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Modelling mortality by causes of death
Valter, Boris ; Mazurová, Lucie (advisor) ; Hurt, Jan (referee)
The aim of this thesis is to provide an overview of methods used in cause-of-death mortality analysis and to demonstrate the application on real data. In Chapter 1 we present the continuous model based on the force of mortality and review the approach using copula functions. In Chapter 2 we focus on the multinomial logit model formulated for cause-specific mortality data, discuss life tables construction and derive life expectancy. In Chapter 3 we apply the multinomial logit model on the data from Czech Statistical Office. We identify the regression model, check its assumptions, present the outputs including the fitted life expectancy, and predicted mortality rates. Later in Chapter 3 we consider several stress scenarios in order to demonstrate the impact of shocked mortality rates on the life expectancy. In Chapter 4 we apply copula functions according to the methodology covered in Chapter 1 and consider cause-elimination stress scenario.
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Modelling mortality by causes of death
Valter, Boris ; Mazurová, Lucie (advisor) ; Hurt, Jan (referee)
The aim of this thesis is to provide an overview of methods used in cause-of-death mortality analysis and to demonstrate the application on real data. In Chapter 1 we present the continuous model based on the force of mortality and review the approach using copula functions. In Chapter 2 we focus on the multinomial logit model formulated for cause-specific mortality data, discuss life tables construction and derive life expectancy. In Chapter 3 we apply the multinomial logit model on the data from Czech Statistical Office. We identify the regression model, check its assumptions, present the outputs including the fitted life expectancy, and predicted mortality rates. Later in Chapter 3 we consider several stress scenarios in order to demonstrate the impact of shocked mortality rates on the life expectancy.
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Importance and development of stress tests of banks in Czech Republic and the EU
Štefančíková, Michaela ; Radová, Jarmila (advisor) ; Rybák, Zdeněk (referee)
This thesis deals with the stress testing of banks in Czech Republic and the EU. The first part discusses the financial stability. Attention is paid mainly to different opinions of financial institutions and other experts. The first part includes the financial stability assessment tools of two major financial institutions that deal with financial stability (IMF and ECB). The second part is devoted to one the specific assessment tool for financial stability - stress testing. Stress testing part targets to include the latest theoretical knowledge that are related to stress testing. The third part deals with the stress testing of the banking sector in the Czech Republic and examines the evolution of stress scenarios and methods of stress tests, which are the responsibility of CNB. The fourth part analyzes in detail the stress scenarios and the results of stress tests of the banking sector in the Czech Republic. The last part of the thesis is devoted to the analysis of stress tests of the EU banking sector.
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