National Repository of Grey Literature 33 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Hedging with interest rate derivatives: Estimation of hedge ratio & hedging effectiveness
Ruberry, Marika ; Gapko, Petr (advisor) ; Vácha, Lukáš (referee)
The thesis investigates the effectiveness of several hedging strategies and inspects whether advanced econometric models contribute to lower portfolio risk and offer advantages over simple constant hedges. Focused on the German bond market, Euro-Bund and Euro-Bobl futures traded at Eurex are employed to determine which hedging strategy performs best in the fixed-income framework. The hedge ratio is estimated with the OLS, VAR, VECM, and GARCH models, as well as with the duration-based approach. The hedging effectiveness is subsequently measured in terms of percentage variance reduction of a portfolio's returns relative to an unhedged bond, while also considering risk-return trade-off. The analysis showed that the hedging strategies are, in almost all cases, effective in risk minimization though the degree of variance reduction does differ. The duration method decreases the variance by as much as 99% while mostly resulting in low or negative returns. Relative to other constant strategies, the time-varying hedge ratio, estimated by the GARCH, limits the variance least, nonetheless, mostly it provided a variance reduction of at least 65% while also delivering one of the highest returns. Whereas the dynamic strategy did not outperform constant hedges in terms of risk protection, the choice of hedge ratio...
Using CAPM for assessment of efficiency of managed portfolios-mutual funds
Pergl, David ; Gapko, Petr (advisor) ; Baruník, Jozef (referee)
This bachelor thesis tested hypothesis if 30 randomly selected equity funds outperformed the market systematically in the time period 2003-2018. Funds were divided into two groups with respect to their investment strategies (Small caps and Large caps) and were tested in periods of Bull and Bear markets. As a theoretical concept the Capital Asset Pricing model (CAPM) was used. Two parameters of its equation were tested, alpha coefficient as an indicator of managers' skills and fund expenses and beta coefficient as an indicator of level of risk. The CAPM equation was expanded by dummy variables to measure the effects of different investment strategies and market conditions. The thesis used panel data analysis as an approach of estimation of the parameters with Fixed and Random Effects models. Funds invested mainly on the U.S. market. Their prices were transformed to fund returns as required by the CAPM model and compared with returns of S&P500. Statistically significant results confirmed that the CAPM fitted the expected relationship of market and fund returns. It showed that the funds taking higher risk were rewarded by higher expected returns expressed by beta greater than 1. It also showed that the managers invested more carefully in the periods of Bear market. Values of alphas revealed that Large...
Performance of alternative portfolios during Financial Crisis 2007-2009
Zaydlar, Adam ; Geršl, Adam (advisor) ; Gapko, Petr (referee)
The main focus of the thesis was to analyze the performance of the alternative portfolio strategies with special attention to the period of Financial Crisis 2007 - 2009. In the thesis, we provide available literature based description of the Financial Crisis sources. For the analytical purposes, we have focused on dollar investor investing into the beta and contrarian trading strategy based portfolios analysis. We have analyzed portfolios consisting of US stocks with beta values equal to 1, 0.5 and negative betas (plus Contrarian portfolio). We provide description of 1$ investment development through the period from 1998 to 2009 with comparison of all strategies in the period from 10/2007 to 03/2009 that is falling into the Financial Crisis period. All portfolios are compared based on the 1$ investment price development, their volatilities and their Sharpe ratios.
Riziko spojené se změnami počasí na trhu se zemním plynem
Vyležík, Tomáš ; Janda, Karel (advisor) ; Gapko, Petr (referee)
This thesis deals with the impact of weather on the natural gas market. We describe the development of the natural gas market in recent past and its current structure. Both these contingencies contributed to growing importance of hedging against weather risk today. Consequently, with help of regression models we assess the dependency of Czech natural gas consumption on temperature, which is unambiguously the primary determinant of demand in the natural gas market. Such an analysis frequently serves as the first indicator of the need for weather risk hedging, which is since the 90's commonly done with weather derivatives. Therefore we go through so called burn analysis that determines the fair price of an option with regard to past temperature measurements.
