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Lifetime Financial Planning and Associated Risks
Janečková, Barbora ; Vaníček, Karel (advisor) ; Hurt, Jan (referee)
This thesis deals with investment models and with their extensions involving human capital. We mention classic models known from modern portfolio theory, Markowitz model and Capital asset pricing model.We define conception of human capital, describe it's three specific risks and introduce models which deal with the three risks. Then we focuse on one of the mentioned models, we use theory of copulas to extend the model. For purpose of this extension the thesis contains basic definitions and properties of copula functions. Then we show the algorithm of choosing best-fit copula by using concrete data and make up an example to demonstrate the difference in allocation advice obtained from the original and the extended model.
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Statistical techniques for Loss Given Default Modeling
Betíková, Veronika ; Vaníček, Karel (advisor) ; Zichová, Jitka (referee)
Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Karel Vaníček Supervisor's e-mail address: karelvanicek@seznam.cz Abstract: The aim of this thesis is to introduce Loss given default as one of the parameters of credit risk. The thesis discusses the basic characters and meth- ods of LGD calculation. It also points out the common use of linear regression models and generalized linear models which are used in practice to estimate LGD parameter. Individual mathematical models and statistical methods for estima- tions of the parameters of such models are concisely described and consequently applied on simulated data. Keywords: LGD, beta regression, OLS, estimation 1
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Lifetime Financial Planning and Associated Risks
Janečková, Barbora ; Vaníček, Karel (advisor) ; Hurt, Jan (referee)
This thesis deals with investment models and with their extensions involving human capital. We mention classic models known from modern portfolio theory, Markowitz model and Capital asset pricing model.We define conception of human capital, describe it's three specific risks and introduce models which deal with the three risks. Then we focuse on one of the mentioned models, we use theory of copulas to extend the model. For purpose of this extension the thesis contains basic definitions and properties of copula functions. Then we show the algorithm of choosing best-fit copula by using concrete data and make up an example to demonstrate the difference in allocation advice obtained from the original and the extended model.
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