Modeling a Distribution of Mortgage Credit Losses

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers’ assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than the one assuming the normal distribution of the risk factors. We point out how the assumption that risk factors follow a normal distribution can be dangerous. Especially during volatile periods comparable to the current crisis, the normal distribution based methodology can underestimate the impact of change in tail losses caused by underlying risk factors.Credit Risk, Mortgage, Delinquency Rate, Generalized Hyperbolic Distribution, Normal Distribution

Contractivity of Bellman Operator in Risk Averse Dynamic Programming with Infinite Horizon

The paper deals with a risk averse dynamic programming problem with infinite horizon. First, the required assumptions are formulated to have the problem well defined. Then the Bellman equation is derived, which may be also seen as a standalone reinforcement learning problem. The fact that the Bellman operator is contraction is proved, guaranteeing convergence of various solution algorithms used for dynamic programming as well as reinforcement learning problems, which we demonstrate on the value iteration algorithm

Ochranná funkce a smluvní volnost v pracovním právu

Tento článek se zabývá problematikou ochranné funkce a smluvní volnosti v českém pracovním právu. Rozebírá význam a postavení ochranné funkce v pracovním právu a dále analyzuje smluvní volnost, jakožto jednu ze zásad pro soukromé (a tedy i pracovní) právo významných. Syntézou obou rozborů je potom popis vzájemného vztahu ochranné funkce a smluvní volnosti. Dalším podstatným bodem článku, který s tím bezprostředně souvisí, je kontext nového občanského zákoníku, který posílil pozici smluvní volnosti jakožto určující zásady soukromoprávních vztahů. „Účel občanského kodexu je umožnit i garantovat svobodné utváření soukromého života, a ponechat tedy co nejširší prostor svobodné iniciativě jednotlivce. Proto také osnova klade zásadní důraz na hledisko autonomie vůle. Se zřetelem k tomu se za první zásadu soukromého práva nepokládá rovnost osob, ale zásada autonomie vůle.

The influence of Process Parameters of Wet Blasting Technology on Integrity of Cutting Edge

Tato bakalářská práce se zabývá vlivem procesních parametrů technologie mokrého pískování na velikost zaoblení břitu řezných nástrojů ze slinutého karbidu. Tato práce byla prováděna ve Dormer Pramet s.r.o. V úvodní části práce je popsán vliv zaoblení na kvalitu řezného procesu a životnost nástroje. Jsou zde vysvětleny různé principy měření vyměnitelných břitových destiček. Dále je popsána technologie pískování a její parametry ovlivňující zaoblení destičky. V experimentální části je popsán stroj Vapormatt Sabre. Zhodnoceny jsou také výsledky, které se týkali zaoblení pomocí technologie pískování s různě nastavenými parametry. V závěru práce je shrnutí zjištěných výsledků a doporučení.This bachelor thesis deals with influence of processing parameters of wet blasting technology on the rounding size of cemented carbide cutting tools. The development of this thesis was allowed by Dormer Pramet ltd. The introduction part describes effect of rounding on the quality of the cutting process and tool life. The various principles of cutting inserts measurement are explained here. The wet blasting technology and its parameters influencing the rounding of the insert are also described the experimental part describes the Vapormatt Saber machine and evaluates the results of wet blasting technology measurements with various parameters. At the conclusion of the thesis is a summary of the results and recommendations346 - Katedra obrábění, montáže a strojírenské metrologievelmi dobř

Job-board predictions

Tato práce se zabývá metodami prediktivního modelování a vytěžování znalostí z textu. Na základě dat o pracovních inzerátech je cílem predikovat počet odpovědí na inzerát. Jednotlivé atributy jsou prozkoumány a zajímavé vztahy v datech prezentovány. Následuje návrh prediktivních modelů, jejich vytvoření a porovnání. Na základě jistoty modelu je vylepšena jejich úspěšnost. Nakonec je diskutována důležitost jednotlivých proměnných pro nejlepší model.This thesis looks into the area of predictive modeling and text mining methods. Based on the job advertisements data, the goal is to predict number of responses to the job offer. Individual attributes are examined and interesting datarelationsareshown. Subsequently,predictivemodelsareproposed,built, and compared. By using model confidence, the model performance is tuned. Lastly, variable importances for the best model are discussed

Malting Quality of Spring Wheat Varieties

During a three-year testing period (2013 – 2015), totally 99 samples of spring wheat (11 varieties from three testing localities) were analyzed. The basic parameters (extract, relative extract at 45 °C, diastatic power, final attenuation, friability and β-glucan content in wort as well as some special parameters) were tested. The wheat varieties provided sufficiently high extract content, the average value of this parameter was 83.5%. Proteolytic modification given by the value of Kolbach Index was on average 35%. Compared to barley malt, the wheat varieties had higher viscosity. The viscosity varied from 1.61 – 1.78 mPa.s and the average arabinoxilan content in wort in the scope of 1306 – 1656 mg/l. Friability (brittleness) of malt was very low, moving within 28 – 36%. β-glucan content in wort was very low, with the average value of 25.9 mg/l

Suppression of Air Refractive Index Variations in High-Resolution Interferometry

The influence of the refractive index of air has proven to be a major problem on the road to improvement of the uncertainty in interferometric displacement measurements. We propose an approach with two counter-measuring interferometers acting as a combination of tracking refractometer and a displacement interferometer referencing the wavelength of the laser source to a mechanical standard made of a material with ultra-low thermal expansion. This technique combines length measurement within a specified range with measurement of the refractive index fluctuations in one axis. Errors caused by different position of the interferometer laser beam and air sensors are thus eliminated. The method has been experimentally tested in comparison with the indirect measurement of the refractive index of air in a thermal controlled environment. Over a 1 K temperature range an agreement on the level of 5 × 10−8 has been achieved

Reductive Evolution of the Mitochondrial Processing Peptidases of the Unicellular Parasites Trichomonas vaginalis and Giardia intestinalis

Mitochondrial processing peptidases are heterodimeric enzymes (α/βMPP) that play an essential role in mitochondrial biogenesis by recognizing and cleaving the targeting presequences of nuclear-encoded mitochondrial proteins. The two subunits are paralogues that probably evolved by duplication of a gene for a monomeric metallopeptidase from the endosymbiotic ancestor of mitochondria. Here, we characterize the MPP-like proteins from two important human parasites that contain highly reduced versions of mitochondria, the mitosomes of Giardia intestinalis and the hydrogenosomes of Trichomonas vaginalis. Our biochemical characterization of recombinant proteins showed that, contrary to a recent report, the Trichomonas processing peptidase functions efficiently as an α/β heterodimer. By contrast, and so far uniquely among eukaryotes, the Giardia processing peptidase functions as a monomer comprising a single βMPP-like catalytic subunit. The structure and surface charge distribution of the Giardia processing peptidase predicted from a 3-D protein model appear to have co-evolved with the properties of Giardia mitosomal targeting sequences, which, unlike classic mitochondrial targeting signals, are typically short and impoverished in positively charged residues. The majority of hydrogenosomal presequences resemble those of mitosomes, but longer, positively charged mitochondrial-type presequences were also identified, consistent with the retention of the Trichomonas αMPP-like subunit. Our computational and experimental/functional analyses reveal that the divergent processing peptidases of Giardia mitosomes and Trichomonas hydrogenosomes evolved from the same ancestral heterodimeric α/βMPP metallopeptidase as did the classic mitochondrial enzyme. The unique monomeric structure of the Giardia enzyme, and the co-evolving properties of the Giardia enzyme and substrate, provide a compelling example of the power of reductive evolution to shape parasite biology