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Operational risk loss distributions
Krajňák, Tomáš ; Mazurová, Lucie (advisor) ; Pešta, Michal (referee)
Operational risk in recent years has become an important part of banks, insurance companies and financial institutions. The proposed work deals with the distributions that best fit the loss severity from the operational risk and also describe their basic properties. Specifically, deals with the g-h distribution, its properties, moments, parameter estimations and tail behavior. There is also another method for high threshold estimation described in this text, the POT (Peaks over threshold). In conclusion, there is the procedure for estimating quantiles of g-h distribution by POT method presented including simulation example in which there are quantile values estimated using the POT method compared to the g-h distribution quantiles.
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Ideálny nástroj pre riadenie projektov
Karaffa, Matúš ; Svoboda, Jiří (advisor) ; Svatoš, Oleg (referee)
This project proposes to set the requirements for ideal project management software. These requirements will be specified by comparing of the best and the most widely used softwares in this sfere, by project simulation using one of these softwares and by the theoretical and practical requirements resulting from project management. Two most significant softwares -- MS Project and Primavera -- will be used for this project. The theoretical parf consists of project management theory and introduction of individual softwares, while project simulation, demonstration of strength and weakness of the specific software and draw conclusion will be shown in the practical part.
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The Evolution of Football Strategies
Jiřička, Martin ; Holan, Tomáš (advisor) ; Neruda, Roman (referee)
The thesis describes a design of continuous simulation of simplified football match and it also describes an evolution, that offers to a user a chance to evolve a football team, that competes best in the simulation. Both simulation and evolution have been implemented as a program for Microsoft .NET Fra- mework. Program allows simple distributed computation of an evolution and also viewing a results and watching matches in 2D graphics. So that part of the thesis is dedicated to a description of how the program works and how to use it. In the end are mentioned some performed computations illustrating how the pro- gram could be used and a small analysis that shows on concrete evolution that the designed solution mights work. 1
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Predictive Accuracy of Competing Value-at-Risk Specifications during Crisis: An Application to CEE Financial Markets
Kroutil, Tomáš ; Baruník, Jozef (advisor) ; Seidler, Jakub (referee)
The recent worldwide Financial Crisis has increased the need for reliable financial risk measurement and management. In this thesis we evaluate and compare the accuracy of one-day-ahead out-of-sample forecasts of various Value-at-Risk models through a comprehensive assessment framework using crisis data of three CEE stock market indices (PX, WIG20 and BUX) and two benchmark stock indices (S&P 500, DAX). For building the VaR specifications we employ several GARCH extensions allowing either for asymmetry in volatility such as EGARCH, TGARCH and APARCH or long memory like FIGARCH and HYGARCH. Apart from conditional heteroscedasticity models, we also utilize realized volatility estimated by long memory ARFIMA and HAR. Individual volatility models are combined with full parametric approach, filtered historical simulation or filtered extreme value theory. This thesis shows that while VaR specifications based on logarithmic realized volatility, TGARCH and APARCH perform best overall, the benchmark - RiskMetrics model - is not significantly outperformed. The best performing model proves to be the TGARCH-t FHS, which is a combination of asymmetric and heavy-tailed GARCH filter with a historical simulation based approach. Keywords: Value-at-Risk, realized volatility, GARCH extensions, quantile modeling,...
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Predictive accuracy of competing Value-at Risk specifications during crisis : an application to CEE financial markets
Kroutil, Tomáš ; Baruník, Jozef (advisor) ; Seidler, Jakub (referee)
The recent worldwide Financial Crisis has increased the need for reliable financial risk measurement and management. In this thesis we evaluate and compare the accuracy of one-day-ahead out-of-sample forecasts of various Value-at-Risk models through a comprehensive assessment framework using crisis data of three CEE stock market indices (PX, WIG20 and BUX) and two benchmark stock indices (S&P 500, DAX). For building the VaR specifications we employ several GARCH extensions allowing either for asymmetry in volatility such as EGARCH, TGARCH and APARCH or long memory like FIGARCH and HYGARCH. Apart from conditional heteroscedasticity models, we also utilize realized volatility estimated by long memory ARFIMA and HAR. Individual volatility models are combined with full parametric approach, filtered historical simulation or filtered extreme value theory. This thesis shows that while VaR specifications based on logarithmic realized volatility, TGARCH and APARCH perform best overall, the benchmark - RiskMetrics model - is not significantly outperformed. The best performing model proves to be the TGARCH-t FHS, which is a combination of asymmetric and heavy-tailed GARCH filter with a historical simulation based approach.
