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Warehouse reengineering in specific wholesale company
Kučera, Ondřej ; Vinš, Marek (advisor) ; Mervart, Michal (referee)
This Thesis aims to conduct analysis and reengineering of work methodology and warehouse layout in specific wholesale company. Thesis is divided into phases. In first phase the suitability of existing warehouse is reviewed. There will be evaluated hypothesis that existing warehouse is dimensionally insufficient, with incorrect layout and insufficient intake and expedition area. In second stage, there are created possible variants of reengineering and those are regarding to the conditions of uncertainty analyzed with Monte Carlo method.
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Monte Carlo method and its usa in finance
Košina, Martin ; Hejdová, Martina (advisor) ; Stecenková, Marina (referee)
The aim of the thesis is the description of the Monte Carlo simulation method, which in recent decades are very popular in many scientific fields. Nowadays various statistical surveys, analysis and information processing are similar statistical methods very significant. The theoretical part of the paper firstly describes the general simulation models because of their solutions with similar methods such as Monte Carlo, are often used. The following are typical examples of the historical method, its description and usage. The practical part of the thesis deals with the management of risk in finance and the possible application of the Monte Carlo in determining the level of risk Value at Risk. This rate is modern and globally used tool in the management of market risk. The practical part is about the calculation of the extent of the price index PX , which is the official index of the Prague Stock Exchange.
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Evaluation of the investment project of the JETE completion
Kouklík, Michal ; Kislingerová, Eva (advisor) ; John, Aleš (referee)
The thesis deals with the project of the construction of the Temelin Nuclear Power Plant, as an optimal new production source of electrical energy to ensure the majority of the coverage of the growing electric consumption in the Czech Republic and to ensure the state energy independence in the future. The main part of the thesis is dedicated to the methods of strategic investments evaluation. Emphasis is placed on the dynamic methods, which are also working with the factors of time and risk, which are relevant in this case, because the project time horizon is 70 years. The investment project is evaluated from the perspective of owners, as well as from the overall perspective of owners and creditors. The Monte-Carlo method was implemented into the model to support the decision-making process and to move closer to reality. The method assigns the relevant distribution division to the model input values. The output is the set of available values, and the probability of their occurrence. The main thesis objective lies in the decision of the decision maker with a neutral attitude to risk, whether accept the investment or not.
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Comparison of current accounts by methods of the operational research
Kánová, Eliška ; Kuncová, Martina (advisor) ; Sekničková, Jana (referee)
The aim of this diploma thesis is a selection of the best current account. This thesis describes how the bank system functions in the Czech Republic. The characteristics of the banking institutions which provide current accounts and the characteristics of the compared current accounts are presented in this thesis. The Monte Carlo method and the methods multi-criteria assessment of variants are described theoretically. The selection is based on the methods of the operational research. The first part of the practical chapter focuses on the Monte Carlo method which selects the best account by charges for different types of clients. The methods of multi-criteria assessment of variants, specifically methods TOPSIS and PROMETHEE, are also applied. The calculations are carried out by add-in SANNA for MS Excel. In conclusion, both approaches to solution are compared and the current account according to the preferences of each client type is recommended.
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The Simulation Model of the Development of Pension Insurance
Zárubová, Radka ; Dlouhý, Martin (advisor) ; Kuncová, Martina (referee)
First, this thesis introduces the system of pension insurance with state contribution including its proposed amendment made in 2009. Its aim is to forecast and to analyse expected development in pension insurance with state contribution. The main part of the thesis is focused on the simulation model of this insurance product. Within this model, annual interest on contributions is randomly generated and the amount of money a client of a hypothetical pension fund would receive is calculated. To facilitate this simulation, I programmed and attached (as a part of the thesis) an application in VBA language which enables to run this simulation in the preset number of replications. The thesis gives four examples of simulation experiments -- a simulation of pension insurance, and a simulation of pension saving, both versions both with and without contributions made by client's employer. The comparison of the expected efficiency of the both systems from the point of view of the government and a client is drawn at the end of the thesis.
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Application of Monte Carlo method on DEA models with interval characteristics
Ficl, Vít ; Jablonský, Josef (advisor) ; Charvát, Karel (referee)
To determine the efficiency of homogeneous decision-making units, DEA models were developed. By these models, the efficiency is assessed based on the given data obtained from past observations. To determine the efficiency in the forthcoming period, it is necessary to work with stochastic data. In this case, it is appropriate to specify optimistic and pessimistic estimates for data to build an interval in which the data could occur. Models with imprecise characteristics could either be solved in optimization way by IDEA models, or by Monte Carlo simulation. Within the simulation, the median and also the probability of reaching the efficient frontier may be determined. For the purpose of applying the Monte Carlo method for DEA models with interval data, a special computer application was created, which was also used to solve a sample example.
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Solving optimization problems using Monte Carlo method
Švehla, Pavel ; Jablonský, Josef (advisor) ; Dlouhý, Martin (referee)
The goal of the text is to communicate basic principles of Monte Carlo method and its application in solving linear programming problems with uncertain parameters. Monte Carlo method is widely used in various areas of science. However, the document focuses mainly on usage in economic applications. Nature of the second part is purely practical. It clearly describes finding solution of stochastic model using Crystal Ball software and its embedded solver -- OptQuest. Ambition of this work is also to be a brief Czech version of Crystal Ball user guide.
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Methods of the calculation of Value at Risk for the market and credit risks
Štolc, Zdeněk ; Witzany, Jiří (advisor) ; Paholok, Igor (referee)
This thesis is focused on a theoretical explication of the basic methods of the calculation Value at Risk for the market and credit risk. For the market risk there is in detail developed the variance -- covariance method, historical simulation and Monte Carlo simulation, above all for the nonlinear portfolio. For all methods the assumptions of their applications are highlighted and the comparation of these methods is made too. For the credit risk there is made a theoretical description of CreditMetrics, CreditRisk+ and KMV models. Analytical part is concerned in the quantification of Value at Risk on two portfolios, namely nonlinear currency portfolio, which particular assumptions of the variance -- covariance method a Monte Carlo simulation are tested on. Then by these methods the calculation of Value at Risk is realized. The calculation of Credit Value at Risk is made on the portfolio of the US corporate bonds by the help of CreditMetrics model.
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