle existing models of prediction. The important part is the valuation of the forecasts. Selected problem is solved using data and models provided by large institutions such as the IMF, World Bank, etc. Final summary was devoted to compare and analyze those models which are considered to be the most reliable. There were also included ideas of the author regarding the future development of prices. Also, it has been argued, if after all it is still possible to predict future price trends, either based on futures markets, the available media information or econometric models.
The problems of financing start-up companies in the Czech Republic
Oravcová, Zuzana ; Teplý, Petr (advisor) ; Janda, Karel (referee)
The bachelor thesis Problems of Start-up Funding in the Czech Republic analyses possibilities which are provided in the area of the Czech Republic and hints the manual of funding sources regarding the stage of a company or an individual. The next chapter is focused on the hypothesis of the surplus of liquidity in a financial sector and the increasing trend of investments into the start-ups accompanied with a higher risk rate. Last but not least, the thesis depicts the cooperation of banking institutions with the European Union or specialists in a branch such as venture capital companies and startup incubators.
Depositary Services
Helcl, Tomáš ; Janda, Karel (advisor) ; Veselá, Jitka (referee)
The thesis deals with the functioning of depositories in the enviroment of the Czech market from the perspective of legislative and practical. The introduction is devoted to directives that make up a harmonized legal framework and the Czech legislativ, which specifically prescribes behaving of depositories. The main part is devoted to the depositary functions, such as operating in the Czech market conditions. This part of work is focused not only on the distribution of the depositary market, but also on the collected amount of the fees, the efficiency of regulation in the real market enviroment and in the importace of depositories in the Czech market. The final section is devoted to the findings, including the final assessment of the depositaries. As a first of its kind, this thesis gives a comprehensive view of activity of depositories and their importace for the Czech market, as the depositaries represent entities that control whether funds act in accordance with the legislation. Depository oversees as to prevent fraud and to qualified investors or collective investment contributed to the further development of the capital market, which is necessary for the further development of all economic sectors.
Communication driver and simulater for Mettler Toledo weight in STEP7
Přichystal, Vít ; Janda, Karel (referee) ; Pásek, Jan (advisor)
In the beginning of the thesis I mention a list of PLC programming languages. The thesis itself deals with a problem of implementing a driver for Mettler Toledo weight terminal,concretely the type IND560. Moreover, the simulator of this terminal is created (the terminal itself was not available). For the implementation, the language scl was used, together with the Siemens company software. At the end of the thesis, I created a visualization of the project.
Control system for a briquetting press
Nekula, Vít ; Janda, Karel (referee) ; Pásek, Jan (advisor)
The bachelor thesis deals with a creating of control system for a briquetting press for biomass. The operation process is mediated by the programmable logic controller Siemens S7-300. The operation process provides pressing and monitoring of error conditions. The control process is solved by both the control panel and the visualization on the PC where the servis can efectively watch and control the course of pressing. The next part of this bachelor thesis deals with a proposal of the actuators and sensors needed for the process of pressing itself. The last part of this thesis is the price appreciation of all elements of the automation.
Realisation and commissioning of the control system for flow control in a hydraulic model
Adamec, David ; Janda, Karel (referee) ; Pásek, Jan (advisor)
The dominant theme of this bachelor´s thesis is launching of control system of laboratory model of hydraulic circuit with fulfilment follow-up flow control. The first part is devoted to basics of theory of proceedings with follow-up describtion of components of hydraulic model. Next parts are devoted to identification, suggestion of PID regulator with programme realization for PLC, describtion and configuration of actuating device. The last part is engaged in visualization and possible configuration of PID regulator by means of operator panel.
Acyclic Profinet Communication between Sinamics Converters and Simatic S7-1200 PLCs
Dostál, Jiří ; Janda, Karel (referee) ; Pásek, Jan (advisor)
This paper deals with acyclic communication of Siemens Simatic S7-1200 PLCs and Sinamics drives on the Profinet industrial bus. Various possibilites of communication of the devices in accordance to the PROFIdrive profile is presented. General Proxy FBs for acyclic read/write of the drive's parameters are implemented. Together with other two FBs, that make use of acyclic communication to read the drive's fault buffer and to adjust an absolute encoder, an application with visualization for a simple positioning and for a demonstration of the Proxy FBs functionality is presented using a demo box.

National Repository of Grey Literature : 199 records found   beginprevious129 - 138nextend  jump to record:
See also: similar author names
14 JANDA, Karel
2 JANDA, Kryštof
1 Janda, K.
3 Janda, Kamil
1 Janda, Kristián
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