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Discrimination measures in credit risk
Polak, Michal ; Pešta, Michal (advisor) ; Zahradník, Petr (referee)
Scoring models represent a fundamental tool for the modern management of credit risk. This is mainly due to a significant development in the field of information technology. Such models are used not only when providing credit, but also in strategies relating to the future management of credit risk, or in strategies connected with enforcing receivables. In my thesis I deal with discrimination measures used in the validation of diversification potential of logistic scoring models. At the beginning, I focus on the term 'risk'. Then, I introduce a basic division of scoring models. Next, I describe the method of scoring logistic regression, I concentrate on estimating parameters, their significance and on testing their relevance. For the measurement and illustration of diversification potential of the model I mention the most commonly used methods such as the Lorenz and ROC curve, the Gini coeficient, the c-statistic as well as the Kolmogorov-Smirnov test. Finally, I apply the theoretical knowledge to real data. I design a scoring model and subsequently compare the discrimination measures which it contains. Powered by TCPDF (www.tcpdf.org)
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Discrimination measures in credit risk
Polak, Michal ; Pešta, Michal (advisor) ; Zahradník, Petr (referee)
Scoring models represent a fundamental tool for the modern management of credit risk. This is mainly due to a significant development in the field of information technology. Such models are used not only when providing credit, but also in strategies relating to the future management of credit risk, or in strategies connected with enforcing receivables. In my thesis I deal with discrimination measures used in the validation of diversification potential of logistic scoring models. At the beginning, I focus on the term 'risk'. Then, I introduce a basic division of scoring models. Next, I describe the method of scoring logistic regression, I concentrate on estimating parameters, their significance and on testing their relevance. For the measurement and illustration of diversification potential of the model I mention the most commonly used methods such as the Lorenz and ROC curve, the Gini coeficient, the c-statistic as well as the Kolmogorov-Smirnov test. Finally, I apply the theoretical knowledge to real data. I design a scoring model and subsequently compare the discrimination measures which it contains. Powered by TCPDF (www.tcpdf.org)
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Evaluation of surgical treatment of hip joint with diagnosis of femoroacetabular impingement syndrom.
Zahradník, Petr ; Otáhal, Jakub (advisor) ; Chládek, Petr (referee)
Title: The evaluation of surgical treatment of the hip in the diagnosis of femor- acetabular impingement syndrome. Objectives: The main objective of this work is to evaluate the effect of the surgery of the hip in diagnosis of femor-acetabular hip impingement. Methods: In our work we have cooperated with 103 patients who have been operated on hip with the diagnosis of femor-acetabular hip impingement (FAI). We used standardized questionnaires of WOMAC and NAHS, which assesses functional self- care, limitations in motion and painfulness. Patients completed questionnaires twice. For the first time before surgery and second time at least one year after the surgery. The specimens of questionnaire are attached in the Annex. Results: We found out that postoperative condition is significantly different from the preoperative state in terms of improved self-care, increased range of motion and reduction of painfulness. Keywords: Femor-acetabular impingement, hip surgery, WOMAC, NAHS
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Options Valuation: The Discrete case
Šiklová, Renata ; Zahradník, Petr (advisor) ; Dostál, Petr (referee)
In this work we will get familiarized with a discrete valuation of options. A power- ful and widely applicable numerical method known as the binomial model will be established. Starting with a basic economic idea of non-arbitrage principle we build a risk-neutral world and develop the binomial model for call options. The general binomial model is extended into a trinomial model and there are several parame- terizations that are actually used in practice, provided for both of them. Great emphasis is also focused on a theoretical background. The theoretical knowledge, that will be introduced here in the discrete world, one can regard as basis for con- tinues models. The consequences of probability theory and risk-neutral valuation appear in the valuation of American options. There are three ultimate goals of this work: construction of the model itself, its implementation and an overview of the theoretical background. 1
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Discrete versions of continuous financial models
Graeber, Jiří ; Hurt, Jan (advisor) ; Zahradník, Petr (referee)
This thesis studies the continuous-time financial models and their discrete versions, used for simulations and parameters estimations. Firstly, various stock price development and interest rates models are introduced. As a result of their uncertain future dynamics, these are defined as continuous-time stochastic processes. Secondly, a summary of discrete versions of continuous-time models, formed by Euler and Milstein discretization schemes, i.e. two most frequent ways of approximating a time-continuous stochastic process, is looked at. According to these discrete versions, simulations with different parameters are conducted in the third part of the thesis in order to illustrate individual behaviour of these models. In the conclusion, a comparison of a unique trajectory specified by the real data of one year interest rates swaps and of the simulations of Vasicek and Cox-Ingersoll-Ross model with parameters estimated from the real data is shown.
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Casuistry of patient after amputation above knee
Zahradník, Petr ; Holubářová, Jiřina (advisor) ; Hulvová, Petra (referee)
Title of thesis: Casuistry of patient after amputation above knee Abstract: General part of this thesis includes definition, causes and potential complication, which can occur after the amputations. It also includes possibilities of rehabilitation and physiotherapy for the diagnosis. The content of special part is detailed casuistry of patient, who has been rehabilitated in rehabilitative facility for walking-school and backaches. Keywords: amputation, stub, walking-school, backaches
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Jednorozměrné difusní stochastické diferenciální rovnice s aplikacemi ve finanční matematice
Zahradník, Petr ; Štěpán, Josef (advisor) ; Vošvrda, Miloslav (referee)
In this thesis, the aim is to employ some of the advanced probability and calculus techniques to financial mathematics. In the first chapter some major facts from continuous - time probability theory are presented. In the second chapter, one - dimensional stochastic diferential equations are introduced, we touch upon the questions of existence and uniqueness of solutions in full generality, construct a weak solution to the Engelbert - Schmidt equation and thoroughly present a known procedure called a Feller's test for explosions. In chapter three, focus is directed to a brief presentation of the well known Dirichlet problem. The problem is also interpreted financially, applied to options valuation and related approximations are implemented. The fourth, final, chapter concentrates on the Cox - Ingersoll - Ross model. Techniques derived in the second and third chapters are employed to thoroughly study the model properties.
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The Economy of the Selected Municipality
Fousek, Ondřej ; Zahradník, Petr (referee) ; Pernica, Martin (advisor)
The bachelor thesis deals with the regional authority, namely the township. This thesis will be closely focused on investment plan of the township in the years 2009 - 2013. The practical part describes the township Pecka in general terms but also the financial situation of the township is considered. The center of the bachelor thesis is the investment plan of the building observatory in Krkonošská view, financial part of the project and possible impact on the implementation of this project to management of the township.
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Evaluation of the Voluntary Association of Municipalities Financing
Kostková, Naděžda ; Zahradník, Petr (referee) ; Lajtkepová, Eva (advisor)
The bachelor thesis is aimed at the financing of the voluntary association of municipalities. The theoretical section outlines the budget system and basic concepts, budget incomes and expenses. The practical section of this work deals with analysis of incomes and expenses of budget of the voluntary association of municipalities Region MTJ. There is analyse the progress and structure of budget incomes and expenses, evaluated the management of the voluntary association of municipalities.
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