Řízení finančních rizik
| Thesis title in thesis language (Slovak): | Řízení finančních rizik |
|---|---|
| Thesis title in Czech: | Řízení finančních rizik |
| Thesis title in English: | Financial Risks Control |
| Academic year of topic announcement: | 2009/2010 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Jan Hurt, CSc. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 03.11.2009 |
| Date of assignment: | 03.11.2009 |
| Date and time of defence: | 28.06.2010 00:00 |
| Date of electronic submission: | 28.06.2010 |
| Date of proceeded defence: | 28.06.2010 |
| Opponents: | RNDr. Jitka Zichová, Dr. |
| Guidelines |
| Studentka pojedná o základních typech rizik (kreditním, tržním a likvidity). Popíše kvantitativní charakteristiky těchto rizik a bude se věnovat pravidlům rozhodování za nejistoty. Vybrané metody bude numericky ilustrovat. |
| References |
| [1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Hull, J.C.: Options, Futures, and other Derivative Securities. 4th ed., Prentice-Hall. Upper Saddle Rive 2000. [3] Shaw, W.: Modeling Financial Derivatives with Mathematica. Cambridge University Press. Cambridge 1998. [4] Morgan, J. P., Reuters: RiskMetrics ? Technical Document. 4th ed., Morgan Guaranty Trust Company. New York 1996. [5] Hurt, J.: Simulační metody. Skripta SPN. Praha 1982. [6] Fuchs, K.: Hodnocení portfolia opcí. Diplomová práce. UK MFF Praha 2003. [7] Luenberger, D. G.: Investment Science. Oxford University Press. New York 1998. [8] Haerdle, W., Kleinow, T., Stahl, G.: Applied Quantitative Finance.Springer. Berlin 2002. [9] Seydel, R.: Tools for Computational Finance. Springer. Berlin 2002. [10] Gamerman, D.: Markov Chain Monte Carlo. Chapman & Hall. London 1997. [11] Credit Suisse Financial Products. Credit Risk+. Credit Suisse First Boston. www.csfb.com/creditrisk. 1997. [12] Bluhm, C. et al.: Credit Risk Modeling. Chapman & Hall/CRC. Boca Raton 2003. [13] Schoenbucher, P. J.: Credit Derivatives Pricing Models. Wiley. Chichester 2003. [14] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer. New York 2004. [15] Boyle, P. et al.: Monte Carlo Methods for Security Pricing. In: Option Pricing, Interest Rates and Risk Management. Jouni, E. et al., eds. Springer. New York 2004. 185 - 238. [16] Varian, H. R. (ed.): Computational Economics and Finance. Modeling and Analysis with Mathematica. Springer-TELOS. New York 1996. [17] Pflug, G. Ch.: Some remarks on the Value-at-Risk and the conditional Value-at-Risk. To appear. [18] Krokhmal, P. et al. (eds.): Risk Management and Optimization in Finance. Special Issue. J. of Banking & Finance 30, February 2006. [19] Wolfram, S.: The Mathematica Book. 5th ed. Wolfram Media. Champaign (IL) 2003. [20] Dahlstedt, R. a kol.: On the usefulness of standard industrial classifications in comparative financial statement analysis. European Journal of Operational Research 79 (1994). 230-238. [21] Wolfram, S.: Mathematica v. 6.0.3. Help/tutorial/PartitioningDataIntoClusters. [22] Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. http://library.wolfram.com/infocenter/Conferences/7230/. Champaign (IL) 2008. [23] Franke, J., Haerdle, W., Hafner, Ch.: Statistics of Financial Markets. Springer. Berlin 2004. [24] Cipra, T.: Finanční ekonometrie. Ekopress. Praha 2008. [25] Tibilleti, L.: The Incremental VaR. In: Kohlmann, M., Tang, S. (eds): Mathematical Finance. Birkaeuser. Basel 2001. pp. 355-364. [26] Baník, P.: Metody optimalizace ve financích. Diplomová práce. UK MFF Praha 2008. [27] Brigham, E. F.: Fundamentals of Financial Management. 6th edition. The Dryden Press. Forth Worth 1992. |
| Preliminary scope of work |
| Řízení finančních rizik |
| Preliminary scope of work in English |
| Financial Risks Control |