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Očekávané riziko úvěrového portfolia
Selementová, Martina ; Keprta, Stanislav (vedoucí práce) ; Herman, Jiří (oponent)
The rst part of the present work focuses on expected risk of loan portfolio in sense of capital adequacy within IRB approach with accent on input parameters PD, LGD, E and M. We deal with determining of speci c provision to incurred credit loss in compliance with IAS 39 and regarding the analysis of both approaches we show, that in recent conditions speci c provision does not correspond with expected loss as required by Basel II. Next we introduce the internal models for estimating PD, LGD and CF, which are inputs to the calculation of expected loss and partly speci c provision. We discuss the expected loss as a factor determining the nal value of a loan and we show a calculation of risk premium based on the time to default. Last we compare current method for calculation of capital requirement with method based on conditional loss given default.
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Stochastické modely pro genetickou analýzu
Selementová, Martina ; Kulich, Michal (vedoucí práce) ; Zichová, Jitka (oponent)
Nazev prace: Slochasticke niodcly pro geneliekou analyzu Autor: MartinaSelementova Katedra: Katedra pravdepodobnosti a matematicke statistiky Vedouci bakalafske prace: Mgr. Michal Kulich, PhD, e-mail vedouciho: kuliclX^karlin.mff.cuni.cz Abstrakt: V pfedlozene praci studujerne elementarni stochasticke melody pro modelovani genetickych populaci. Nejprve uvadime zakladni pojmy obecne gcnetiky pro snadnejsi oricntaci v textu. V naslcdujicich kapitolach se zabyvame dynamikou vyvoje populace a zakladnimi problemy vyberu v populaci. lllavnim tcmatem je nahodne kfizeni v populaci, ktcre dale aplikujeme na pohlavne va/ane geny, letraploidy. autosterilizacni geny a na pfi'pad dvou lokusu. Ve druhe casti se xabyvame problemy vybcru: zamC'fili jsme se pf-edevsim na vyber xalozeny na gcnolypu aplikovany na pohlavi a pohlavne vazane geny a dale na lamiliarni vyber a konkretnf pn'klad Rh faktoru. Klicova slova: nahodne kfizeni, vyber Title: Stochastic Models for Genetic Analysis Author: Martina Selementova Department: Department oi'Probability and Mathematical Statistics Supervisor: Mgr. Michal Kulich, PhD. Supervisor's e-mail adress: kulich(«)karlin.mff.cuni.cz Abstract: In the presented work we study elementary stochastic methods for modeling genetic populations. First we show some basic notion of general genetics for...
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Očekávané riziko úvěrového portfolia
Selementová, Martina ; Herman, Jiří (oponent) ; Keprta, Stanislav (vedoucí práce)
The rst part of the present work focuses on expected risk of loan portfolio in sense of capital adequacy within IRB approach with accent on input parameters PD, LGD, E and M. We deal with determining of speci c provision to incurred credit loss in compliance with IAS 39 and regarding the analysis of both approaches we show, that in recent conditions speci c provision does not correspond with expected loss as required by Basel II. Next we introduce the internal models for estimating PD, LGD and CF, which are inputs to the calculation of expected loss and partly speci c provision. We discuss the expected loss as a factor determining the nal value of a loan and we show a calculation of risk premium based on the time to default. Last we compare current method for calculation of capital requirement with method based on conditional loss given default.
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Stochastické modely pro genetickou analýzu
Selementová, Martina ; Zichová, Jitka (oponent) ; Kulich, Michal (vedoucí práce)
Nazev prace: Slochasticke niodcly pro geneliekou analyzu Autor: MartinaSelementova Katedra: Katedra pravdepodobnosti a matematicke statistiky Vedouci bakalafske prace: Mgr. Michal Kulich, PhD, e-mail vedouciho: kuliclX^karlin.mff.cuni.cz Abstrakt: V pfedlozene praci studujerne elementarni stochasticke melody pro modelovani genetickych populaci. Nejprve uvadime zakladni pojmy obecne gcnetiky pro snadnejsi oricntaci v textu. V naslcdujicich kapitolach se zabyvame dynamikou vyvoje populace a zakladnimi problemy vyberu v populaci. lllavnim tcmatem je nahodne kfizeni v populaci, ktcre dale aplikujeme na pohlavne va/ane geny, letraploidy. autosterilizacni geny a na pfi'pad dvou lokusu. Ve druhe casti se xabyvame problemy vybcru: zamC'fili jsme se pf-edevsim na vyber xalozeny na gcnolypu aplikovany na pohlavi a pohlavne vazane geny a dale na lamiliarni vyber a konkretnf pn'klad Rh faktoru. Klicova slova: nahodne kfizeni, vyber Title: Stochastic Models for Genetic Analysis Author: Martina Selementova Department: Department oi'Probability and Mathematical Statistics Supervisor: Mgr. Michal Kulich, PhD. Supervisor's e-mail adress: kulich(«)karlin.mff.cuni.cz Abstract: In the presented work we study elementary stochastic methods for modeling genetic populations. First we show some basic notion of general genetics for...
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