Úvodní stránka > Kalendář událostí > Konference > Moderní nástroje pro finanční analýzu a modelování 2011
Společnost HUMUSOFT s.r.o. ve spolupráci s NBS uspořádala 26.5.2011 v Bratislavě devátý ročník pracovního semináře:
   Moderní nástroje pro finanční analýzu a modelování
Přednesené příspěvky:
Miroslav Gavura, Jan Daněk
Národná banka Slovenska, HUMUSOFT s.r.o.
Úvodní slovo / Welcome
Eugene McGoldrick
MathWorks
This presentation will cover the process of integrating MATLAB computational components into production databases, SAS, Oracle and SQL Server to provide analytic, and visualization capabilities that leverage the strengths of databases and MATLAB to provide powerful technical solutions.
Eugene McGoldrick is a Development Director for LTC products at the MathWorks. Eugene holds a Bachelor of Engineering, Master of Engineering Science, and a PhD from University College Dublin. He has over 25 years experience in software development and has been at the MathWorks for nearly 15 years. He focuses his development efforts on the Computational Finance and Application Deployment development teams leading them in their efforts to develop MATLAB into the leading computational financial development platform for the financial services industry.
Milan Výškrabka
Národná banka Slovenska
V prezentácii bude predstavený stredne veľký DSGE model dvoch ekonomík, Slovenska a eurozóny. Model dokáže pracovať v dvoch menových režimoch - nezávislá menová politika pre obe krajiny a menová únia. Táto vlastnosť umožňuje použiť Bayesovské metódy na odhadnutie parametrov modelu na základe údajov z obdobia, keď malo Slovensko nezávislú menovú politiku a následne študovať vplyvy rôznych štrukturálnych šokov na slovenskú ekonomiku ako súčasť eurozóny.
Milan Výškrabka earned a degree in Mathematics from the Comenius University, Slovakia, and an M.A. degree in Economics from CERGE-EI, the Czech Republic. In the forecasting process of the NBS he was responsible for medium-term forecasts and currently is working on a new forecasting model.
Veronika Beláková
Masarykova Univerzita v Brně
The presentation tries to answer the question to what extent exist interactions between Czech and Slovak economy. The results can provide recommendation for economic policy makers whether it should take into account the business cycle of the neighbour economy. To achieve the goal, an estimated DSGE model of two small open economies with foreign sector is employed.
Veronika Beláková is a PhD. student at Faculty of Economics and Amdinistration of Masaryk University. She is interested in DSGE modelling and interactions between Czech and Slovak economy.
Juraj Huček
Národná banka Slovenska
Stručne predstavíme model s nepozorovanými premennými na odhad NAIRU. Jemne nahliadneme do štruktúry nezamestanosti a získané odhady porovnáme výsledkami konjunkturálnych prieskumov SR.
Juraj Huček graduated in Economic and Financial Mathematics, Comenius University, Slovakia. From 2002 he has been working in Monetary policy department at the National Bank of Slovakia. He is responsible for estimates of potential output and NAIRU.
Lucia Pániková, Martina Brezová
Ministry of Labour, Social Affairs and Family of the Slovak Republic
For the health of whole economy it is important for the labour market to follow a progressive trend - either by increase of work productivity or employment rate. In presentation will be described results of our research into relation between un/employment rate and certain policy instruments that can be set up in code of laws (namely minimum wage institute). To quantify the influence of minimum wage institute on labour market, we used econometric modelling (ARMA structure, Granger causality) that confirmed relation between unemployment rate and minimum wage.
Lucia Pániková is a Director of Analytical Centre at Ministry of Labour, Social Affairs and Family of the Slovak Republic since 2010. Before that, she worked at Institute of Economic Research of Slovak Academy of Sciences. She graduated in Economic and Financial Mathematics at the Faculty of Mathematics, Physics and Informatics of Comenius University in Bratislava in 2007, where she finishes her PhD. study. She specializes in Applied Economics.
Martina Brezová works at Analytical Centre of Ministry of Labour, Social Affairs and Family of Slovak Republic since summer of 2010, when she graduated in Economic and Financial Mathematics at the Faculty of Mathematics, Physics and Informatics, Comenius University. Now she specializes in Labour Market.
Jan Houška
HUMUSOFT s.r.o.
Many applications in finance require substantial computing power. Recent development in MATLAB and Parallel Computing Toolbox allow not only classical approach to increasing computing power by parallelization, but also using immense performance of graphic cards. This presentation will try to answer the question when it is useful to use the classic parallel approach and what are the typical use cases for GPU computing.
Jan Houška is the Director of Applications and Development at Humusoft. Jan earned a degree in Control Systems and Robotics at Czech Technical University. He has more than 20 years of experience in development of MATLAB-based applications.
Boril Šopov
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, ČSOB
The presentation introduces a modern portfolio model for credit rating migration modelling. This model works directly with credit events, which are modelled to be driven by several latent factors. These factors can be used to link portfolio's dynamics to macroeconomic variable, design stress test scenarios and calculate TTC or PIT migration matrices.
Boril Šopov is a PhD candidate at Charles university, holds MSc in Risk management at Duisenberg School of Finance, Amsterdam, leads seminars on Statistics and works for ČSOB in Credit risk management unit.
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