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Experimental 3D printer for the selective laser sintering of polymers
Kroutil, Tomáš ; Čížek, Petr (referee) ; Paloušek, David (advisor)
The diploma thesis deals with design and realization of experimental 3D printer for selective laser sintering of plastic powders. The output of the work is a device that can create the main process conditions for laser sintering. A diode laser is used in the device, which allows aluminum composite powders to be processed. The printer allows you to heat up the applied layer of powder and set-up space. The research section focuses on similar equipment, process parameters, laser technology and control system. The design section contains solution variants and a description of the chosen solution.
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Design of adaptive mirror for high power laser applications
Kroutil, Tomáš ; Zatočilová, Aneta (referee) ; Koutný, Daniel (advisor)
Bachelor thesis deals with design and production of the prototype of adaptive mirror for high power lasers. Deformation of mirror is possible by a set of tensile elements and air pressure. The deformation of reflective surface is in tenths of millimeters. The research part is devoted to laser technology with adaptive optics. The design part contains several design variants and optimal solution, which was chosen for realization. Real deformation of reflective surface was evaluated by 3D scanner.
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Predictive accuracy of competing Value-at Risk specifications during crisis : an application to CEE financial markets
Kroutil, Tomáš ; Baruník, Jozef (advisor) ; Seidler, Jakub (referee)
The recent worldwide Financial Crisis has increased the need for reliable financial risk measurement and management. In this thesis we evaluate and compare the accuracy of one-day-ahead out-of-sample forecasts of various Value-at-Risk models through a comprehensive assessment framework using crisis data of three CEE stock market indices (PX, WIG20 and BUX) and two benchmark stock indices (S&P 500, DAX). For building the VaR specifications we employ several GARCH extensions allowing either for asymmetry in volatility such as EGARCH, TGARCH and APARCH or long memory like FIGARCH and HYGARCH. Apart from conditional heteroscedasticity models, we also utilize realized volatility estimated by long memory ARFIMA and HAR. Individual volatility models are combined with full parametric approach, filtered historical simulation or filtered extreme value theory. This thesis shows that while VaR specifications based on logarithmic realized volatility, TGARCH and APARCH perform best overall, the benchmark - RiskMetrics model - is not significantly outperformed. The best performing model proves to be the TGARCH-t FHS, which is a combination of asymmetric and heavy-tailed GARCH filter with a historical simulation based approach.
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Bank and Insurance Company
Kroutil, Tomáš ; Hrdý, Martin (advisor) ; Dědek, Oldřich (referee)
The aim of this paper is to outline the risks that banks and insurance companies are exposed to, as the institutions that we frequently come to contact, to compare different risk profiles of these two institutions with respect to their dissimilar business nature and unequal regulation. Main attention is given to three fundamental phases of the risk management process: identification, quantification and control of risks. We also focus on the legislative and regulatory framework of banking and insurance on the domestic, European as well as international level including expected future development. This paper pursues to be as up to date as possible, works with current versions of law, ordinances and regulatory concepts such as New Basel Capital Accord or Solvency II. Powered by TCPDF (www.tcpdf.org)
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Experimental 3D printer for the selective laser sintering of polymers
Kroutil, Tomáš ; Čížek, Petr (referee) ; Paloušek, David (advisor)
The diploma thesis deals with design and realization of experimental 3D printer for selective laser sintering of plastic powders. The output of the work is a device that can create the main process conditions for laser sintering. A diode laser is used in the device, which allows aluminum composite powders to be processed. The printer allows you to heat up the applied layer of powder and set-up space. The research section focuses on similar equipment, process parameters, laser technology and control system. The design section contains solution variants and a description of the chosen solution.
