This Diploma Thesis covers the final evaluation topic in the educational program Step by step. In particular, it deals with the verbal description as a specific form of evaluation. In the theoretical part, the Thesis describes the Step by step program in general and within the contexts of its implementation into the Czech local educational system. The Thesis outlines the scope of the program and the applicable ways of evaluation. The second chapter deals with evaluation in general. Various kind and purpose of evaluation have been described in detail. Particular attention has been paid to the verbal evaluation as such. The research section of the Thesis studies and describes the various ways of wording and formulation in the verbal evaluation specifically. It covers both content and form of the final verbal evaluation. Key Words Program Step by step Evaluation Continuous evaluation Final evaluation Verbal evaluation Expected outcomes

I investigate the relationship between expected stock returns and trading volume. I collect together 522 estimates from 46 studies and conduct the first meta-analysis in this field. Use of Bayesian model averaging and Frequentist model averaging help me to discover the most influential factors that affect the return-volume relationship, since I control for more than 50 differences among primary articles such as midyear and type of data, length of the primary dataset, size of market, or model employed. In the end, I find out that the relation between expected stock returns and trading volume is rather negligible. On the other hand, the contemporaneous relation between returns and volume is positive. These two findings cut the mixed results from previously written studies. Moreover, the investigated relationship is influenced by the size of country of interest and the level of its development. Besides the primary studies that employ higher data frequency provide substantially larger estimates than the studies with data from longer time periods. On the contrary, there is no difference among different estimation methodologies used. Finally, I employ classical and modern techniques such as stem-based methodology for publication bias detection, and I find evidence for it in this field. 1

Instrumentos financeiros ativos estão diretamente expostos ao risco de inadimplência - nesse cenário, as instituições financeiras, a fim de manterem sua solvência, são obrigadas a estimarem certo montante capaz de suprir as perdas de crédito esperadas. Na crise financeira mundial de 2007-2008 os incumprimentos dos contratos imobiliários geraram grandes perdas de crédito - o tardio reconhecimento dessas perdas creditícias criou um cenário de insegurança e o questionamento por parte das instituições financeiras, que passaram a cobrar dos reguladores e emitentes das normas contábeis uma forma de provisionamento que melhor se adequasse ao mercado de crédito e que, de certa forma, proporcionasse melhores condições de preparação para as instituições financeiras, minimizando as perdas em épocas de crise. Nesse contexto, ocorre a emissão da norma internacional Financial Instruments do International Financial Reporting Standards (IFRS 9) que passa a vigorar, com adoção obrigatória a partir de 1º de janeiro de 2018. Esta norma prevê um provisionamento desde o início do contrato, ponderado pelo risco de crédito associado e uma revisão desse montante durante toda a vida do contrato, quando necessário. Essa nova dinâmica de cálculo requer tratamentos estatísticos específicos para que sejam corretamente tratadas as probabilidades de default, bem como os valores expostos passíveis de perda e suas variações no tempo. Dessa forma, tendo em mente os objetivos propostos, indica-se que: a) este trabalho abordou a nova dinâmica citada com o intuito de entender a relação da norma com os parâmetros de risco necessários para o cálculo do montante a ser provisionado, b) visando satisfazer a abordagem forward-looking e a incorporação de informações macroeconômicas, a partir da aplicação em dados simulados e através do tratamento estatístico da Análise de Sobrevivência e de modelos de stress testing, ofereceu tratamento para os parâmetros EAD e PD, respectivamente e c) como resultado dessas aplicações, observou-se que as estimações das perdas sob a IFRS9 são mais tempestivas quando comparadas à norma vigente, no sentido de que minimizam as perdas em épocas de crise dada a sua característica oportuna. Além disso, a abordagem sugerida através da Análise de Sobrevivência vai ao encontro do conceito de estágios pelo qual a nova norma é caracterizada. Para as análises realizadas foram utilizados dados simulados a partir de distribuições teóricas conhecidas dos parâmetros envolvidos no cálculo, a partir dos quais foram obtidos resultados que fornecem uma prévia do que se pode esperar na aplicação prática da IFRS9. / Active financial instruments are directly exposed to the risk of default - in this scenario, financial institutions, in order to maintain their solvency, are obliged to estimate a certain amount capable of supplying the expected credit losses. In the global financial crisis of 2007-2008, defaults on real estate contracts generated large losses of credit - the late recognition of these credit losses created a scenario of insecurity and the questioning of financial institutions, which started to charge regulators and issuers of accounting standards a form of provision that best suited the credit market and that, to a certain extent, provide better preparedness for financial institutions, minimizing losses in times of crisis. In this context, the Financial Instruments International Financial Reporting Standards (IFRS 9) will be issued, which will become effective, with mandatory adoption as of January 1, 2018. This provision provides for a provisioning from the beginning of the contract, weighted by the associated credit risk and a revision of that amount over the life of the contract, when necessary. This new dynamics of calculation requires specific statistical treatments so that the probability of default, as well as the exposed values of loss and its variations in time, are correctly treated. In this way, considering the proposed objectives, it is indicated that: a) this work addressed the new dynamics mentioned in order to understand the relation of the standard with the necessary risk parameters for the calculation of the amount to be provisioned, b) aiming to satisfy the forward-looking approach and the incorporation of macroeconomic information, from the application in simulated data and through the statistical treatment of Survival Analysis and stress testing models, offered treatment for the parameters EAD and PD, respectively, and c) as a result of these applications, it was observed that the estimates of the losses under IFRS9 are more timely when compared to the current norm as they minimize losses in times of crisis given its characteristics of anticipating losses. In addition, the approach suggested through Survival Analysis meets the concept of stages by which the new standard is characterized. For analyzes, simulated data from known theoretical distributions (of the parameters involved in the calculation) were used - the obtained results provides a preview of what can be expected in the practical application of IFRS9.

