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Modern Approach To Financial Time Series Analysis
Hybler, Eduard ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
This thesis is devoted to the multivariate canonical ARMA model and then continues with determination of a graphical model. Graphical model includes also relations between contemporaneous variables, not only dependence on past variables. In the practical part of this work canonical AR model is identi ed using software Mathematica. In this model we specify structural autoregresion according to the graphical models methodology. A time series of exchange rates was processed. It is together with program included on the enclosed CD.
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Credit Risk
Babiaková, Monika ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
The main topic of this diploma thesis is the credit risk (default risk) modeling from the portfolio view. The work is introduced by a brief description of credit risk measures and a review of models. The largest part of this thesis is focused on a description of factor models, such as simulation-based KMV and CreditMetrics resulting from Merton's model of a firm and analytical CreditRisk+ utilizing actuarial mathematics procedures. The alternative models based on a conditional independence and importance sampling are also described. The second part of the work contains a description of Mathematica programmes resulting from the models. These programmes are consequently used to analyze a credit risk of a sample coupon obligations portfolio. To make the results comparable the emphasis is placed on calibration of a particular models. The thesis is concluded by comparison of these models in terms of their usability.
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Miroslav Venhoda, New singers of madrigals, Prague madrigalists and new compositions written for these ensembles
Zichová, Jitka ; Douša, Eduard (referee) ; Slavický, Milan (advisor)
Do sveho zkoumani jsem zahrnula skupinu skladeb, ktere vyrazneji ovlivnily repertoar soubom Novi pevei madrigalu a komorni hudby a posleze Prazsti madrigaliste. Tuto skupinu tvofi mnou vytvoreny vyber deseti skladeb, ktere svym vznikem pokryvaji obdobi od roku 1957 az roku 1979, tedy obdobi, kdy se soubor zmenil z komorniho poloprofesionalniho sboru s poctem kolem trieeti zpevaku na komorni soubor asi deseticlenne skupiny zpevaku a nekolika instrumentalistu. Vyber skladeb byl krome vyznamne roli v repertoaru soubom dan do jiste miry i dostupnosti notoveho materialu. Celou tuto velmi mznorodou skupinu otevira Starodcivne carovcini milemu od Petra Ebena z roku 1957. Tato kantata pro tri zenska sola a smiSeny sbor patri k autorovym ranym skladbam, ve kteryeh byl inspirovan renesancnimi teehnikami a truverskou pisnL Take volbou textu se vraei do historie, zhudebiiuje zde stary valassky lidovy text 0 milostnem zaklinani. Skladba je podle textu formalne clenena a objevuji se zde stare skladebne teehniky, jako kvintove organum na zacatku skladby nebo kadenee uzivane v hudbe 16. stoleti v solovyeh partiich. Casti solove a sborove jsou rozdeleny i podle obsahu textu. DalSim dilem v poradi podle doby vzniku jsou Madrigaly 0 case PavIa Borkovee z roku 1958. Jde 0 cyklus smisenyeh ctyrhlasyeh a capella sbom na slova...
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Possibilities of Using Statistical Methods in Insurance
Paugschová, Melinda ; Zichová, Jitka (referee) ; Hanusek, Lubomír (advisor)
Nazev prace: Moznosti vyu/iti statistickyeh metod v pojisYovnictvi Autor: Melinda Pnugschova Katedra: Katedra pravdepodobnosli a matematickestatistiky Vedouci diplomove pracc: Ing. Lubomir Ilanusek e-mail vedouciho: Lubomir.Hanusek@adastracorp.com Abstrakt: Tato diplomova prace se zabyva vybranymi stalistickymi mctodami vyuzivanymi v pojist'ovnictvi. Vyznamna cast pracc popisuje zaklady linearni regrcse, logistickc rcgrcse, diskriminacni analyzy, kontingenenich tabulek a klasifikaenich stromu. Ve zbytku prace se venujeme pouziti techto mctod v oblasti stanovovani pojistnych sazeb, marketingu a pojist- nych podvodu. V kapitole Pojistne sazby nastinujeme mo/nost jcjich stanoveni pouzitim kombinace modclfi linearni a logistickc rcgresc. Kapitola Marketing se zamehije na cilcni marketingovych kampani s vyuzitim diskriminacni analyzy, kontingencnich tabulek a klasi- fikacnfch stromu. V poslcdni kapitole pracc sc snazime upo/ornit na problem pojistnych podvodu v soLicasnosli a na dulezitost vytvafeni rnodelu pou/.ivanych k jejich dctekci. A- plikace mctod ilustrujcme na realnych a modelovych datech. K vypoctum pouzivame stati- sticky software R, v kapitole o marketingu software SPSS. KliCova slova: klasifikacni slromy, pojistnc sazby, cileny marketing, pojistny podvod Title: The options of using statistical...
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