This study performs a stress testing exercise on the Italian banking system in view of the 2007 financial crisis which was triggered by the crash of subprime mortgages. At the base of the global financial crisis was a failure of finan- cial regulators to quantify the accumulation of endogenous risks. Following the crisis, stress testing has acquired particular emphasis in the field of risk measurement under the Basel II supervisory framework. An econometric rela- tionship between the probability of default and the macroeconomic indicators is modeled according to the Merton approach for structural analysis using data on the Italian banking system. A latent factor model is employed to under- stand the dependence of the credit risk on the changes in the macroeconomic environment. The resulting relationship is exploited to compute the capital requirement under stressed conditions in order to draw inference about the resilience of the Italian banking system. JEL Classification G0, G01, G17, G10, C50, C22 Keywords Financial crisis, macroeconomic stress testing, credit risk, latent-factor model Author's e-mail jacomessi@yahoo.it Supervisor's e-mail petr.gapko@seznam.cz Abstrakt Klasifikace JEL G0, G01, G17, G10, C50, C22 Klíčová slova Financial crisis, macroeconomic stress test- ing, credit risk,...

Satellite Model Accuracy in Bank Stress Testing Abstract Filip Hamáček January 4, 2019 This thesis is dealing with credit risk satellite models in Czech Republic. Satellite model is a tool to predict financial variable from macroeconomic vari- ables and is useful for stress testing the resilience of the banking sector. The aim of this thesis is to test accuracy of prediction models for Probability of De- fault in three different segments of loans - Corporate, Housing and Consumer. Model currently used in Czech National Bank is fairly unchanged since 2012 and its predictions can be improved. This thesis tests accuracy of the original model from CNB by developing new models using modern techniques, mainly by model combination methods: Bayesian Model Averaging (currently used in European Central Bank) and Frequentist Model Averaging. Last approach used are Neural Networks. 1

Adolescents with developmental disabilities (DD) experience regular physical and sexual development. Some adolescents with developmental disabilities engage in problematic sexual behaviors (PSB). In order to be able to address the needs of this population in terms of prevention of PSB, and provision of effective treatment after PSB has begun, their experience must be understood and contributing factors identified. It is with this in mind that this study was designed, with the purpose being the exploration of the experiences of adolescents with DD who have engaged in sexually problematic behaviors, including compulsive or addictive patterns of behavior, and to identify the contributing factors for engaging in these behaviors. A grounded theory approach with a directed analysis component was used. Eleven participants were interviewed including five persons with developmental disabilities (PWDD) and six parents regarding the experiences of seven different individuals with DD who have engaged in PSB. Results of this study indicate that the presence of a DD increases the complexity of this experience. A model was created to explain the overall process of engaging in PSB as requiring exposure, motivation, opportunity, and deficits in sexual education. In addition, nine different factors were identified that may be contributing factors that increase the risk of an individual with DD engaging in PSB. These results may be of value for parents of children with DD, service providers, and educators.

The master thesis is dealing with the contemporary issues of operational risk management in financial institutions. Author sets a theoretical basis and legal background of the topic and describes the contemporary practices of managing the operational risk. Author focuses on the scenario analysis as a specific method which is described and evaluated. Scenario analysis is applied on the rogue trading risk. In the thesis there is created a model institution on which author applies the operational risk theory using best practices and expert opinions. The model situation provides the analysis of the processes of the financial institution and choose the suitable measures in order to defend against the risk. The author also analyses the past cases of rogue trading which helps to understand the prevention and the historical significance of the operational risk.

The significance of credit risk models has increased with the introduction of new Basel accord known as Basel II. The aim of this study is default rate modeling. This thesis follows the two possible approaches of a macro credit risk modeling. First, empirical models are investigated. Second, a latent factor model based on Merton's idea is introduced. Both of these models are derived from individual default probability models. We employed data over the time period from 1988 to 2003 of the Finnish economy in the first part of this thesis. Time series of bankruptcy and firm's numbers were used. Aggregate data for whole economy as well as industry specific data were available. First, linear vector autoregressive models was used in case of dynamic empirical model. We examined how significant macroeconomic indicators determined the default rate in the whole economy and in the industry specific sector. However these models cannot provide microeconomic foundation as latent factor models. We employed a one- factor model in our estimation although, multi-factor models were also considered. A one-factor model was estimated using disaggregated industrial data. This estimation can help understand relation between credit risk and macroeconomic indicators. Obtained results were used in the second part of this...