Gegenstand der vorliegenden Dissertation sind stochastische Kontrollprobleme, denen sich Agenten im Zusammenhang mit Entscheidungen auf Finanzmärkten gegenübersehen. Der erste Teil der Arbeit behandelt die Maximierung des erwarteten Nutzens des Endvermögens eines Finanzmarktinvestors. Für den Investor ist eine Beschreibung der optimalen Handelsstrategie, die zur numerischen Approximation geeignet ist sowie eine Stabilitätsanalyse der optimalen Handelsstrategie bzgl. kleinerer Fehlspezifikationen in Nutzenfunktion und Anfangsvermögen, von höchstem Interesse. In stetigen Marktmodellen beweisen wir Stabilitätsresultate für die optimale Handeslsstrategie in geeigneten Topologien. Für hinreichend differenzierbare Nutzenfunktionen und zeitstetige Marktmodelle erhalten wir eine Beschreibung der optimalen Handelsstrategie durch die Lösung eines Systems von stochastischen Vorwärts-Rückwärts-Differentialgleichungen (FBSDEs). Der zweite Teil der Arbeit beschäftigt sich mit optimalen Stopproblemen für einen Agenten, dessen Ertragsprozess von einem Ausfallsereignis abhängt. Unser Hauptinteresse gilt der Beschreibung der Lösungen vor und nach dem Ausfallsereignis und damit dem besseren Verständnis des Verhaltens des Agenten bei Auftreten eines Ausfallsereignisses. Wir zeigen wie sich das optimale Stopproblem in zwei einzelne Teilprobleme zerlegen lässt: eines, für das der zugrunde liegende Informationsfluss das Ausfallereignis nicht beinhaltet, und eines, in welchem der Informationsfluss das Ausfallereignis berücksichtigt. Aufbauend auf der Zerlegung des Stopproblems und der Verbindung zwischen der Optimalen Stoptheorie und der Theorie von reflektierenden stochastischen Rückwärts-Differentialgleichungen (RBSDEs), leiten wir einen entsprechenden Zerlegungsansatz her, um RBSDEs mit genau einem Sprung zu lösen. Wir beweisen neue Existenz- und Eindeutigkeitsresultate von RBSDEs mit quadratischem Wachstum. / This thesis studies stochastic control problems faced by agents in financial markets when making decisions. The first part focuses on the maximization of expected utility from terminal wealth for an investor trading in a financial market. Of utmost concern to the investor is a description of optimal trading strategy that is amenable to numerical approximation, and the stability analysis of the optimal trading strategy w.r.t. "small" misspecification in his utility function and initial capital. In the setting of a continuous market model, we prove stability results for the optimal wealth process in the Emery topology and the uniform topology on semimartingales, and stability results for the optimal trading strategy in suitable topologies. For sufficiently differentiable utility functions, we obtain a description of the optimal trading strategy in terms of the solution of a system of forward-backward stochastic differential equations (FBSDEs). The second part of the thesis deals with the optimal stopping problem for an agent with a reward process exposed to a default event. Our main concern is to give a description of the solutions before and after the default event and thereby better understand the behavior of the agent in the presence of default. We show how the stopping problem can be decomposed into two individual stopping problems: one with information flow for which the default event is not visible, and another one with information flow which captures the default event. We build on the decomposition of the optimal stopping problem, and the link between the theories of optimal stopping and reflected backward stochastic differential equations (RBSDEs) to derive a corresponding decomposition approach to solve RBSDEs with a single jump. This decomposition allows us to establish existence and uniqueness results for RBSDEs with drivers of quadratic growth.

