本研究針對退休基金管理的兩項重要議題：提撥政策與資產配置作最適規劃之探討。由於傳統退休基金的評價僅考慮單一期間的離散時間模型，不若多期規劃的效率性，因此，本研究考量連續時間下，利用控制理論觀點，將提撥金額與資產配置視為可調節的因子，以風險最小化為最適定義，提供基金多期管理的有效方法。 首先，為充分反映退休基金管理時所面臨的不確定因素，本研究假設資產價值服從幾何布朗運動，並且經由隨機微分方程式描述退休基金所累積資產與應計負債的動態隨機性質。其次，考量基金管理所面臨的提撥風險與清償風險，給定能夠量化這些風險的評估測度，藉以監督退休基金於管理期間的經營績效，並且利用Bellman方程式求出最適的基金提撥與資產配置策略。 最後以勞動基準法規範下的企業退休金計劃為實證對象，透過動態模擬估計模型中之參數，並且利用數值方法求出所需的函數值，將控制理論與情境模擬連結，藉以檢視現行固定給付退休基金之最適策略。由實證結果可知，透過本研究的方法的確可以有效管理基金同時符合財務清償能力的要求。利用動態規劃所得的最適策略與給定的風險評估函數相關，因此，基金決策者可以依據基金的特性給定適當的風險評估函數，依照不同的投資期限擬定合適的基金策略。 / This study explores two critical issues in pension fund management: funding policy and asset allocation. The traditional valuation of pension fund is restricted in one-period setting under discrete-time framework, and it is not efficient comparing to the continuous-time models. Therefore, in this study, control theory is employed to obtain the optimal strategy based on a specific plan dynamics. Employer's contributions and investment proportions are treated as the controllers in our model. Optimal solutions are obtained by minimizing the given risk performance in monitoring the multi-period fund management. First, the stochastic differential equations are constructed to describe the dynamics of the funding levels and the accrued liabilities. Geometric Brownian motions are used to model the assets held by the fund manager. Secondly, a stochastic control model with given risk measurement is formulated in a continuous-time framework to investigate the optimal decisions. In our approach, the plan's normal costs and accrued liabilities are simulated through plausible scenarios while the optimal contribution and asset allocation are solved through Bellman equation. At last, a specific pension scheme under the regulation of the Taiwan labor standards law is studied for numerical illustrations. A monitoring mechanism linking plausible scenarios and the closed-form solutions are employed to scrutinize the funding policy and asset allocation. The optimal strategies are estimated through dynamic programming under realistic workforce scenario. According to the result, it shows that the methodology in this study can assist the fund manager in obtaining the plan's financial soundness. Meanwhile, the optimal strategy can fully incorporate the given risk measurement. Hence, the policy maker can input certain managerial considerations into the performance measure to investigate the stability and solvency issues.

This dissertation is based on the hypothesis that a third dimension, namely investment time horizon, can add value to the more conventional two-dimensional methodology of assessing the relative risk and return attributes of various assets and portfolios in order to enhance investment decisions. This study shows that time horizons should be considered in the investment decision making process and provides concrete evidence that a methodology that is not cognizant of investment time horizon is prone to extensive long-term opportunity cost risk. In addition to providing evidence of investment time horizon relevance, the study makes suggestions as to how time horizons could be incorporated into the risk return assessments of various asset classes and also presents a framework for the more holistic assessment of asset class properties while incorporating time horizons. / Business Management / Thesis (M. Com. (Business Management))

The subject of this diploma thesis is managing credit risk in banks, as the most significant risk faced by banks. The aim of this work is to define the basic techniques, tools and methods that are used by banks to manage credit risk. The first part of this work focuses on defining these procedures and describes the entire process of credit risk management, from the definition of credit risk, describing credit strategy and policy, organizational structure, defining the most used credit risk mitigation tools to the regulatory requirements for credit risk management. The second part gives a more detailed view to credit risk measurement and evaluation and possibilities of credit risk hedging. Last part presents credit risk management in practise illustrated by the example of chosen bank.

