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Project Management and Risks Visualization Support Tool
Přibylová, Kateřina ; Trchalík, Roman (referee) ; Kreslíková, Jitka (advisor)
This master thesis deals with the topic of risk management and explains its importance during project management in IT projects. It descibes every phase of the risk management life cycle and also methods and procedures used in each phase. After that the thesis focuses on decision analysis, mainly on decision trees and Monte Carlo simulation. The last part contains the design of an application for risk management and visualization. Prototype of this system has been implemented based on this design in PHP framework Laravel. Details of the implementation and testing are in the next part of this thesis. In the end there is an assessment with discussion of possible expansions.
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Business Intention of Construction Company focused on Timber Constructions
Grossmann, Jiří ; Srba, Martin (referee) ; Hromádka, Vít (advisor)
The thesis includes business intention of construction company in the form of a feasibility study. Planned company deals with the realization of timber-framed buildings that are built by hand directly on the construction site. The introductory part describes basic knowledge of the investment projects planning. One subchapter shortly describes the timber construction system. Parts of the business intention are oriented on corporate strategy, marketing, production technology, manpower, economic a financial analysis and risk management. In conclusion is an overall assessment of the project feasibility.
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Project Management and Risks Visualization Support Tool
Přibylová, Kateřina ; Trchalík, Roman (referee) ; Kreslíková, Jitka (advisor)
This master thesis deals with the topic of risk management and explains its importance during project management in IT projects. It descibes every phase of the risk management life cycle and also methods and procedures used in each phase. After that the thesis focuses on decision analysis, mainly on decision trees and Monte Carlo simulation. The last part contains the design of an application for risk management and visualization. Prototype of this system has been implemented based on this design in PHP framework Laravel. Details of the implementation and testing are in the next part of this thesis. In the end there is an assessment with discussion of possible expansions.
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Two-stage backtesting of Value-at-Risk models
Matyáš, Jan ; Seidler, Jakub (advisor) ; Brechler, Josef (referee)
Bachelor Thesis Two-stage backtesting of Value-at-Risk models Jan Matyáš Abstract This paper deals with a comparative evaluation of various Value-at-Risk models in terms of their prediction accuracy. We use two-stage backtesting procedure to find the most robust methodology in several aspects. Backtesting framework comprises of testing properties of independence, unconditional coverage, and conditional coverage and successive stage, that uses loss function allowing us to compare the two selected models from the previous part. Four European indices are taken to represent both well developed countries (DAX, ATX) and developing countries (PX, WIG). Models are examined over the period from January 1997 to February 2014. The best performing model in our selection appears to be the historical method with a 99% confidence interval. The use of stable distribution or lower confidence interval do not produce satisfactory results. Powered by TCPDF (www.tcpdf.org)
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Backtesting of Different Scaling Rules for Value at Risk in the Basel Context
Klečka, Adam ; Krištoufek, Ladislav (advisor) ; Avdulaj, Krenar (referee)
1 Abstract There is a discrepancy between two important horizon for Value at Risk modelling in the Basel context. We take 10-day values for determining the regulatory capital but we consider 1-day models for backtesting. The main objective of this thesis is to examine the suitability of the currently used Square Root of Time rule for Value at Risk scaling. We compare its performance with the method utilizing Hurst exponent. Our analysis is performed for both the normal and stable distribution. We conclude that the normality assumption and the Square Root of Time rule prevail under the regulatory parameters. The results of the Hurst exponent method are not favourable under normality. On the other hand, the performance for the stable distribution is quite satisfactory under non-Basel parameters and the Hurst exponent complements this distribution very well. Therefore, the use of stable distribution and the Hurst exponent method is justified when dealing with complex non-linear instruments, during turbulent periods, or for general non-Basel setting. In general however, our results are strongly data-dependent and further evidence is needed for any conclusive implications. JEL Classification G21, G28, C58, G32, C14, G18 Keywords value at risk, backtesting, volatility scaling, Basel II, stable distribution, Hurst...
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Risk Management in Manufacturing in Selected Companies
VLČKOVÁ, Tereza
This dissertation identifies possible risks in three companies operating in different areas within the national economy. Primary attention is paid to the risks listed in the A group of the ABC method, which form 20 % of the causes, but create 80 % of the consequences. Overall awareness of these risks among the managers is evaluated and suitable precautions reducing a negative impact of these risks on the company are recommended.
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Business Intention of Construction Company focused on Timber Constructions
Grossmann, Jiří ; Srba, Martin (referee) ; Hromádka, Vít (advisor)
The thesis includes business intention of construction company in the form of a feasibility study. Planned company deals with the realization of timber-framed buildings that are built by hand directly on the construction site. The introductory part describes basic knowledge of the investment projects planning. One subchapter shortly describes the timber construction system. Parts of the business intention are oriented on corporate strategy, marketing, production technology, manpower, economic a financial analysis and risk management. In conclusion is an overall assessment of the project feasibility.
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Rizika projektového řízení při realizaci stavebních akcí
Černá, Tereza
The aim of this thesis is the draft of risk management model applicable in construction companies providing the service "turnkey". The first part focuses on project management and risk management in general. The second part is the whole issue applied to construction companies providing the service "turnkey". First, the identification of bearing assets of businesses is performed, and their risks are then defined. Load-bearing assets and their risks are sought in the internal and external environment using PESTE analysis and Porter's model of competitive forces. Afterwards, the most serious-risks are selected. Selected risks are supplied with the amount of potential damage and the probability of its occurrence is determined. The significance of selected risk is captured in the risk matrix. The results of the thesis are proposals for strategies "4 T" Risk Management for management of companies.
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