Cette thèse se concentre sur des mesures du risque financier et la modélisation de la volatilité. L’objectifgénéral est : (i) de proposer de nouvelles techniques pour mesurer à la fois le risque systémique et lerisque à haute fréquence, et (ii) d’appliquer et d’améliorer les outils économétriques de modélisation etde prévision de la volatilité. Ce travail comporte quatre chapitres (papiers de recherche).La première partie de la thèse traite des questions liées à la modélisation et la prévision des mesuresdu risque à haute fréquence et du risque systémique. Plus précisément, le deuxième chapitre proposeune nouvelle mesure du risque systémique utilisée pour identifier les institutions financières d’importancesystémique (SIFIs). Basée sur une approche spécifique, cette mesure originale permet de décomposer lerisque global du système financier tout en tenant compte des caractéristiques de l’entreprise. Le troisièmechapitre propose des mesures du risque de marché intra-journalier dans le contexte particulier des donnéesà haute fréquence irrégulièrement espacées dans le temps (tick-by-tick).La deuxième partie de la thèse est consacrée aux méthodes d’estimation et de prévision de la volatilitéincluant directement des données à haute fréquence ou des mesures réalisées de volatilité. Ainsi, dans lequatrième chapitre, nous cherchons à déterminer, dans le contexte des modèles de mélange des fréquencesd’échantillonnage (MIDAS), si des regresseurs à haute fréquence améliorent les prévisions de la volatilitéà basse fréquence. Une question liée est de savoir s’il existe une fréquence d’échantillonnage optimaleen termes de prévision, et non de mesure de la volatilité. Le cinquième chapitre propose une versionrobuste aux jumps du modèle Realized GARCH. L’application porte sur la crise / This thesis focuses on financial risk measures and volatility modeling. The broad goal of this dissertationis: (i) to propose new techniques to measure both systemic risk and high-frequency risk, and (ii) toapply and improve advanced econometric tools to model and forecast time-varying volatility. This workhas been concretized in four chapters (articles).The first part addresses issues related to econometric modeling and forecasting procedures on bothsystemic risk and high-frequency risk measures. More precisely, Chapter 2 proposes a new systemic riskmeasure used to identify systemically important financial institutions (SIFIs). Based on a componentapproach, this original measure allows to decompose the risk of the aggregate financial system whileaccounting for the firm characteristics. Chapter 3 studies the importance and certifies the validity ofintraday High Frequency Risk (HFR) measures for market risk in the special context of irregularly spacedhigh-frequency data.The second part of this thesis tackles the need to improve the estimation/prediction of volatility bydirectly including high-frequency data or realized measures of volatility. Therefore, in Chapter 4 weexamine whether high-frequency data improve the volatility forecasts accuracy, and if so, whether thereexists an optimal sampling frequency in terms of prediction. Chapter 5 studies the financial volatilityduring the global financial crisis. To this aim, we use the largest volatility shocks, as provided by therobust version of the Realized GARCH model, to identify and analyze the events having induced theseshocks during the crisis.

