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Ing. Sylvie Formánková, Ph.D. (née Gurská)
Identification number: 4780
University e-mail: sylvie.formankova [at]
Assistant Professor - Department of Management (FBE)
Researcher - Department of Informatics (FBE)

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Basic information

Basic information about a final thesis

Type of thesis: Diploma thesis
Thesis title:Portfolio risk optimization for selected financial institution in scope of Risk Management
Written by (author): Ing. Petr Surala
Department: Department of Management (FBE)
Thesis supervisor: Ing. Sylvie Formánková, Ph.D.
Opponent:Guiseppe Buccheri, MSc
Final thesis progress:Final thesis was successfully defended.

Additional information

Additional information about the final thesis follows. Click on the language link to display the information in the desired language.

Language of final thesis:English

Czech        English

Title of the thesis:Portfolio risk optimization for selected financial institution in scope of Risk Management
Summary:The aim of the thesis is a proposal and formulation of a decision-making strategy from the point of view of Risk Management within bank group of Intesa SanPaolo, focused on risk optimization in various portfolios. Decision-making strategy is built in line with investment portfolio risk which is dependent on products' simulation. Suggested approach is based on usage of a different simulation method and therefore the risk needs to be analyzed in several steps. Firstly, Monte Carlo method was introduced and used for risk simulation of selected investment funds.The outcome is proving that maximal potential future risk/return can be approximated with 99 % probability. As a next step, a current and future potential of success was identified and business carrying assets were selected. Due to a risk matrix evaluation, one was able to asses a probability of risk occurrence and its potential consequence. Based upon different colors of same risks derived from different simulation methods, one might observe lower lever of risk for Monte Carlo simulation. Owing to this fact, it was recommended to banking group of Intesa SanPaolo to use Monte Carlo simulation as a primary tool for portfolio risk calculation and keep Historical method as a secondary tool.
Formula clause:I would would like apply for a limited access to the electronical version of submitted diploma thesis. The theis contains a sensitive information of Intesa Sanpaolo S.p.A. that is protected by an internal copyright policy.
Key words:Monte Carlo, risk, modeling, simulation, risk analysis, risk matrix

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Final thesisThesis appendicesSupervisor's reviewOpponent's review

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