Bakalářská práce / info:eu-repo/semantics/bachelorThesis
Osoba oponující práci:
The aim of the thesis is the description of the Monte Carlo simulation method, which in recent decades are very popular in many scientific fields. Nowadays various statistical surveys, analysis and information processing are similar statistical methods very significant. The theoretical part of the paper firstly describes the general simulation models because of their solutions with similar methods such as Monte Carlo, are often used. The following are typical examples of the historical method, its description and usage. The practical part of the thesis deals with the management of risk in finance and the possible application of the Monte Carlo in determining the level of risk Value at Risk. This rate is modern and globally used tool in the management of market risk. The practical part is about the calculation of the extent of the price index PX , which is the official index of the Prague Stock Exchange.
Value at Risk; risk management; Monte Carlo simulation; Monte Carlo method; simulation models
Informace o studiu
Studijní program a Studijní obor:
Kvantitativní metody v ekonomice/Statistika a ekonometrie