Artificial Neural Networks in Option Pricing
Vach, Dominik ; Gapko, Petr (advisor) ; Červinka, Michal (referee)
This thesis examines the application of neural networks in the context of option pricing. Throughout the thesis, different architecture choices and prediction parameters are tested and compared in order to achieve better performance and higher accuracy in option valuation. Two different volatility forecast mechanisms are used to compare neural networks performance with Black Scholes parametric model. Moreover, the performance of a neural network is compared also to more advanced modular neural networks. A new technique of adding rational prediction assumptions to neural network prediction is tested and the thesis shows the importance of adding virtual options fulfilling these assumptions in order to achieve better training of the neural network. This method comes out to increase the prediction power of the network significantly. The thesis also shows the neural network prediction outperforms the traditional parametric methods. The size and number of hidden layers in a neural network is tested with an emphasis to provide a benchmark and a structured way how to choose neural network parameters for future applications in option pricing. JEL Classification C13, C14, G13 Keywords Option pricing, Neural networks, Modular neu- ral networks, S&P500 index options Author's e-mail
Sovereign credit risk drivers in a spatial perspective.
Záhlava, Josef ; Gapko, Petr (advisor) ; Janský, Petr (referee)
This thesis analyses what drives sovereign credit risk when contagion is con- trolled for. CDS spreads are used as a measure of credit risk and bond yields are used to estimate interconnectedness of the examined countries. The main contribution lies in the use of high-frequency data and a robust wavelet based estimator in addition to spatial econometric model. The aim of this thesis is to test for presence of contagion and to evaluate which fundamentals are decisive for market perception of sovereign credit risk. Another goal is to evaluate the possibility of a structural break caused by the Greek debt restructuring. The results show that the restructuring did bring change. Contagion is present during the post-crisis period and it diminishes as the economies recover. Sim- ilarly, fundamentals are of higher importance in the post-crisis period when compared with the following period. JEL Classification C22, C31, C33, G01, G32, G33 Keywords spatial econometrics, CDS spreads, sovereign credit risk, financial contagion, realised covari- ance Author's e-mail Supervisor's e-mail
Interconnectedness of capital markets during the financial crisis
Kocholová, Soňa ; Gapko, Petr (advisor) ; Lešanovská, Jitka (referee)
We study the interconnectedness between the United States and thirty three international stock markets during the period of January 2003 to December 2012, with an emphasis on the global financial crisis of autumn 2008. By applying the DCC-GARCH model, our results show evidence of the increase in correlation during the period of crisis. The largest increase was reported for Argentina and India. The average increase was 0.164. Within the sample period, the US stock market was found to be the most correlated with markets of Brazil, Canada, France, Germany, Euro Area and Mexico and the least correlated with markets of China, Malaysia and New Zealand. In the second part of the thesis we study the relationship between the four selected markets (China, Euro Area, Japan and United States) and macroeconomic variables (exchange rate, total trade, industrial production and interest rates). The markets show positive relationship with the exchange rate, trade and the industrial production. The interest rate does not reveal any specific, negative nor positive, relationship. We conclude that more indices respond to a shock in one index in a very similar way. Powered by TCPDF (
The Modern Money Creation Process: The Case of Collateral Crunch
Kroulíková, Šárka ; Teplý, Petr (advisor) ; Gapko, Petr (referee)
The aim of this thesis is to investigate the role of the wholesale funding in the modern credit intermediation process and to estimate the possible impact of pro- posed regulation of the wholesale funding on lending activity of a bank or its risk profile. Throughout the analysis we used data set of 132-1167 banks from the European Union (number of banks depends on the hypotheses tested) during the period 2006-2012. We found that the banks that are more exposed to the whole- sale funding are able to increase their lending relatively more in comparison to the less exposed banks; this advantage is wiped out during the times of liquidity or collateral crunch. Results of defined simultaneous equation model suggest that stricter eligibility criteria, higher margins and introduction of 100% threshold for the Net Stable Funding Ratio will significantly decrease the wholesale funding ra- tio and thus limit the supply of loans. We consider those results alarming since the majority of European enterprises is financed by the financial intermediaries, not on the capital market and therefore additional limitation of the wholesale funding activities could negatively influence the overall economic activity within the Euro- pean Union. We discovered that the commercial banks tent to transfer the costs of the wholesale...

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