Úvodní stránka > Archiv > Archiv konferencí > Archiv Finanční Konference > Moderní nástroje pro finanční analýzu a modelování 2012
Společnost HUMUSOFT s.r.o. uspořádala 29.5.2012 v Praze desátý ročník pracovního semináře:
Moderní nástroje pro finanční analýzu a modelování
Úvodní slovo / Welcome
Financial risk management is a substantial topic. The foundation of all risk measures is verified quantitative functionality, statistical rigor and an ability to integrate rapidly with existing systems and infrastructure. In this presentation, it will be illustrated how MATLAB can help risk teams build an agile Credit Risk Management infrastructure, using MATLAB's advanced modeling, analysis and deployment tools to build risk analytics quickly and then implement into enterprise risk architectures.
Main topics included are:
Martin Demel received his M.S. equivalent degree in Applied Mathematics (Dipl.-Tech. Math.) from the Technical University in Munich, Germany. He joined MathWorks in 2006 as a Technical Support Engineer and transferred to Application Engineering in 2010. His main areas are mathematical and financial modeling, parallel computing and deployment, especially responsible for the financial and energy industries.
Česká národní banka
In this paper, I investigate the dynamics of retail credit premia (i.e. the difference between reference interest rates and rates on retail loans with comparable maturities) in the Czech economy. I propose an econometric model of the relationship between this premium and the business cycle. The model is formulated in the state-space form and estimated on Czech data. My results show that the premium level can be explained to a large extent by the cyclical position of the economy and that the premium can be a predictor of real activity.
Jan Brůha is an economist at the Czech National Bank. His professional interests include macroeconomic and financial modeling and applications of numerical methods in economics and econometrics.
Božena Bobková, Ilkin Aliyev
Ministerstvo financí České republiky
DSGE model of the Czech Republic describes the general equilibrium of the economy for four basic agents: households, firms, government, and world. It stresses the fiscal sector to allow for several policy analyses simulations. Various simulations and forecasting pass for the main application of the model.
Božena Bobková graduated in Economic Theories at Institute of Economic Studies, Charles University in Prague, leads seminars on Econometrics and Microeconomics at IES and works in the Economic Modeling Unit at the Ministry of Finance of the Czech Republic.
Ilkin Aliyev is a PhD candidate at CERGE-EI and works in the Economic Modeling Unit at the Ministry of Finance of the Czech Republic.
Masarykova Univerzita v Brně, ESF
Příspěvek se zabývá problematikou modelování dynamiky trhů práce s využitím dynamického stochastického modelu všeobecné rovnováhy s frikcemi na trzích práce. Odhady parametrů, analýza dynamických vlastností modelu a souladu modelu s pozorovanými daty jsou prováděny s využitím Bayesovských technik, a to s pomocí volně dostupného toolboxu Dynare v Matlabu.
Daniel Němec absolvoval obor Hospodářská politika na Ekonomicko-správní fakultě Masarykovy univerzity v Brně. V tomtéž oboru získal i titul Ph.D. Zabývá se aplikovanou a Bayesiánskou ekonometrií a DSGE modelováním.
Michal Papež, Igor Paholok
UniCredit Bank a.s.
Credit Valuation Adjustment (Concept Introduction and Economic Motivation to Trade on a Power Exchange)
The importance of a counterparty risk management increased after the recent financial crisis. We present the concept known as the Credit Valuation Adjustment with common illustration within the bank risk management framework. We also show how can we compare the value of counterparty risk with the value of liquidity costs and decide whether to trade via an organized exchange or not.
Michal Papež graduated in Finance at the University of Economics, Prague in 2005. From 2007 he has been working in UniCredit Bank Czech Republic as Head of Market Risk Monitoring and Analysis department. In his professional interest he focuses on the calculation of counterparty risk and liquidity risk.
Igor Paholok graduated in Finance at the University of Economics, Prague in 2007. From 2006 he has been working as market risk specialist in UniCredit Bank Czech Republic and he is responsible for securities and power markets.
Deloitte Advisory s.r.o.
In our presentation we will explain usage of stochastic simulation in complex financial instrument valuation and demonstrate how quantitative analysis could be useful in deeper understanding of the instrument, risk analysis, as well as in decision-making process.
Ľuboš Briatka holds a Master’s degree in Mathematics from the Comenius University in Bratislava and in Economics from the Charles University in Prague (CERGE). Ľuboš is a Certified Financial Risk Manager (FRM) accredited by the Global Association of Risk Professionals (GARP). His primary expertise includes development and validation of credit rating models as well as market risk models including complex Monte Carlo simulations, IFRS impairment and regulatory compliance (Basel II), valuation of financial instruments (including advanced structured products), and hedge accounting review and implementation.
Modeling Selected Energy Assets - Gas Storages and Power Plants - in the Activities of an Energy Trading Unit
Topics of this paper will include:
Bohdan Vražda graduated from University of Economics in Bratislava, then continued studies at CERGE in Prague, where he earned the M.A. degree. He worked for 3 years at Arthur. D. Little consulting firm, where he specialized in energy projects. Since 2008 works as a Front Office analyst at CEZ Trading Unit.
Algorithmic trading is a complex and multi-dimensional problem; there are a large number of different challenges that need to be addressed and solved. At its heart you need to be able to develop, build and test a robust trading algorithm, but this process requires you to solve a range of surrounding issues including data gathering, preparation and visualization, model development, backtesting, calibration, integration with existing systems and ultimately deployment.
This presentation will provide you with a high level overview on almost each part of this process and demonstrates how MATLAB provides a single platform that allows the efficient solution of all parts of this problem.