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Predictive Accuracy of Competing Value-at-Risk Specifications during Crisis: An Application to CEE Financial Markets
Kroutil, Tomáš ; Baruník, Jozef (advisor) ; Seidler, Jakub (referee)
The recent worldwide Financial Crisis has increased the need for reliable financial risk measurement and management. In this thesis we evaluate and compare the accuracy of one-day-ahead out-of-sample forecasts of various Value-at-Risk models through a comprehensive assessment framework using crisis data of three CEE stock market indices (PX, WIG20 and BUX) and two benchmark stock indices (S&P 500, DAX). For building the VaR specifications we employ several GARCH extensions allowing either for asymmetry in volatility such as EGARCH, TGARCH and APARCH or long memory like FIGARCH and HYGARCH. Apart from conditional heteroscedasticity models, we also utilize realized volatility estimated by long memory ARFIMA and HAR. Individual volatility models are combined with full parametric approach, filtered historical simulation or filtered extreme value theory. This thesis shows that while VaR specifications based on logarithmic realized volatility, TGARCH and APARCH perform best overall, the benchmark - RiskMetrics model - is not significantly outperformed. The best performing model proves to be the TGARCH-t FHS, which is a combination of asymmetric and heavy-tailed GARCH filter with a historical simulation based approach. Keywords: Value-at-Risk, realized volatility, GARCH extensions, quantile modeling,...
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Predictive accuracy of competing Value-at Risk specifications during crisis : an application to CEE financial markets
Kroutil, Tomáš ; Baruník, Jozef (advisor) ; Seidler, Jakub (referee)
The recent worldwide Financial Crisis has increased the need for reliable financial risk measurement and management. In this thesis we evaluate and compare the accuracy of one-day-ahead out-of-sample forecasts of various Value-at-Risk models through a comprehensive assessment framework using crisis data of three CEE stock market indices (PX, WIG20 and BUX) and two benchmark stock indices (S&P 500, DAX). For building the VaR specifications we employ several GARCH extensions allowing either for asymmetry in volatility such as EGARCH, TGARCH and APARCH or long memory like FIGARCH and HYGARCH. Apart from conditional heteroscedasticity models, we also utilize realized volatility estimated by long memory ARFIMA and HAR. Individual volatility models are combined with full parametric approach, filtered historical simulation or filtered extreme value theory. This thesis shows that while VaR specifications based on logarithmic realized volatility, TGARCH and APARCH perform best overall, the benchmark - RiskMetrics model - is not significantly outperformed. The best performing model proves to be the TGARCH-t FHS, which is a combination of asymmetric and heavy-tailed GARCH filter with a historical simulation based approach.
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Bank and Insurance Company
Kroutil, Tomáš ; Hrdý, Martin (advisor) ; Dědek, Oldřich (referee)
The aim of this paper is to outline the risks that banks and insurance companies are exposed to, as the institutions that we frequently come to contact, to compare different risk profiles of these two institutions with respect to their dissimilar business nature and unequal regulation. Main attention is given to three fundamental phases of the risk management process: identification, quantification and control of risks. We also focus on the legislative and regulatory framework of banking and insurance on the domestic, European as well as international level including expected future development. This paper pursues to be as up to date as possible, works with current versions of law, ordinances and regulatory concepts such as New Basel Capital Accord or Solvency II. Powered by TCPDF (www.tcpdf.org)
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Design of adaptive mirror for high power laser applications
Kroutil, Tomáš ; Zatočilová, Aneta (referee) ; Koutný, Daniel (advisor)
Bachelor thesis deals with design and production of the prototype of adaptive mirror for high power lasers. Deformation of mirror is possible by a set of tensile elements and air pressure. The deformation of reflective surface is in tenths of millimeters. The research part is devoted to laser technology with adaptive optics. The design part contains several design variants and optimal solution, which was chosen for realization. Real deformation of reflective surface was evaluated by 3D scanner.
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Design of adaptive mirror for high power laser applications
Kroutil, Tomáš ; Zatočilová, Aneta (referee) ; Koutný, Daniel (advisor)
Bachelor thesis deals with design and production of the prototype of adaptive mirror for high power lasers. Deformation of mirror is possible by a set of tensile elements and air pressure. The deformation of reflective surface is in tenths of millimeters. The research part is devoted to laser technology with adaptive optics. The design part contains several design variants and optimal solution, which was chosen for realization. Real deformation of reflective surface was evaluated by 3D scanner.
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