Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima

master's thesis

• Title (english): Systemic risk measurement based on multivariate statistical models
• Author: Marko Maslać
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Dražen Jurišić (član povjerenstva)
• Committee member: Marko Subašić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2016-07-15, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing

Abstract

U okviru diplomskog rada ispitana je primjenjivost multivarijatnih statističkih metoda za mjerenje sistemskog rizika. Analiza je provedena za na S&P 500 i Crobexu. Rad sadrži četiri računalna modela na temelju kojih se mjeri sistemski rizik preko analize glavnih komponenti i faktorske analize. Modeli služe kao indikator rizika te porast ili propad signala dobivenih modelima ukazuje na razinu sistemskog rizika na tržištu. U procesu stvaranja modela rađale su se brojne ideje za unapređenje sustava koje su predložene kao budući rad.

Abstract (english)

This project analyzes systemic risk measurement based on multivariate statistical models. The analysis was performed for the S&P 500 and CROBEX. Four computer models were developed and processed based on principal component analysis and factor analysis. Models are indicators of systemic risk and increase or decrease of the signal level indicates the level of systemic risk in the financial markets. During the process of the models, we got many ideas for the improvement of the system that could be used in further development.

• Keywords: sistemski rizik; financijska kriza; financijski vremeneski nizovi; dionice; S&P 500; Crobex; analiza glavnih komponenti; faktorska analiza; PCA; FA
• Keywords (english): systemic risk; financial crisis; financial time series; stocks; S&P 500; Crobex; principal component analysis; factor analysis; PCA; FA
• Language: croatian
• URN:NBN: urn:nbn:hr:168:322036
• Study programme: Title: Information and Communication Technology; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra inženjer/inženjerka informacijske i komunikacijske tehnologije (magistar/magistra inženjer/inženjerka informacijske i komunikacijske tehnologije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2019-03-19 13:42:39