Abstract (english) Objectives The main objective of this work is to design methods and proceadures enhancing effectiveness and efficiency of IT audit in banks with the accent given to their use by the supervisory authorities. Another objective of the work (and an essential starting point at the same time) is a summary and assesment of methods and proceadures developed and implemented into the CNB practice with regard to banking supervision in the area of information systems. Objectives Achievement From the methodological point of view the esential starting point of the work was represented by above mentioned objectives that were used for elaboration of a set of questions. Questions enabled to set up the hypotheses. (Another more particular hypotheses were defined in order to design the particular solutions in chapter 5.) Futhermore, the critical factors (problems) were defined in the process of the questions analyses. Subsequently, the solutions were specified. The solutions confirmed the hypotheses which reflected the achievement of the objectives. Description, categorisation, analyses, screening, modelling, comparative analyses and sample testing were used to achieve the objectives. In particular, the solutions that were elaborated, making use of methods described above, enhance effectiveness and efficiency of IT audit in banks. Moreover, the CNB's proceadures and methods were introduced and assesed within the work. Scientific Contribution The work brings an evidence of correlation between the quality of IT audit in banks and their economical performance. With this regard the work contributes with original conclusions, benchmarks and proceadures that may be used by banks, supervisory authorities and IT auditors. These conclusions are achieved by description, categorisation, analyses, modelling and screening research highlighting the role of the rentability, the productivity, the risks, the inovations and the economical value of information. Furthermore, the IT audit and IT supervision in banks are specified. They are also compared and contrast to the other audit cathegories. The work presents important peaces of evidence regarding the role of IT audit in this context. This is made by description, cathegorisation and analyses. Another contribution represents proceadures and methods developed and implemented (to the large extend by author) in the field od IT banking supervision in the Czech Republic. This delivers valuable outputs for foreign supervision authorities, banks and auditors. The work lead to original solutions of critical factors. These solutions are to use by IT audit and IT supervision (and also in audit work generally). The solutions make use of ceartain atributes of Capability Maturity Model (CMM) and were elaborated in the proces of decsription, cathegorisation, screening research, comparative analyses, hypotheses seting and testing. The solutions enhances acuracy and objectiveness of assesment done by IT auditors. The solutions lead to better comparativeness of audit outputs on both national and international level, give better preconditions for risk assesment and capital adequacy evaluation within BASEL II and enhance the information value of audit ouptuts. The structure (content) of the work reflects the above mentioned articles that give a brief description of the main four parts (chapters) of the work.

