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Scenario generation by the moment fitting method
Koláčková, Hana ; Dupačová, Jitka (advisor) ; Branda, Martin (referee)
The thesis presents four methods for scenario generating leading to the resulting discrete probability distribution that replicates given values of the moments. The first method uses heuristic algorithm, the second method generates by symmetrically distributing values around the mean value, the third one is based on solving the system of nonlinear equations and finally the last method is based on goal programming. Next section describes the nature of problems solved by the goal programming. It also details possible ways of parameter specification to allow control of the computational complexity. In the last part of the thesis the results of several suitable methods for chosen types of problem are compared. Powered by TCPDF (www.tcpdf.org)
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Risk management of savings accounts
Džmuráňová, Hana ; Teplý, Petr (advisor) ; Lebovič, Michal (referee)
This thesis deals with the risk management of savings accounts. Savings accounts are non- maturing liabilities bearing two embedded options. The first option is the client's right to withdraw deposits on notice. The second option is a bank's right to change the deposit rate on savings accounts whenever it wishes. This in practice means that a fierce competition may arise as banks can quickly react to competitor's change in the deposit rate. The embedded characteristics make the risk management of savings accounts challenging. We identify five key risks of savings accounts: liquidity risk, market risk (interest rate risk), systemic risk, reputational risk, and model risk. The thesis focuses on the interest rate risk and the method of replicating portfolios, which is a standard technique of the estimation of non-maturing liabilities' interest rate risk employed by banks. Using replicating portfolio approach, we derive that savings accounts are risky liabilities. We provide evidence that high deposit rates offered on numerous savings accounts in the Czech Republic have not been consistent with low market rates since January 2012, at least. We show that unsustainable deposit rates combined with competition among banks will lead to capital losses in some banks when market rates increase. JEL...
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Assessment of climate change impacts on selected ecosystem services in the Czech Republic: application of land use scenarios
Lorencová, Eliška ; Vačkářová, Davina Elena (advisor) ; Müller, Karel (referee) ; Cudlín, Pavel (referee)
Doctoral thesis abstract Assessment of climate change impacts on selected ecosystem services in the Czech Republic: Application of land use scenarios MSc Eliška Lorencová Climate and land use change are recognized as the greatest global environmental problems. Both considerably impact delivery of crucial ecosystem services, such as carbon sequestration, water flow regulation, erosion control, and food and fibre production. By combining future projections of ALARM scenarios (for years 2020, 2050 and 2080) with modelling of ecosystem services, the study aims to evaluate climate change impact on selected ecosystem services (carbon storage and sequestration, erosion control and sediment retention) in the Czech Republic. This study provides quantitative as well as spatially explicit analysis of the impacts on selected ecosystem services in the Czech Republic. Performed ecosystem service assessment indicates that spatial distribution of provision of ecosystem services, such as carbon storage and sequestration, sediment retention reflects the projected future land use changes. In case of carbon sequestration, SEDG scenario shows the lowest carbon sequestration rates accounting for 37,029.6 Gg C within the period 2000-2080. Stable vegetation cover is one of the factors that play important role in amount of sediment...
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Network flow models for waste management
Janošťák, František ; Mrázková, Eva (referee) ; Pavlas, Martin (advisor)
This thesis is devoted to the construction of new waste-to-energy plants in a territory where is already another fossil-fuel power station in operation. The aim is to create a mathematical model and prove that those two devices are able to cooperate effectively using same technology. Exactly assembled model under real operating have characteristics of a mixed integer nonlinear programming. The optimization software GAMS is used for its calculation. The complexity of the model, however, is at a level that solutions in bad initial conditions ends in local optima, or not found at all. This thesis is devoted to the elimination of non-linearity using binary variables and heuristic so the task was solved with acceptable time limits to guarantee an optimal solution.
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Vector Optimalisation of a Company Based on Trend Evaluation
Tesařová, Lenka ; Válková, Hana (referee) ; Dohnal, Mirko (advisor)
The thesis deals with the analysis of the macroeconomic, market and intern environment of corporations in order to analyze the appropriate time to establish a new company or to invest into an existing economical subject. For this purpose the qualitative modeling was used. Thanks to this method there is a possibility to predict the future development of the factors that have an influence on rentability of companies. The choice of variables is the same as with the ones that are analyzed in the process of evaluation rating.
