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Analysis of guaranteed investment funds
Mach, Jonáš ; Witzany, Jiří (advisor) ; Stádník, Bohumil (referee)
This thesis focuses on guaranteed investment funds, which have become very popular among investors in the Czech Republic in recent years. The reason for this popularity is the conservativeness of a typical domestic investor, who appreciates the lower bound for the value of his investment. Guaranteed funds characteristically have a complex structure and valuation of their profitability based solely on intuition is therefore impossible. This analysis tries to provide an answer to the question if investing in these funds is reasonable. A large part of the thesis is dedicated to the option theory and option valuation methods, including the famous Black-Scholes formula, as guaranteed investment funds have the characteristics of an option. Thanks to the complicated structure of these products, the analysis itself is done by Monte Carlo simulation.
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Comparison of simulation programs and their application
Krupa, Martin ; Kuncová, Martina (advisor) ; Řezanková, Hana (referee)
Abstract (eng): This diploma paper compares available software for simulations. These are MATLAB, WITNESS, SIMUL8, SIMPROCESS and CRYSTAL BALL. In the first part, the dynamic simulations are explained, its methodic, purpose, areas of implementation and after that it describes the simulation of Monte Carlo type. These are the basic types of simulations used by programs mentioned in this paper. After a short introduction follows detailed description of the system requirements, user interface and the principles of working with these programs, that contains also a definition of basic function blocks. This paper also describes another important information like price, available licenses and in the attachment the pictures of the programs interface. The next part of my paper is based on analyze of observed articles, which concern this special area of interest. I try to describe the usage of this software on a market, area of application or eventually a type of simulation. The information from data assimilation are ordered in transparent tables and visualized on a graphs and diagrams. At the end is the final summary, which I believe will be beneficiary for the readers.
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Methods of the calculation of Value at Risk for the market and credit risks
Štolc, Zdeněk ; Witzany, Jiří (advisor) ; Paholok, Igor (referee)
This thesis is focused on a theoretical explication of the basic methods of the calculation Value at Risk for the market and credit risk. For the market risk there is in detail developed the variance -- covariance method, historical simulation and Monte Carlo simulation, above all for the nonlinear portfolio. For all methods the assumptions of their applications are highlighted and the comparation of these methods is made too. For the credit risk there is made a theoretical description of CreditMetrics, CreditRisk+ and KMV models. Analytical part is concerned in the quantification of Value at Risk on two portfolios, namely nonlinear currency portfolio, which particular assumptions of the variance -- covariance method a Monte Carlo simulation are tested on. Then by these methods the calculation of Value at Risk is realized. The calculation of Credit Value at Risk is made on the portfolio of the US corporate bonds by the help of CreditMetrics model.
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