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Alternativní přístup k řízení rizik v bankovnictví za použití analýzy obalu dat
Fialová, Zuzana ; Jablonský, Josef (advisor) ; Lukáš, Ladislav (referee) ; Brezina, Ivan (referee)
The implementation of the Basel II capital adequacy framework promoted internally modelled risk parameters and allowed banks to build their own models. The recent crisis pointed at the gaps in the Basel II Accord, seeing banks having trouble to deal with lack of liquidity and higher default rates. The minimum regulatory capital held by the banks turned out to be insufficient and banks started looking for other techniques to better quantify the risks they are exposed to. Model accuracy is a key objective to meet the capital adequacy requirements while facing severe economic conditions. The purpose of this thesis is to suggest a new approach to credit modelling. Data envelopment analysis (DEA) can overcome some the difficulties that the banks deal with. The key opportunity in using DEA and its modifications is in the fact that this method does not require prior information about the classification between good and bad units and only requires financial and other data about the client in question. This thesis analyses the performance of DEA applied on a real world portfolio of corporate loans compared to the two standard methods used in the banking sector. Logistic regression is the most popular method, having few restrictions and providing output in the form of a probability of default. The second method is the discriminant analysis giving similar results to the logistic regression but being based on more assumptions. The model is validated by comparing the model output with the actual status and its predictive power evaluated.
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Quality of life assessment in the selected regions by the Data Envelopment Analysis (DEA)
CHROMÁ, Vendula
The diploma thesis aims to do a research into quality of life of the selected regions in the Czech Republic and so to identify strengths and weaknesses of the individual regions. The research is done by means of DEA method on the basis of chosen criterions. The DEA method determines the effectiveness of individual districts and so it shows the living standard. Moreover, the DEA method also suggests the way how to raise effectiveness in the case of inefficient regions. The thesis also focuses on strengths and weaknesses of production units, which comes out from the assessment itself. For the application of the model, economic and uneconomic indicators such as unemployment, work inability, criminality, air pollution and the apartments' costs were chosen. These indicators represent inputs. In outputs, there are density of the road network and average wages included. All data relates to the year 2010. The assessment itself is carried out via a special software Frontier Analyst.
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Data envelopment analysis and their application in chosen branch
BANDÍK, Tomáš
Data envelopment analysis is one of methods how to compare the efficiency of transformation of the inputs to the outputs among production units. It helps to improve the efficiency and to identify weak points in production systems. The target of DEA is to divide focused subjects to efficiency and non-efficiency groups, comparing the amount of used sources as inputs and the amount of outputs. At first there are described some important conceptions in theory part. Then explanation of principes DEA follow and basic models analysis description too. The desription supposes constant returns to scale and variable returns to scale. There is contain a chapter devoting to description of using software. The practical part of my bachelor thesis is focused on using DEA to compare different countries by HDI ( human developmet index) The solution of this case work with characteristics used by calculating HDI.
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Data Envelopment Analysis – extension and application in automotive industry
Synková, Rut ; Jablonský, Josef (advisor) ; Cahlík, Tomáš (referee) ; Ivaničová, Zlatica (referee)
The Models of the Data Envelopment Analysis are the instruments for benchmarking of homogenous production units. The first models had been formulated by the end of 70th in the last century and since then have been the subject of interest in the theoretical area as well as in the analytical area. The thesis refers to the models of the Data Envelopment Analysis and its development in the theoretical area. The second goal of the thesis is an application of models of the Data Envelopment Analysis in industrial environment and illustration of its possible use by investment decision. The domestic literature on the area of the Data Envelopment Analysis has not been sufficient. The thesis is therefore mapping the present stage of knowledge in this area and further widens by the Allocation Models, Dynamic Analysis and the questions of non-controlled and imprecise variables. Models, which are formulated in the thesis, where afterwards applied on the data of the foreign companies. The numerical experiments were worked out by the software support for the models of the Data Envelopment Analysis, built in the environment of MS Excel. The main contributions of the thesis are in enlargement of the Dynamic Analysis by the partial continuous dynamic analysis and analysis of Efficiency Stability of the evaluated units. The other contribution is the wide application of the models of the Data Envelopment Analysis for benchmarking the companies, which mainly produce the motor vehicles. The thesis gives the overview of the often used models of the Data Envelopment Analysis as well as of the rarely used models. It discusses the possible solution to the special situations which may occur during the application. The thesis is divided into six chapters which, in typical case, contain next to the theory the illustrative application. The first chapter comprises of the subscription of the basic models of the Data Envelopment Analysis. In the second chapter, there are presented the Super-Efficiency Models and discussed the problems with zero inputs and outputs in these models. The overview of the Allocation Models is in following part. The Dynamic Analysis and analysis of Efficiency Stability are subjects of the fourth chapter. The fifth chapter is dedicated to non-controlled and imprecise variables. The last chapter focuses on application of the models in automotive industry and its possible use of results for estimated development of the evaluated units on Investment markets.