Across Australia and other developed nations, morbidity and mortality follows a socioeconomic gradient whereby the lowest socioeconomic groups experience the poorest health. The dietary practices of low socioeconomic groups, which are comparatively less consistent with dietary recommendations, have been thought to contribute to the excess morbidity and mortality observed among low socioeconomic groups, although this phenomenon is not well understood. Using a socioecological framework, this thesis examines whether the local food retail environment and confidence to cook contribute to socioeconomic differences in fruit and vegetable purchasing. To achieve this, four quantitative analyses of data from two main sources were conducted. The food retail environment was examined via secondary analysis of the Brisbane Food Study (BFS) and confidence to cook was examined in a cross-sectional study designed and carried out by the author. The first three manuscripts were based on findings from the BFS. Briefly, the BFS was a multilevel cross-sectional study, designed to examine determinants of inequalities, that was conducted in Brisbane in the year 2000. A stratified random sample was taken of 50 small areas (census collection districts, CCDs) and 1003 residents who usually shopped for their households were interviewed face-to-face using a schedule that included a measure of fruit and vegetable purchasing and three socioeconomic markers: education, occupation and gross household income. The purchasing measure was based on how often (never, rarely, sometimes nearly always or always) participants bought common fruits and vegetables for their households in fresh or frozen form, when in season. Food shops within a 2.5 km radius of the CCDs in which survey respondents lived were identified and audited to determine their location, type, their opening hours, and their price and availability of a list of food items. The first publication demonstrated there was minimal to no difference in the availability of supermarkets, greengrocers and convenience stores between areas that were most and least disadvantaged, in terms of the number of shops, distance to the nearest shop, or opening hours. Similarly, the second publication showed the most disadvantaged and least disadvantaged areas had no large or significant difference in the price and availability of fruits and vegetables within supermarkets, greengrocers and convenience stores, but small differences were consistently apparent, such that on average, low socioeconomic areas had lower prices but also lesser availability than more advantaged areas. The third submitted manuscript presents results of multilevel logistic regression analyses of the BFS data. While there were some associations between environmental characteristics and fruit and vegetable purchasing, environmental characteristics did not mediate socioeconomic differences in purchasing the fruit and vegetable items since there was no substantial socioeconomic patterning of the price or availability of fruits and vegetables. The fourth submitted manuscript was based on the cross-sectional study of cooking skills. A stratified random sample of six CCDs in Brisbane was taken and 990 household members ‘mostly responsible’ for preparing food were invited to participate. A final response rate of 43% was achieved. Data were collected via a self-completed questionnaire, which covered household demographics, vegetable purchasing (using the same measure employed in the BFS for continuity), confidence to prepare these same vegetables, and confidence to cook vegetables using ten cooking techniques. Respondents were asked to indicate how confident they felt (ranging from not at all- to very- confident) to prepare each vegetable, and to use each technique. This fourth study found respondents with low education and low household income had significantly lower confidence to cook than their higher socioeconomic counterparts, and lower confidence to cook was in turn associated with less household vegetable purchasing. Collectively, the four manuscripts comprising this thesis provide an understanding of the contribution of food accessibility, affordability and cooking skills to socioeconomic differences in fruit and vegetable purchasing, within a socioecological framework. The evidence provided by this thesis is consistent with a contributory role of confidence to cook in socioeconomic differences in fruit and vegetable purchasing, but is not definitive. Additional research is necessary before promoting cooking skills to improve population nutrition or reduce nutritional inequalities. An area potentially useful to examine would be how cooking skills integrate with psychosocial correlates of food and nutrition, and socioeconomic position. For example, whether improvement of cooking skills can generate interest and knowledge, and improve dietary behaviours, and whether a lack of interest in food and nutrition contributes to a lack of both fruit and vegetable consumption and cooking skills. This thesis has demonstrated that an inequitably distributed food retail environment probably does not contribute to socioeconomic variation in fruit and vegetable purchasing, at least in contemporary Brisbane, Australia. Findings are unlikely to apply to other time periods, rural and regional settings, and perhaps other Australian cities as residential and retail development, and the supply and pricing of produce vary substantially across these dimensions. Overall, the main implication for public health is that interventions targeting the food supply in terms of ensuring greater provision of shops, or altering the available food and prices in shops may not necessarily carry a great benefit, at least in major cities similar to Brisbane. Future studies of equitable food access may need to look beyond mapping the distribution of shops and prices, perhaps to more personal and subjective facets of accessibility and affordability that incorporate individuals’ perceptions and ability to access and pay for foods.

This diploma thesis deals with the analysis of the environment of the company TEFIS s.r.o., active in the logistics industry. It discusses the assessment and suggestions for changes to the company's information system. Given issues contains the theoretical background to the given issues and analyzes that were carried out in the company environment. Based on the analysis, the work actually includes suggestions for solutions for streamlining the information system and an overall summary.

Acts committed by insiders have risen during past years, and there is a need for a better understanding of how preventive measures can be used, not just remedial action after the fact. The current narrative in research when discussing espionage was motive; why someone committed espionage. The aim of this study was to create a theoretical model of a ‘risk individual’ and, with the use of the model, techniques for personality assessment and text analysis, develop an artefact, a self-assessment test, that could be used to assess if a person had a higher risk to commit the act of espionage. Design Science research was chosen as a main methodological approach with supporting methods throughout. A survey was chosen to collect the data and the data was analyzed quantitatively. The artefact is partly based on selfassessment questionnaires and partly on themes identified as necessary when a governmental agency conducted personal security interviews for potential new hires. In order to achieve the research goal, data from 52 individuals were collected and analyzed using various quantitative methods. When applying internal reliability testing to the risk factors proposed by the theoretical model, seven out of the eight factors had good reliability. One factor, stress, performed poorly. This was probably due to the width of the questions asked, from personal to professional stress. This resulted in stress being removed from further testing. The remaining seven factors correlated with each other, apart from one, entitlement. This risk factor correlated with ethical flexibility but not the other six risk factors. In order to test how well the Big Five correlated with risk, the mean of a risk individual was calculated and compared with the five factors of OCEAS. The five factors all correlated negatively with risk, with agreeableness having the highest negative correlation and extroversion having the lowest. Differences could be seen when comparing the ten participants with the highest mean risk score to the ten with the lowest for both the Big Five and the risk factors in the theoretical model. The differences for the Big Five were lower than those for the theoretical model, i.e., both Big Five and the theoretical model work as sorting out higher-risk individuals. However, they worked better together and provided a more profound picture than using just one or the other. The open-text questions were analyzed with the help of wordlists to calculate how the participants used different types of pronouns when writing. One wordlist provided potentially interesting results (the word list for ‘I’), while the others did not.

