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Simulation methods and risk management
Šemnická, Eliška ; Kuncová, Martina (advisor) ; Borovička, Adam (referee)
Project management is a field in which risk management can be applied. There must be a business case for any project to recognize its benefits for the company. A business case generally uses point estimation of input parameters and evaluates financial criteria for individual variants such as the net present value, pay-back period or internal rate of return. A simulation enables to design a model for the business case analysis while making use of the probability distribution. The model then turns from a deterministic into a stochastic one. The Monte Carlo simulation method, calculating a large number of variants, is employed in projects. The simulation can identify major risk factors, assess their probability and the significance of the impact on the evaluated financial criterion. The analysis outputs suggested by the simulation are the fundamentals of proper risk management. The Crystal Ball simulation software was employed for the calculation in this thesis.
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Risk Analysis using Crystal Ball
Krátká, Kateřina ; Jablonský, Josef (advisor) ; Kuncová, Martina (referee)
The thesis is focused on risk and uncertainty in decision theory. It introduces principles of choosing the best alternative in case of uncertainty and risk, as well as different ways how to quantify and manage the risk, therefore the risk management. The thesis also discusses simulation, definition of random numbers and generating of these numbers. Monte Carlo method is widely used in this area. One of the applications based on Monte Carlo method is Crystal Ball; detailed description of this application is also mentioned. At the close, an example of the capital project valuation is provided as the demonstration of Crystal Ball application.
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The Depandance of Development of Shares on Technical Analysis Indicators
Baše, Tomáš ; Kuncová, Martina (advisor) ; Borovička, Adam (referee)
The aim of the Thesis is to determine the influence of technical analysis to the profitability of shares by O2 Telefónica, Komerční banka and ČEZ whan applied to a predeterminated trading model and judge the validity of Efective Markets Theory. It will be also followed up the influence of trading signals of technical indicators on the shape and characteristics of conditional distribution set by those signals. The Crystal Ball was used as the main software tool. This software dispose of all tools necesarry for the analysis. There is also desribed the theoretical background of areas like shares, technical analysis, random quantity distribution, generating of random numbers and other related areas in the Thesis, so the reader who does not understand the problemacy could understand the best.
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Analýza rizik projektu
Hrnčíř, Kamil ; Hnilica, Jiří (advisor) ; Chvojka, Jiří (referee)
Cílem diplomové práce bylo: - spočítat tzv. Earnings-at-Risk projektu realizovaného firmou Chemoprojekt v různých jeho fázích pomocí programu Crystal Ball, - stanovit, jaká rizika ovlivňují nejvíce úspěšnost projektu, - z hlediska kurzového rizika posoudit možnosti jeho zajištění. Ve dvou různých fázích projektu (v době podpisu kontraktu a 11 měsíců po něm) vyšlo statistickou analýzou historických dat přibližně stejné EaR, cca 720 tis. eur. V souvislosti s vývojem projektu došlo i ke změně v pořadí významnosti rizikových faktorů. Pro zajištění proti kurzovým rizikům by měla firma využít následujících produktů: 1. Calyon banka ? Protected Accumulated Boosted Forward, 2. ING - Zero-cost opční struktura forward extra, 3. ING - klasický forward.
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The simulation model of the population growth
Urbanová, Kateřina ; Kuncová, Martina (advisor) ; Fiala, Tomáš (referee)
In this thesis, called a simulation model of population growth, there was created the simulation model of a population growth in the Czech Republic to the year 2052. First there was constructed the projection through the component method used in demography. Deterministic values obtained by this method are then used in the simulation analysis. In the simulation analysis there was conducted an experiment with three variables which influence the population growth (the fertility, life expectancy/the coefficient of the decline of the probability of the death/ and the migration balance). With the support of the Crystal Ball, supporting program for Excel, which provides the possibility of the simulations, there was determined the stochastic character of the three variables. There are created the low, medium and high variant of the projections, as well as three other possible variants of population growth that might occur. These variations are called economic crisis, friendly migration policy and restrictive migration policy.
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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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Financial analysis of company Stavby silnic a železnic, a. s.
Klaban, Jaromír ; Kislingerová, Eva (advisor) ; Klečka, Jiří (referee)
The main purpose of presented diploma work is complex assessment of financial position of company Stavby silnic a železnic a. s. in 2003 - 2007, recognition of causes and proposal of possible steps leading to improvement. Partial aim of my work is comparison of bonding and bankrupting models applied to the mentioned company and mutual confrontation of these two models. Further aim is calculation of economic added value and subsequent analysis of input variable parameters sensitivity in relation to economic value added. Third partial purpose concerns the intercompany comparison and confrontation of this company with relevant branch.
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Monte Carlo Simulation and Financial Planning
Vyhlídka, Jan ; Hnilica, Jiří (advisor) ; Sieber, Patrik (referee)
The purpose of this paper is to clarify the Monte Carlo method, related time series forecasting and their application within the Crystal Ball environment. The theoretical part explains the way how to define the assumptions and the fundamental principles behind it. The application part demonstrates the forecasting of revenues and costs of RWE Transgas,a.s. on the basis of the average monthly temperatures, the prices of oil derivatives and the changes in the exchange rates.
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Simulace stochastických modelů hromadné obsluhy
Slámová, Kateřina ; Jablonský, Josef (advisor) ; Kuncová, Martina (referee)
Práce vystihuje teoretické poznatky z oblasti teorie hromadné obsluhy a simulace a následně jsou aplikovány poznatky do praxe. Pro případovou studii je využíván simulační software Simul8 a podpůrný program Crystal Ball, pomocí nichž je vytvořen model. Cílem je navrhnout nejlepší řešení daného problému a zhodnotit systém z hlediska struktury a funkčnosti. S modelem je provedeno několik experimentů a následně je posouzena vhodnost či nevhodnost použití jednotlivých variant.
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