This diploma thesis "A Performance Comparison of in Czech Republic available mutual funds and ETFs from the view of CZK investor" elaborates on collective investing in Czech Republic; focusing on mutual funds and their exchange traded alternatives in ETFs. In the thesis, a history of Czech collective investments' development is briefly mentioned and of ETFs' beginnings in the US, also a legislative framework for the mutual funds in CZ is shortly discussed; furthermore, different approaches to fund classification based on various criteria are provided. An impact of fund fees and expenses is also analysed. A Current situation on the capital market of funds and ETFs and its trends are showed in many graphs and tables. In the second part of the thesis, author introduces not only the basic ones but also the more sophisticated methods of portfolio's or fund's performance measurements, including yields, risks, risk-adjusted yields etc... The third and last chapter aims at application of the previously mentioned methods on a selection of 20 funds and ETFs; therefore building a financial model enabling that. The analysis is viewed as from the CZK investor, thus all calculations are made in CZK.

Diploma thesis deals with the issue of systemic risk and its impact on the financial system. In terms of the explanation of the individual regularities analyses principles of systemic risk and its impact on the financial sector. The first part of this work is dedicated to a complex analysis of the systemic risk sources and a description of different measurement methods among others also dedicated to detection of systemically important institutions. The analytical part demonstrates an application of one of the model for systemic risk measurement on the real data from the United States of America between years 1990 and 2011 and the analysis of the newly adopted Dodd-Frank Act regulation. The main merit of this work is to describe and evaluate the complex perspective of the systemic risk, which is a prerequisite for its successful application and management.

Orientador: Robison José Quitério / Resumo: Introdução: Em decorrência do número elevado de comorbidades associadas à Doença Arterial Coronariana (DAC), os modelos de previsão de risco para cirurgia cardíaca foram desenvolvidos com a finalidade de melhor caracterizar os fatores que influenciam os resultados deste procedimento. Além dos escores de risco utilizados mundialmente “European System for Cardiac Operative Risk Evaluation” (EUROSCORE II) e “Society of Thoracic Surgeons” (STS), a Variabilidade da Frequência Cardíaca (VFC) tem surgido como um novo instrumento de previsão do risco cardiovascular e cirúrgico. Objetivo: Caracterizar os pacientes eletivos para cirurgia de revascularização do miocárdio na região de Marília-SP-Brasil, quanto aos fatores de risco e controle neural do coração; Verificar se existe correlação entre os índices da VFC e os escores de risco cirúrgico EUROSCORE II e STS. Amostra: Foi composta por indivíduos de ambos os sexos, acima de 50 anos, eletivos para cirurgia de revascularização do miocárdio (Hospital Santa Casa de Misericórdia de Marília). O Grupo Controle (GC) foi composto por indivíduos de ambos os sexos, acima de 50 anos, saudáveis. Procedimentos do Estudo: Foi realizada a anamnese na qual foram avaliados os fatores de risco para doença cardiovascular. O registro do intervalos RR foi obtido na postura decúbito dorsal, por 20 minutos, em respiração espontânea. Os índices da VFC (lineares e não lineares) foram analisados, comparados com um grupo controle e correlacionados com valores ... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: Introduction: Due to the high number of comorbidities associated with Coronary Artery Disease (CAD), risk prediction models for cardiac surgery were developed with the purpose of better characterizing the factors that influence the results of this procedure. In addition to the European System for Cardiac Operative Risk Evaluation (EUROSCORE II) and Society of Thoracic Surgeons (STS) worldwide, Heart Rate Variability (HRV) has emerged as a new tool for predicting cardiovascular risk and surgical. Objective: To characterize elective patients for myocardial revascularization surgery in the Marília-SP-Brazil region, regarding risk factors and neural control of the heart; To verify if there is a correlation between the HRV indices and the surgical risk scores EUROSCORE II and STS. Sample: It was composed of individuals of both sexes, over 50 years old, elective for myocardial revascularization surgery (Santa Casa de Misericórdia Hospital of Marília). The Control Group (CG) was composed of individuals of both genders, over 50 years, healthy. Study Procedures: An anamnesis was performed in which the risk factors for cardiovascular disease were evaluated. RR interval recording was obtained in the dorsal decubitus position for 20 minutes in spontaneous breathing. The HRV indices (linear and non-linear) were analyzed, compared to a control group and correlated with values obtained from EUROSCORE II and STS. The data were organized as descriptive statistics, with values of mean and stan... (Complete abstract click electronic access below) / Mestre