När propositionen för ett reformerat studiestödssystem lades 1999 poängterades det att studiestödssystemet skulle bära sina egna kostnader. Trots det skrivs stora belopp av. Både Riksrevisionen och Riksgälden har visat att CSN inte använder vedertagna metoder vid beräkningen av det som förväntas gå förlorat på grund av misskötta betalningar. Uppsatsens syfte har varit att skatta vad misskötta betalningar väntas kosta staten i form av framtida avskrivningar samt beräkna vad det skulle innebära för individen att istället bära kostnaden. Som en del i det arbetet har även faktorer som påverkar sannolikheten för misskötta betalningar av studielån identifierats. Resultaten av denna uppsats har bland annat visat att sannolikheten för misskötta betalningar är lägre för individer med eftergymnasial utbildning, hög skuld och låg ålder. Statens kreditförluster på studielån för till exempel individer som blev återbetalningsskyldiga under 2012 förväntas bli mellan 100 och 338 miljoner kronor. Om denna kostnad istället skulle bäras av årskullen innebär det en kostnadsökning på 2,2-7,8 procent för en individ med genomsnittlig skuld.

In the field of VLSI circuit optimization, the scaling of semiconductor devices has led to the miniaturization of the feature sizes resulting in a significant increase in the integration density and size of the circuits. At the nanometer level, due to the effects of manufacturing process variations, the design optimization process has transitioned from the deterministic domain to the stochastic domain, and the inter-relationships among the specification parameters like delay, power, reliability, noise and area have become more intricate. New methods are required to examine these metrics in a unified manner, thus necessitating the need for multi-metric optimization. The optimization algorithms need to be accurate and efficient enough to handle large circuits. As the size of an optimization problem increases significantly, the ability to cluster the design metrics or the parameters of the problem for computational efficiency as well as better analysis of possible trade-offs becomes critical. In this dissertation research, several utilitarian methods are investigated for variation aware multi-metric optimization in VLSI circuit design and spatial pattern clustering. A novel algorithm based on the concepts of utility theory and risk minimization is developed for variation aware multi-metric optimization of delay, power and crosstalk noise, through gate sizing. The algorithm can model device and interconnect variations independent of the underlying distributions and works by identifying a deterministic linear equivalent model from a fundamentally stochastic optimization problem. Furthermore, a multi-metric gate sizing optimization framework is developed that is independent of the optimization methodology, and can be implemented using any mathematical programming approach. It is generalized and reconfigurable such that the metrics can be selected, removed, or prioritized for relative importance depending upon the design requirements. In multi-objective optimization, the existence of multiple conflicting objectives makes the clustering problem challenging. Since game theory provides a natural framework for examining conflicting situations, a game theoretic algorithm for multi-objective clustering is introduced in this dissertation research. The problem of multi-metric clustering is formulated as a normal form multi-step game and solved using Nash equilibrium theory. This algorithm has useful applications in several engineering and multi-disciplinary domains which is illustrated by its mapping to the problem of robot team formation in the field in multi-emergency search and rescue. The various algorithms developed in this dissertation achieve significantly better optimization and run times as compared to other methods, ensure high utility levels, are deterministic in nature and hence can be applied to very large designs. The algorithms have been rigorously tested on the appropriate benchmarks and data sets to establish their efficacy as feasible solution methods. Various quantitative sensitivity analysis have been performed to identify the inter-relationships between the various design parameters.

The purpose of fisheries management is to achieve a sustainable development of the activity, so that future generations can also benefit from the resource. However, the optimal harvesting strategy usually maximizes an economically important objective function formed by the harvester which can lead to the extinction of the resource population. Therefore, sustainability has been far more difficult to achieve than is commonly thought; fish populations are becoming increasingly limited and catches are declining due to overexploitation. The aim of this research is to determine an optimal harvesting strategy which fulfills the economic objective of the harvester while maintaining the population density over a pre-specified minimum viable level throughout the harvest. We develop and investigate the harvesting model in both deterministic and stochastic settings. We first employ the Expected Net Present Value approach and determine the optimal harvesting policy using various optimization techniques including optimal control theory and dynamic programming. Next we use real options theory, model fish harvesting as a real option, and compute the value of the harvesting opportunity which also yields the optimal harvesting strategy. We further extend the stochastic problem to include price elasticity of demand and present results for di¤erent values of the coefficient of elasticity.