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Multi-Criteria Decision Making in Data Envelopment Analysis
Mec, Martin ; Jablonský, Josef (advisor) ; Kalčevová, Jana (referee)
Data Envelopment Analysis is a multi-criteria decision making tool employing set of minimizing criteria (inputs) and set of maximizing criteria (outputs) for evaluating decision making unit efficiency. This method is accompanied by problems in field of input and output weight assignment, whereas benevolent basic model formulation enables decision making unit evaluation to be based on far unevenly distributed weight vector. Furthermore, data envelopment analysis basic model produces dichotomized dividing in form of efficient and inefficient decision making unit sets. Extensive set of efficient units occurs frequently and this causes difficulties in choosing one or less number efficient units. These phenomena appear often simultaneously. An implementation of multi-criteria decision making models into data envelopment analysis is exercised in order to reduce these undesired effects in applications.
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Analysis of travel agency branches effectiveness with DEA models
Smrčka, Pavel ; Jablonský, Josef (advisor) ; Dlouhý, Martin (referee)
In today's fiercely competitive environment, not only in the tourism sector, we see a rise in the need to identify the weak and strong sides of the performance of the entire branch network of a travel agency, as well as of its components, the particular branches. This problem can be approached using the process of benchmarking. This method is currently widely used to compare the similarly behaving systems and processes in all areas of human activity. Data envelopment analysis models can be used as one of the methods of benchmarking. This thesis deals first with the theoretical description of the basic models of data envelopment analysis. It then moves on to concentrate on the description of the network-based models, which are then used in the practical part of the thesis. In this last part, it compares selected travel agency branches and identifies the deficiencies in particular areas of their performance.
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Multi-Criteria Analysis and its application in practice
DOUBRAVOVÁ, Hana
This work deals with Multi-Criteria Analysis which represents an effective tool for solving complex decision-making situations. This paper describes the various methods of multi-criteria evaluation. One of the chapters also focuses on the software support. The main objective of this document is to demonstrate how to apply Multi-Criteria Analysis in real life. The practical part of this study refers to the structural policy and deals with the evaluation of regions of the Czech Republic after its entry into the European Union. The study mainly concentrates on the detailed analysis of South Bohemia region.
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Using Data Envelopment Analysis models to assess efficiency of shop network of a Mobile Network Operator
Šabata, Ondřej ; Jablonský, Josef (advisor) ; Dlouhý, Martin (referee)
This master thesis deals with efficiency assessment of shop network of a leading Mobile Network Operator, by which it utilizes an innovative approach called Data Envelopment Analysis (DEA). The following three areas are in main focus of this thesis: advantages of DEA modelling compared to common approaches to Decision Making Units efficiency assessment and extensive summary of majority of DEA models, which are relevant for solving the given problem; followed by a comprehensive model of efficiency assessment of shop network of a Mobile Network Operator, which is unique to this thesis from both theoretical and practical standpoints; and last but not least a detailed analysis of the shop network including recommendations.
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FDH method and its use by efficiency analysis
Průchová, Anna ; Dlouhý, Martin (advisor) ; Jablonský, Josef (referee)
This bachelor thesis deals with evaluation of efficiency of decision making units using data envelopment analysis. The main purpose is to introduce FDH method (Free disposable hull). For easier understanding there are explained two basic DEA models (CCR and BCC) in the first part of the thesis. Then the description of FDH method follows. It contains the mathematical model and graphic visualization. The thesis also briefly describes the appropriate way of data collecting and their adjustment. In the second part there are evaluated efficiencies of lending libraries in the Czech Republic. The data set is analyzed by FDH method and results gained by CCR and BCC method are shown for comparison.
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Application of data envelopment analysis to the performance assessment of bank branches
Müller, Martin ; Jablonský, Josef (advisor) ; Šindelářová, Irena (referee)
The purpose of this diploma thesis is to describe an application of data envelopment analysis to the performance assessment of bank branches. The bank has used, in the first half of the year 2007, two DEA models: DEA model with the purchasing power as an implicit parameter and DEA model with the economic potential as an explicit parameter. I have used for the calculations different models, which are stated in the literature, (i.e. CCR model or BCC model), because in data received from the bank was the influence of the purchasing power already involved. Next purpose of this thesis is to summarize theoretical basis of DEA models and also this theoretical basis put together with existing foreign studies.
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