A tendência em ampliar o uso das tecnologias com aproveitamento da energia solar no setor residencial traz para os profissionais da área de projeto novos desafios que é o de reestruturar seus modelos de concepção e desenvolvimento de projetos a fim de garantir o comportamento em uso e a eficiência dos sistemas construtivos seguros. O Modelo conceitual de identificação e qualificação de risco proposto foi elaborado a partir da pesquisa de investigação e de desenvolvimento experimental. Foram considerados aspectos relativos às demandas de segurança em uso, construção do conhecimento a partir da sistemografia e a forma de integração desses saberes em um único sistema. O desenvolvimento experimental ocorreu durante o processo de projeto, produção, montagem, uso e operação de um protótipo denominado Ekó House. A metodologia aplicada envolveu quatro fases: Fase 1 - Exploratória - com pesquisas bibliográficas (as tecnologias, normas e práticas de projeto; Fase 2 - Definições - com a escolha da base teórica de apoio ao modelo; Fase 3 - Desenvolvimento - proposições e experimentos e Fase 4 - Teste e consolidação. Para validar o modelo aplicou-se a validação por generalização analítica, ou seja, expandir e generalizar a teoria. O modelo proposto, inovador no âmbito da sistemografia, apoiou-se na Teoria do Sistema Geral: teoria da modelização proposta por LE MOIGNE. Essa teoria trabalha com sistemas complexos e se apoia em processadores, são eles: de operação, informação e decisão que condicionam a integração sistêmica do projeto. Verificou-se durante a aplicação do modelo que ele estimula o aprofundamento das análises das soluções de projeto, quando: a)Identifica e formaliza conceitos que suportam o desenvolvimento das soluções nos diversos sistemas; xv b)Facilita a compreensão e síntese das múltiplas informações que precisam ser compatibilizadas no projeto; c)Formaliza um único principio \"segurança do usuário\" para a lógica de concepção e desenvolvimento de projeto; d)Organiza e permite que se priorizem as informações técnicas [fabricantes e normas];e)Facilita o entendimento por meio de informações as ações de organização e coordenação dos sistemas no espaço e de sua relação com as funcionalidades, uso e estética; e f)Fomenta a busca de soluções mais adequadas a segurança do usuário. Sendo assim, o teste do modelo validou a hipótese. Ele contribui como ferramenta guia de aprimoramento do processo de projeto. / The increasing use of solar energy technologies in the residential sector brings new challenges to professionals who work in the field of design, such as the need to restructure their mindset regarding to the conception and to the development of design, in order to ensure the performance and the efficiency of safe building systems. In this context, this thesis main goal is to propose a conceptual model for the identification and qualification of risk within residential architecture that uses solar energy technologies based on systemography. It\'s an investigative and experimental research, considering aspects related to: meet the demands of safety in use, the knowledge construction and how those could be managed. The experimental development was carried out during the process of design, production, assembly, use and operation of a prototype named Ekó House. The applied method has encompassed four stages: 1) Exploratory - bibliographic research about technologies, codes, rules and design practices; 2) Definitions - the choice of the theoretical basis to ground the model; 3) Development - propositions and experiments and 4) Proofing and consolidation. In order to verify the model it was carried out a test wherewith is possible to perform a validation by analytical generalization, that is, expand and generalize the theory. The proposed model, which represents an innovation in sistemography field, was based on LE MOIGNES\'s Systemic Theory. This Theory enabled the implementation in complex systems, using information, decision and operating processors which condition the design systemic integration. The results obtained by the research show that the model: a) incorporates knowledge, thus, being helpful along the decision-making process; b) eases the understanding and the overview of the diverse information needed by the design; c) formalizes a logic of design conception and development; d) xvii organizes and prioritizes the design technical recommendations [rules and manufacturers]; e) is able to promote an interference in the system\'s organization and coordination in space and also in its relation to functionality and aesthetics; it also f) guides the use of more suitable configurations to the design development. The model presents itself as a tool that is capable of reducing misuse of standards, conflicts between building systems, Technologies and architecture, as well as design failures that compromise safety in use.