|
|
Risk Management inside Construction Company
Hošková, Tereza ; Kerbr, František (referee) ; Nováková, Jana (advisor)
The subject of this thesis is risk management in construction companies. The theoretical part describes the origin and definition of risk, risk classification, sources and methods of risk management and risk reduction. The practical part is focused on a particular contract, in the particular construction company. This project presents a practical approach and risk management solutions with suggestions for preventive measures to eliminate risk factors.
|
|
|
Risk Management inside Construction Company
Niesnerová, Dita ; Jinek, Josef (referee) ; Nováková, Jana (advisor)
The purpose of this thesis is to map risks in a constructing company. The theoretic part contains information about risks in projects, the science of risk and about processes connected with risk management. The theoretical knowledge is used in the practical part to create a list of risks for a concrete builing order, to valuate these risks and prepare suggestion how to eliminace or reduce the inpact of these risks.
|
|
|
Risk Management inside Construction Company
Juřička, Adam ; Motyčková, Klára (referee) ; Nováková, Jana (advisor)
The bachelor thesis focuses on risk management in a construction company. The works is divided into theoretical and practical part. The theoretical part deals the risks in projects, basic division and control. The practical part use the acquired theoretical knowledge for a construction contract – construction of a shop and office building for a construction company. It includes risk identification, evaluation and proposal for measures to minimize or completely eliminate risks.
|
|
|
Risk Management inside Construction Company
Juřička, Adam ; Motyčková, Klára (referee) ; Nováková, Jana (advisor)
The bachelor thesis focuses on risk management in a construction company. The works is divided into theoretical and practical part. The theoretical part deals the risks in projects, basic division and control. The practical part use the acquired theoretical knowledge for a construction contract – construction of a shop and office building for a construction company. It includes risk identification, evaluation and proposal for measures to minimize or completely eliminate risks.
|
|
|
Zpětná alokace diversifikačního efektu v pojistném riziku
Kyseľová, Soňa ; Středová, Marcela (advisor) ; Mazurová, Lucie (referee)
The determination of the sufficient amount of economic capital and its allocation to the business lines is the key issue for insurance companies. In this thesis we introduce two methods of aggregating economic capital. One is based on linear correlation and the second deals with copulas. A multitude of allocation principles have been proposed in the literature. We choose those which are the most used in practice and compare advantages and disadvantages of their application. The last chapter is devoted to the numerical examples of capital aggregation and allocation principles. 1
|
|
|
Robust methods in portfolio theory
Petrušová, Lucia ; Branda, Martin (advisor) ; Večeř, Jan (referee)
01 Abstract: This thesis is concerned with the robust methods in portfolio theory. Different risk measures used in portfolio management are introduced and the corresponding robust portfolio optimization problems are formulated. The analytical solutions of the robust portfolio optimization problem with the lower partial moments (LPM), value-at-risk (VaR) or conditional value-at-risk (CVaR), as a risk measure, are presented. The application of the worst-case conditional value-at-risk (WCVaR) to robust portfolio management is proposed. This thesis considers WCVaR in the situation where only partial information on the underlying probability distribution is available. The minimization of WCVaR under mixture distribution uncertainty, box uncertainty, and ellipsoidal uncertainty are investigated. Several numerical examples based on real market data are presented to illustrate the proposed approaches and advantage of the robust formulation over the corresponding nominal approach.
|
|
|
The use of coherent risk measures in operational risk modeling
Lebovič, Michal ; Teplý, Petr (advisor) ; Doležel, Pavel (referee)
The debate on quantitative operational risk modeling has only started at the beginning of the last decade and the best-practices are still far from being established. Estimation of capital requirements for operational risk under Advanced Measurement Approaches of Basel II is critically dependent on the choice of risk measure, which quantifies the risk exposure based on the underlying simulated distribution of losses. Despite its well-known caveats Value-at-Risk remains a predominant risk measure used in the context of operational risk management. We describe several serious drawbacks of Value-at-Risk and explain why it can possibly lead to misleading conclusions. As a remedy we suggest the use of coherent risk measures - and namely the statistic known as Expected Shortfall - as a suitable alternative or complement for quantification of operational risk exposure. We demonstrate that application of Expected Shortfall in operational loss modeling is feasible and produces reasonable and consistent results. We also consider a variety of statistical techniques for modeling of underlying loss distribution and evaluate extreme value theory framework as the most suitable for this purpose. Using stress tests we further compare the robustness and consistency of selected models and their implied risk capital estimates...
|
|
|
Financial Risk Measures: Review and Empirical Applications
Říha, Jan ; Šopov, Boril (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on several classes of risk measures, related axioms and properties. We have introduced and compared monetary, coherent, convex and deviation classes of risk measures and subsequently their properties have been discussed and in selected cases demonstrated on data. Furthermore the relatively promising and advanced class of risk measures, the spectral risk measures, has been introduced. In addition to that we have outlined selected topics from portfolio theory that are relevant for applications of selected risk measures and then derived theoretical solution of portfolio selection using chosen risk measures. In the end we have highlighted the potential consequences of improper employment of certain risk measures in portfolio optimization.
|
|
|
Portfolio efficiency with continuous probability distribution of returns
Kozmík, Václav
Present work deals with the portfolio selection problem using mean-risk models. The main goal of this work is to investigate the convergence of approximate solutions using generated scenarios to the analytic solution and its sensitivity to chosen risk measure and probability distribution. The considered risk measures are: variance, VaR, cVaR, absolute deviation and semivariance. We present analytical solutions for all risk measures under the assumption of normal or Student distribution. For log-normal distribution, we use the approximate assumption that the sum of log-normal random variables has log-normal distribution. Optimization models for discrete scenarios are derived for all risk measures and compared with analytical solution. In case of approximate solution with scenarios, we repeat the procedure multiple times and present our own approach to finding the optimal solution using the cluster analysis. All optimization models are written in GAMS language. Testing and estimating are realized using an application developed in C++ language.
|
|
|
Risk aversion in portfolio efficiency
Puček, Samuel ; Branda, Martin (advisor) ; Kopa, Miloš (referee)
This thesis deals with selecting the optimal portfolio for a risk averse investor. Firstly, we present the risk measures, specifically spectral risk me- asures which consider an individual risk aversion of the investor. Then we propose a diversification-consistent data envelopment analysis model. The model is searching for an efficient portfolio with respect to second-order sto- chastic dominance. The crux of the thesis is a model based on the theory of multi-criteria optimization and spectral risk measures. The presented mo- del is searching for an optimal portfolio suitable for the investor with a given risk aversion. In addition, the optimal portfolio is also consistent with second- order stochastic dominance efficiency. The topic of the practical part is a nu- merical study in which both models are implemented in MATLAB. Models are applied to a dataset from real financial markets. Personal contribution lies in comparing the diversification-consistent data envelopment analysis model and model based on multi-criteria optimization, both with respect to second order stochastic dominance efficiency.
|
guest ::