Over the past decade vehicle judder caused by Disc Thickness Variation (DTV) has become of major concern to automobile manufacturers worldwide. Judder is usually perceived by the driver as minor to severe vibrations transferred through the chassis during braking [1-9]. In this research, DTV is investigated via the use of a Smart Brake Pad (SBP). The SBP is a tool that will enable engineers to better understand the processes which occur in the harsh and confined environment that exists between the brake pad and disc whilst braking. It is also a tool that will enable engineers to better understand the causes of DTV and stick-slip the initiators of low and high frequency vibration in motor vehicle brakes. Furthermore, the technology can equally be used to solve many other still remaining mysteries in automotive, aerospace, rail or anywhere where two surfaces may come in contact. The SBP consists of sensors embedded into an automotive brake pad enabling it to measure pressure between the brake pad and disc whilst braking. The two sensor technologies investigated were Thick Film (TF) and Fibre Optic (FO) technologies. Each type was tested individually using a Material Testing System (MTS) at room and elevated temperatures. The chosen SBP was then successfully tested in simulated driving conditions. A preliminary mathematical model was developed and tested for the TF sensor and a novel Finite Element Analysis (FEA) model for the FO sensor. A new method called the Total Expected Error (TEE) method was also developed to simplify the sensor specification process to ensure consistent comparisons are made between sensors. Most importantly, our achievement will lead to improved comfort levels for the motorist.

本研究探討上市公司宣告發行與正式發行可轉換公司債對於股價報酬率的影響,並配合預期轉換期間觀點的介紹,探討可轉換公司債內含的債卷與權益性質是否影響發行的股價表現. 本研究取樣民國79年至87年2月在臺灣證卷交易所上市的國內可轉換公司債為研究對象,共有69個樣本,分別針對宣告日與發行日前後20個交易日進行異常報酬分析,並且以異常報酬為應變數,預期轉換期間和其他控制變數為自變數進行多元迴歸分析,得到以下的結論:1.臺灣企業發行的可轉換公司債普遍為權益型的可轉換公司債,轉換 期間較短,權益性質較強,因此宣告時股價表現與權益型證卷較類似 ,股價有負面反應.2.預期轉換期間的長短和發行時異常報酬有顯著正向關係,表示預期轉 期間愈長,權益性質愈強,發行時股價表現榆.3.股價報酬率波動度和發行時異常報酬有顯著負向關係,表示股價波動度愈大,內含選擇權的價值愈高,權益性質愈強,發行時股價表現愈差. / The research will analysis the impacts of average and cumulative abcdrmal returns of the underlying stocks of the convertible bonds ann-ouncements and issues by means of events study and GARCH model. And then, we introduce time to expected conversion, we can divide samples into bond-like and equity-like convertible bonds, and through the multipleregression analysis, whether or not there is abcdrmal returns because ofbond and equity characteristics embeded in the convertible bonds can thenbe determined. Our research will be conducted a convertible bonds set from TaiwanStock Exchange from 1990.4 to 1998.2, the empirical results shows that:1.The convertible bonds issued in Taiwan is usually equity-like, time to expected conversion is very short and equity characterisitcs is very strong, the underlying stock prices is smiliar to equity securities at the announcements of a new issuance and have a negative abcdrmal returns. 2.Time to expected conversion is significant positive to two-day period abcdrmal returns at the issuance day, this results shows that when this time is longer and is easier to converse, the convertible bonds is more equity-like and negative effects of the underlying stocks is larger. 3. The volatility of underlying stocks is significant negative relation to two-day period abcdrmal returns at the issuance day, this results shows that when this volatility of returns is larger and it can increase the value of the options embeded in the bonds, the convertible bonds is more equity-like and negative effects of the underlying stocks is larger.