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Implementation of alternative metric in AODV protocol
Dajčár, Matej ; Novotný, Miroslav (advisor) ; Peterka, Jiří (referee)
There is a lot of alternative routing protocols used in wireless communications. One of these protocols is Ad Hoc On-Demand Distance Vector routing protocol (AODV). This protocol is used in the mobile ad-hoc networks which are self-configuring networks consisting of the independent mobile devices where each one of these devices acts as a router and forwards traffic from other devices. AODV protocol uses hop count as a routing metric, but in the many cases this metric is not optimal in the wireless networks. The goal of this thesis is to propose the alternative criteria which can be used to select best routes. An integral part of this thesis is the experimental implementations of suggested metrics which will be simulated and evaluated in the selected simulation tool. The conclusion of the thesis analyses results obtained from the simulations of the individual suggested versions.
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Bank Loans of Enterpreneurs and Possibility of Obtaining in the Czech Republic
Kopecká, Tereza ; Hurda, Pavel (referee) ; Rejnuš, Oldřich (advisor)
The main aim of my diploma thesis is to choose the most sutaible option of loan financing of business activities of individual in simulated conditions. The first part is followed to summary of theoretical knowledges about loans issues which are loan analysis specifically interest, loan application, repayment, protection, risks and types of loans, then loan markets, loan unions and central bank and loans. The second part is aimed to analysis of specific cases of getting loans, morgages and leasing for entrepreneurs and citizens and it´s following evaluation. Then there is comparison of the best options. In conclusion of this part there are analysis and all the results of current situation of getting loans for entrepreneurs in Czech republic.
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Optical amplifiers for metropolitan and access networks
Čech, Martin ; Šporik, Jan (referee) ; Tejkal, Vladimír (advisor)
Aim of this Master´s thesis is to describe and compare most common types of optical amplifiers used in today’s networks. The first section focuses on problematic of optical transmissions and phenomenon which cause degradation of transmitted signal. It is also explained in this section why there is a need to deploy optical amplifiers. Next section describes basic principles, structure and properties of individual types of optical amplifiers. Following section describes simulations which were made to compare the performance of transmission systems with each individual type of optical amplifier. The last section contains a design of optical metropolitan network with wavelength multiplex. Based on simulations from preceding part best amplifier type and optimal amplifier placement was selected. Functionality of the design was tested and simulations described in final section.
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Strategic Business Activities of a chosen Firm
Joštová, Alice ; Pirožek, Petr (advisor) ; Lešetický, Ondřej (referee)
The aim of this thesis is to choose two products of the telecommunication company Telefónica O2 Czech Republic, a.s. - internet ADSL/IPTV, through the sales analysis describe their development,competition, trends on the market etc. and in the end evaluate if it's efficient for the company to continue providing these services or not, choose a the best suitable strategy and simulate probable sales and revenues in 2009, 2010 and 2011. For this running average method will be used.
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Design and realization of V/I and I/V symmetrical converters
Chrást, Jakub ; Koton, Jaroslav (referee) ; Jeřábek, Jan (advisor)
Master´s thesis deals about design of symmetrical converters voltage on current and current on voltage. These converters will be used for measuring frequency characteristics of differential frequency filters. Current feedback amplifier was used as active element. Some circuits useful for this function were chosen. Various integrated circuits were put into these circuits. All variations were simulated in computer program Orcad. In terms of computer simulations the best variation was chosen. Selected variants were practically verified and control measuring were realized.
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