Sammanfattning Denna studie har utförts på en svensk medelstor fabrik som tillverkar gipsbaserade byggprodukter och tillhör en internationell koncern. Vissa arbetsuppgifter i fabriken innebär att personalen utför planerat underhåll och rengöring i områden som klassificeras som slutna utrymmen med otillräcklig ventilation där det kan bildas en farlig atmosfär och/eller att det kan vara svårt att komma in och ut. Brist på syre, brand och explosionsrisker kan leda till allvarliga, till och med dödliga olyckor i slutna utrymmen. Vid studiens start uppfyllde fabrikens befintliga rutiner för arbete i slutna utrymmen inte säkerhetskraven från koncernen och inte heller från lagstiftningen. Koncernen har uppmanat fabriken att ta fram ”bäst praxis” för arbete i slutna utrymmen så att andra fabriker kan implementera samma typ av åtgärder. Syftet med denna studie är därför att utveckla ett verktyg för att förebygga ohälsa och olycksfall i arbetet i slutna utrymmen. Studien avgränsas till att undersöka riskerna på två slutna utrymmen i fabriken.Studien utfördes som en fallstudie. Datainsamling har gjorts genom litteraturstudier, en översikt av lagstiftningskrav, granskning av fabrikens befintliga dokument och verktyg för riskbedömningar, anteckningar under projektmöten, intervjuer av medlemmar i projektgruppen, samt kunskapsinhämtningen via deltagandet i endagsseminarium om ”arbete i slutet utrymme”. För bedömning av kvalitet och funktionalitet av verktyget genomfördes en workshop med öppna frågor.Utifrån dessa forskningsaktiviteter har ett verktyg utvecklats för att systematiskt identifiera och hantera risker i slutna utrymmen på den aktuella fabriken som har följande cykel: 1) Bakgrund, 2) Kartläggning, 3) Risklista, 4) Stratifiering, 5) Riskbedömning, 6) Organisatoriska och tekniska åtgärder, 7) Implementering, 8) Revisioner, 9) Inspektioner, 10) Korrigerande åtgärder.Verktyget kommer att implementeras för arbete även i de andra slutna utrymmena i fabriken. Nästa steg är att testa verktyget i andra gipsfabriker i koncernen och justera efter behov samt sprida kunskapen vidare.Vi rekommenderar att 1) Fabrikens räddningsteam utvecklar specifik nöd-plan för varje slutet utrymme samt ett schema för inspektion av utrustning, samt att 2) Projektgruppen utvecklar ”ett flöde” för att underlätta genomgång av rutinerna när arbete i slutna utrymmen behövs. / Abstract The research study presented in this master thesis was done in a Swedish medium-sized factory that manufactures plaster-based construction products and belongs to an international corporate group. Some work tasks in the factory involve staff carrying out scheduled maintenance and cleaning in areas that are classified as confined spaces with inadequate ventilation that can form a hazardous atmosphere, and/or that it is difficult to get in and out. Lack of oxygen, fire and explosion risks may result in serious, even fatal, accidents in confined spaces. At the start of this research study, the existing factory procedures for working in confined spaces did not fully meet the requirements of the corporate group, nor Swedish legislation. The corporate group has challenged the factory to develop "best practices" for work in confined spaces so that other factories can implement the same kind of counter measures. The aim of this study is therefore to develop a tool to prevent accidents by identifying and managing risks associated with work in confined spaces.The research study was performed as a case study. Data collection was done through literature studies and collection an overview of legislative requirements, review of existing company documents, risk assessment tools, notes during project meetings, interviews of the project team, as well as the acquisition of knowledge through participation in the seminar on "work in the confined spaces". To evaluate the quality of the tool, a workshop was conducted with open questions.Based on these research activities a tool is developed to systematically identify and manage risks in confined spaces at the current factory and has the following cycle: 1) Background, 2) Mapping, 3) Risk List, 4) Stratification, 5) Risk Assessment, 6) Organizational and technical counter measures, 7) Implementation, 8) Audits, 9) Inspections, 10) Corrective actions (continuous improvement)The tool can be implemented in the future for the other confined spaces in the factory. The next step is to test the tool in other gypsum factories in the Group and adjust as needed, and to spread the knowledge further.We recommend that 1) the factory Rescue Team develop specific emergency plans for each confined space as well as a schedule for equipment inspection, and that the 2) Project team develop a "flow" to facilitate the review of routines when work in confined spaces is required.

