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Řízení rizik v komerční pojišťovně
Strýček, Tomáš
The diploma thesis deals with current issues of risk management in a selected insurance company. The thesis is conceptually divided into two parts the literature recherche and the empirical part. The first section introduces the individual risks and the basic methods of the quantification of the risks which affect the functioning of commercial insurances. A new system of European insurance regulation, Solvency II, is also described. The empirical part of the diploma thesis deals with the risk quantification of the selected insurance company according to the standard and internal model. The thesis is concluded with the evaluation of the risk management in the selected insurance company and of the company preparedness for the regulatory regime Solvency II. Based on this quantification, the recommendations are put forward to improve the risk management of the selected insurer.
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Postupy homogenizace pojistného kmene
Hrouz, David
This diploma thesis deals with transferring the risk of a insurance company to another subject. The basic requirement is to homogenize the selected insurance portfolio. The amount of capital required is determined by identifying and quantifying the risk. Adjusted indicator of Economic value added (EVA) determines the optimal ratio of the retention and the risk transferred. There are several factors that can affect the amount of the retained risk. The main objective is to determine the amount of the optimal retention itself and select the appropriate type of reinsurance. The recommendation is based on the current development of expenses on insurance claims.
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Řízení rizik v pojistné praxi
Dostálová, Tereza
The diploma thesis deals with the risk management in the insurance practice. The thesis is divided into two parts -- the literature review and the empirical part. In the first section are identified risks endangering the insurance company in their business activities. There are described arrangements risks prevention and elimination. There are also given the basic risks quantification methods. The thesis also describes the system of risk management in Solvency II directive. Basic processes, procedures and methods of the risk management in AXA insurance company are described in the empirical section. In addition is performed a quantification of risks of the selected insurer. Based on this quantification of risks and the risk management analysis, there are suggested further methods and arrangements which may lead to improved risk management for selected insurer.
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Investice do energetických komodit
Strouhalová, Šárka
The diploma thesis deals with energy commodities investments. The content of thesis is trough analysis of markets to identify key factors affecting supply, demand and prices of energy commodities. By correlation analysis examines the relationships between energy commodities, stocks and the business cycle. Processing time series models create predictions of energy commodities prices. Using the Value at Risk method to quantify the risk, which investor has to accept in the case of investing in energy commodities. In conclusion, based on the results obtained, formulates investment recommendation.
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Komparace dopadů metod měření úrokového rizika na kapitálové požadavky
Boleslav, Martin
The goal of the paper is to compare impacts of interest rate risk measuring meth-ods on capital requirements. The first section identifies methods for measuring interest rate risk and capital requirements for interest rate risk set by regulators. The second section compares capital requirements of model portfolio calculated by using standardized methods as well as internal models.
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Stochastic Programming Methods for Investment Decisions
Kubelka, Lukáš ; CFA, Tomáš Menčík, (referee) ; Popela, Pavel (advisor)
This thesis deals with methods of stochastic programming and their application in financial investment. Theoretical part is devoted to basic terms of mathematical optimization, stochastic programming and decision making under uncertainty. Furter, there are introduced basic principles of modern portfolio theory, substantial part is devoted to risk measurement techniques in the context of investment, mostly to the methods Value at Risk and Expected shortfall. Practical part aims to creation of optimization models with an emphasis to minimize investment risk. Created models deal with real data and they are solved in optimization software GAMS.
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Use of mathematical methods in creating an investment portfolio
Holub, Miroslav ; Novotná, Veronika (referee) ; Janková, Zuzana (advisor)
The bachelor thesis is focused on the use of mathematical methods in creating an investment portfolio, which is designed for small investor. The theoretical part of the thesis describes the necessary knowledge to understand Markowitz model, selected indicators of financial analysis and the Value at Risk method. The practical part contains a selection of investment instruments traded on the US market according to established criteria, the creation of a real portfolio of these investment instruments and the final evaluation of results.
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Value at Risk in R
ŽIŠKA, František
This thesis explores multiple methods of calculating currency risk with the use of value at risk, as well as implementing these methods in code language R. The first part of this thesis is theoretical and explains and proves three methods of assessing parametric and nonparametric models of value at risk and shows how precise they are and what disadvantagesthese models pose. The second part of this thesis focuses on implementing these value at risk calculation methods into code language R, resulting in code, which is able to calculate currency risk with these different value at risk methods using user input of needed values.
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Calculation of capital requirements of market risk for options on stock's basket
Lendacký, Peter ; Myška, Petr (advisor) ; Večeř, Jan (referee)
The goal of the paper is to compare different approach in calculation of capital requirement of market risk for options on stock's basket and describe their impact on selected instrument. The first part of the paper describes possible approaches for the capital requirement calculation, namely Standardized approach and Internal model approach, and the theoretical base for option pricing. An instrument with the embedded option on equities was chosen to show the impact. Although the instrument is valued using Monte Carlo simulation, one chapter is devoted to Black-Scholes model as the base model for option pricing. Powered by TCPDF (www.tcpdf.org)
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Quantitative methods in finance
Zboňáková, Lenka ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
In the present thesis we deal with the quantitative risk measures estimating the influence of market risk on the investments to the financial instruments. The most commonly used measure is Value at Risk which we introduce with its characteristics and modifications. Applying the methods to real data we deal with the problem of approximation of its distribution, especially in the multidimensional cases when the risk factors are dependent on each other. This leads us to explore copula functions that are in the thesis used to include the dependence structures of the risk factors to calculation of the risk measures. Chosen methods of approximation and evaluation of the risk measures are applied to real data and stated with outputs and their comparison.
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