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master's thesis
Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2016. urn:nbn:hr:168:322036
Maslać, Marko
University of Zagreb
Faculty of Electrical Engineering and Computing

Institutional repository: FER Repository

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Maslać, M. (2016). Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima (Master's thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:322036

Maslać, Marko. "Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima." Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2016. https://urn.nsk.hr/urn:nbn:hr:168:322036

Maslać, Marko. "Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima." Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2016. https://urn.nsk.hr/urn:nbn:hr:168:322036

Maslać, M. (2016). 'Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima', Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 11 July 2024, https://urn.nsk.hr/urn:nbn:hr:168:322036

Maslać M. Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima [Master's thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2016 [cited 2024 July 11] Available at: https://urn.nsk.hr/urn:nbn:hr:168:322036

M. Maslać, "Mjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima", Master's thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2016. Available at: https://urn.nsk.hr/urn:nbn:hr:168:322036

Metadata
TitleMjerenje sistemskog rizika zasnovano na multivarijantnim statističkim modelima
Title (english)Systemic risk measurement based on multivariate statistical models
AuthorMarko Maslać
MentorZvonko Kostanjčar (mentor)
Committee memberZvonko Kostanjčar (predsjednik povjerenstva)
Committee memberDražen Jurišić (član povjerenstva)
Committee memberMarko Subašić (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
Zagreb
Defense date and country2016-07-15, 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
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:322036
Study programmeTitle: 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 resourceText
File originBorn digital
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Created on2019-03-19 13:42:39