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Modelování operačního rizika
| Thesis title in thesis language (Slovak): | Modelování operačního rizika |
|---|---|
| Thesis title in Czech: | Modelování operačního rizika |
| Thesis title in English: | Operational risk modelling |
| Key words: | Operačné riziko, Teória extrémnych hodnôt, Zovšeobecnené rozdelenie extrémych hodnôt, Prekročenie medze, Zovšeobecnené Paretovo rozdelenie |
| English key words: | Operational Risk, Extreme Value Theory, Generalized Extreme Value Distribution, Threshold Exceedences, Generalized Pareto Distribution |
| Academic year of topic announcement: | 2010/2011 |
| Thesis type: | diploma thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Lucie Mazurová, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 03.11.2010 |
| Date of assignment: | 03.11.2010 |
| Date and time of defence: | 04.02.2013 00:00 |
| Date of electronic submission: | 29.11.2012 |
| Date of submission of printed version: | 07.12.2012 |
| Date of proceeded defence: | 04.02.2013 |
| Opponents: | doc. RNDr. Daniel Hlubinka, Ph.D. |
| Guidelines |
| Diplomant/ka zpracuje téma modelování operačního rizika dle dostupné literatury, bude se věnovat rovněž problematice operačního rizika v pojišťovnách. Pojedná o vybraných matematických modelech, zaměří se zejména na využití teorie extrémních hodnot. |
| References |
| Panjer, H. H.(2006): Operational Risk. Modeling Analytics. John Wiley & Sons. |