With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. With this thesis, we aim to improve the pricing, risk measurement, and performance attribution of interest rate swap portfolios. The paper is divided into six main parts, by subject, to aid in achieving these goals. To begin with, we validate all cash flows with SEB to increase the validity of the results. Next, we implement an optimization-based model developed by Jörgen Blomvall to estimate multiple yield curves.  By considering innovations of the daily in-sample curves, risk factors are computed with principal component analysis. These risk factors are then used to simulate one-day and ten-day ahead scenarios for the multiple yield curves using a Monte Carlo method. Given these simulated scenarios, risk measures are then computed. When backtested, these risk measurements give an indication on the overall accuracy of the methodology, including the estimated curves, the derived risk factors, and the simulation methodology. Along with the simulation, on each out-of-sample day, monetary performance attribution for the portfolios is also performed. The performance attribution indicates what drives the value change in the portfolio. This can be used in order to evaluate the estimated yield curves and derived risk factors. The risk measurement and performance attribution is done for three different portfolios of interest rate swaps on the EUR, USD, and SEK markets. However, the risk factors are only estimated for EUR data and used for all portfolios.  The main difference to previous work in this area is that, for all implementations, a multiple yield curve environment is studied. Different PCA algorithms are evaluated to increase the precision and speed of the risk factor calculation. Mean reverting risk factors are developed in the simulation framework, along with a Latin hypercube sampling method accounting for dependence in the random variables to reduce variance. We also study the EUR and SEK markets, while the focus in previous literature is on the USD market. Lastly, we calculate and backtest the risk measures value-at-risk and expected shortfall for one-day and ten-day horizons. Four different PCA methods are implemented, a bidiagonal divide and conquer SVD algorithm, a randomized SVD method, an Arnoldi method, and an optimization-based PCA algorithm. We opt to use the first one due to high accuracy and the ability to calculate all eigenpairs. However, we recommend to use the Arnoldi method in future implementations and to further study the optimization-based method. The Latin hypercube sampling with dependence method is able to produce random variables with the same correlation as the input variables. In the simulation, we are able to produce results that pass all backtests for the risk measures considering the USD portfolio. For the EUR and SEK portfolios, it is shown that the risk measures are too conservative. The results of the mean reversion method indicate that it produces slightly less conservative estimates for the ten-day horizon. In the performance attribution, we show that we are able to produce results with small error terms, therefore indicating accurately estimated term structures, risk factors, and pricing. We conclude that we are partly able to fulfill the stated purpose of this thesis due to having produced accurate pricing and satisfactory performance attribution results for all portfolios, and stable risk measures for the USD portfolio. However, it is not possible to state with certainty that improved risk measurements have been achieved for the EUR and SEK portfolios. Although, we present several alternative approaches to remedy this in future implementations.

The diploma thesis focuses on the regulatory framework of the BASEL III in coherence with risk management and measurement of market and credit risks. The accent is focused upon methodology of calculation and determination of the capital requirements of above mentioned risks. In the introductory part of the thesis are mentioned basic procedures regarding risk management as well as theoretical methodology and development of calculation of the capital requirements in coherence with current standard BASEL III. In the practical part of the thesis are presented capital management policies with regards to BASEL III in Deutsche Bank AG, globally presented institution and Komerční banka, a.s., operating on the Czech market. Accented are mainly the expositions of the institutions and the size of the capital required by the regulatory framework.

This thesis is focused on assessing the economic risk for the investor in the implementation of the investment project. An investor's decision on the implementation of the project depends on the economic feasibility analysis identified outputs, these outputs are burdened by economic uncertainty, which raises the risk. Therefore, it is necessary to manage risk. The process of risk management consists of a phase of risk analysis and risk management phase. In the analysis phase is to identify risks, assessments of materiality and risk measurement. In the phase of risk management risks identified evaluate and establish measures to prevent their occurrence or impact.