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MULTI-OBJECTIVE OPTIMIZATION OF SCIENCE PARKS BASED ON QUALITATIVE EQUATIONLESS RELATIONS
Wouters, Hana ; Koráb, Vojtěch (referee) ; Hřebíček, Jiří (referee) ; Čapek, Jan (referee) ; Dohnal, Mirko (advisor)
Tato dizertační práce řeší optimalizaci vědeckých parků z hlediska potřeby zvyšování konkurenceschopoností regionů a potažmo celé ČR. Je koncipována pro investory, kteří chtějí realizovat projekt VP v různých regionech ČR nebo manažery již existujících vědeckých parků, kteří chtějí udělat další rozhodnutí. Možnost realizovat projekt VP platí pro všechny regiony, včetně regionů, které se dříve mohly spoléhat na dostupnost a těžbu nerostných surovin (tradičně těžba uhlí), jež v minulosti fungovala jako významný faktor pro rozvoj průmyslu a ekonomické aktivity. Tyto regiony se nyní musejí vyrovnat se ztrátou konkurenceschopnosti a přesunout své úsilí do oblasti rozvoje výzkumu a vývoje produkujícího inovace. Kvalitativní modelování je vhodné pro tak málo známé a komplexní systémy jako jsou právě vědecké parky (VP). Modely vědeckých parků obsahují proměnné různého charakteru a různých časových chování. Z tohoto důvodu jsou studovány rychlé a pomalé modely. Pro 11 pomalých proměnných je studován soubor 17 kvalitativních bezrovnicových vazeb typu (např. kvalita výzkumných a vývojových inženýrů, konkurenční status atd.) společně se souborem 14 kvalitativních bezrovnicových vazeb pro 10 rychlých proměnných typu (např. spolupráce mezi průmyslem a akademickými ústavy, výměna průmyslových informací apod.). V této dizertační práci jsou prezentována řešení rychlých a pomalých modelů ve formě souborů rychlých a pomalých scénářů a přechodů mezi nimi a jsou hledána optimální řešení. Analýza/optimalizace málo známých, nelineárních, multidimenzionálních systémů jako jsou vědecké parky je složitá a je obtížné vytvořit smysluplné a dostatečně přesné modely nestabilního chování. Systematická analýza řady kvalitativních řešení je hlavní částí disertační práce a jejím hlavním vědeckým přínosem. Jednotlivé kroky postupu tvorby modelu jsou názorně ilustrované na příkladech. Text obsahuje interpretaci dosažených výsledků a formulaci přínosů pro teorii a praxi.
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Application of stochastic programming methods for the purpose of energy producing system
Šomplák, Radovan ; Mrázková, Eva (referee) ; Popela, Pavel (advisor)
This thesis deals with the evaluation of the strategic investment in the waste-to-energy plant development. The central supply of heat and the incineration plant connection can be provided for example by the distribution network. The objective is to find financially feasible solution regarding uncertain development of waste management and energy market. A heat supplies to district heating network significantly influences the strategic decision. A two-stage stochastic programming based on the scenarios and the GAMS software were applied to solve this task. The main contribution of this thesis is decision on crucial parameters of the waste-to-energy plant.
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Optimization Models for Strategical Decision Making
Ulverová, Michaela ; Škapa, Stanislav (referee) ; Popela, Pavel (advisor)
The thesis deals with possibilities of mathematical modeling for public university budgets. Firstly, external conditions of public university financial inflows are discussed and~illustrated by using particular data. The related basic legislature is introduced. In~the~next part, internal financial flows are described the help of a general scheme. Step-by-step, a mathematical model of the university budget was built with using analysis of existing data, rules and formulas. The proposed model represents nonlinear multi–stage scenario-based stochastic programme, involving linear and network-flow like constraints. It allows to take into account more objective functions and related parametric analysis. The model was implemented in the algebraic modeling system GAMS with~interface to MS Excel. The aim of the presented mathematical model was not to offer a tool that would be used for automatic distribution of financial resources of the university, but to give flexible possibilities to its user to realize computational experiments and in this way to achieve a deeper insight into the modeled problem.
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Valuation of Economic Risk of Investor in Realization of Investment Project
Rusínová, Alena ; Dvořáčková, Šárka (referee) ; Hromádka, Vít (advisor)
This thesis is focused on assessing the economic risk for the investor in the implementation of the investment project. An investor's decision on the implementation of the project depends on the economic feasibility analysis identified outputs, these outputs are burdened by economic uncertainty, which raises the risk. Therefore, it is necessary to manage risk. The process of risk management consists of a phase of risk analysis and risk management phase. In the analysis phase is to identify risks, assessments of materiality and risk measurement. In the phase of risk management risks identified evaluate and establish measures to prevent their occurrence or impact.
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Optimization for the design of subsystems of energy-producing processes
Janošťák, František ; Bednář, Josef (referee) ; Pavlas, Martin (advisor)
This bachelor thesis focuses on the design of a combustion grate. The key factor is the lower heating value of waste, which has been modelled based on the data obtained from a real combustion grate. The goal is to develop a combustion grate, which will function effectively whilst changing the lower heating values. Possible scenarios of the problem are mathematically formulated and implenented in GAMS enviroment. The outcome of this work are the parameters of the combustion grate.
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