National Repository of Grey Literature 155 records found  beginprevious80 - 89nextend  jump to record: Search took 0.01 seconds. 
Coexceedance in financial markets of countries trying to join the European Union
Baranová, Zuzana ; Horváth, Roman (advisor) ; Dědek, Oldřich (referee)
This thesis analyses financial contagion between a reference EU market - Germany and markets of five countries which are actively seeking to become a part of European Union - Montenegro, Serbia, Turkey, Bosnia and Macedonia in the period of March 2006 to March 2018. We apply quantile regression framework to analyse contagion which we base on the occurrence and degree of coexceedances between the reference and analysed market. The results indicate that contagion between stock markets exists, however in different degree for each of the analysed markets. In addition we apply the regression framework specifically for period of financial crisis of 2008 to demonstrate that contagion is stronger during turbulent market periods. JEL Classification G01, G14, G15 Keywords coexceedance, quantile regression, contagion, stock markets Author's e-mail 80605682@fsv.cuni.cz Supervisor's e-mail roman.horvath@fsv.cuni.cz
Credit Risk of P2P Lending on the Czech Market
Čermáková, Jolana ; Dědek, Oldřich (advisor) ; Čech, František (referee)
This thesis analyzes an emerging peer-to-peer lending industry, while intro- ducing its main features and risks, where the risk of default and its moder- ation gets the most attention. Uniquely provided data from the front Czech platform Zonky containing nearly 6 000 observations serve as a baseline for credit risk modeling. It has been investigated which variables have the largest effect on default on the Czech P2P market. The final model is used to predict the associated probability of default and to compute the credit score for potential borrowers using these online platforms. Results support the fact that education, age, way of living, expenses, marital and employment status, income and the number of children are significant variables when determining the risk of default. Many of these findings are in accordance with previous international papers published on this topic.
Pricing of interest rate derivatives and calibration issues in a multi-factor LIBOR market model framework
Doubrava, Jan ; Dědek, Oldřich (advisor)
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/her asset/debt portfolios according to individual needs and acceptable scale of risk. Their importance in financial markets rose enormously n past ten years as well as did their traded volumes. Interest rate derivatives form a large sub-group of financial derivatives, their valuation is a large self-contained chapter within financial mathematics thanks to the unique characteristics of yield- and discount-curve dynamics. In the first part of my thesis I derive the fundamental pricing principles stemming from no- arbitrage pricing theory and introduce the most common approaches in yield curve modeling. In the second part I discuss issues of calibration in a "LIBOR Market Model" with one to three risk factors. These models are used to price swaptions with Monte Carlo simulation within the no-arbitrage framework introduced in the first part. The result of the thesis is that one factor model performs the best in pricing swaptions. Powered by TCPDF (www.tcpdf.org)
Option embedded in natural gas sales'contracts
Zlámal, David ; Mejstřík, Michal (advisor) ; Dědek, Oldřich (referee)
The paper analyses the unexplored contractual relationship among sellers and buyers in the natural gas business. In the majority of European natural gas contracts the seller commits to deliver the stated quantity of gas during the year and the buyer is obliged to offtake the main part of the agreed quantity. The difference between these two volumes represents the offtaking flexibility that the seller grants to the buyer, the embedded option. The paper focuses on the evaluation of this embedded option. Firstly the investigation is performed in the current market situation when the buyer doesn't have the access to the spot market with natural gas. Under this condition the buyer can't make a profit and he is using the option only to satisfy the changing demand of his consumers. Secondly, the option is evaluated in the future situation when the spot market with natural gas emerges. In this circumstance, the embedded option becomes a financial option with changing strike price and we can evaluate it using the spread option formulas.
Application of premiums and discounts to the company valuation
Sokol, Jakub ; Dědek, Oldřich (advisor) ; Teplý, Petr (referee)
In the light of the current market downturn, the need of the most accurate valuation appears to be more crucial than ever before. This thesis provides the reader with both the theoretical and practical background of the use of valuation premiums and discounts which apply directly to the value of the company reached by conventional separate valuation techniques. The most important premiums and discounts we focus our attention on are control premium/minority interest discount and lack of liquidity discount. The thesis presents an overview of the basic methodology of the theoretical concepts related to the valuation premiums and discounts. Moreover, based on a sample of 202 mergers and acquisitions transactions of the companies listed in the Central and Eastern Europe ("CEE"), we examine the size and key determinants of the control premium applicable within the CEE region.
Risk assessment of major shadow banking entities
Hrošovský, Marcel ; Dědek, Oldřich (advisor) ; Debatz, Laure (referee)
Shadow banking is a part of the financial system, that operates similarly to the banking system, however, is typically less regulated. As a result of incorrect risk assessment and insufficient regulation, shadow banking played a significant part in the recent global financial crisis of 2007. My thesis consists of two major sections, in the first section I describe the shadow banking system, I assess its positive and negative features, and I describe the methods for mapping the shadow banking entities. In the second section, I conduct a risk assessment of major shadow banking entities. Based on the evidence I conclude, that even investments that appear risk free under standard market conditions are exposed to incorrect risk assessment, especially when investing into assets with complicated structure, furthermore, in time of systemic contagion, even healthy companies are exposed to runs and lack of credit available on the market to help fund their operations. Keywords Shadow banking, risk, assessment, crisis, regulation
The cost of carry model in stock index futures: theory and reality
Němcová, Marika ; Dědek, Oldřich (advisor) ; Kučera, Adam (referee)
The thesis investigates the pricing efficiency of the commonly used cost of carry model in pricing stock index futures and its applicability on the German blue-chip index DAX and related futures contracts in recent years. The work considers the deviations of the observed futures prices from their theoretical counterparts as well as the fitness of the model through regression analysis. The results show that while there are many deviations from the fair values suggested by the model these are small in magnitude when compared with the potential transaction costs implying the contracts are efficiently priced. It is confirmed that there is a cointegrating relationship between futures and spot index values, however, given the regression analysis results the prices do not entirely follow the model design. The other part of the analysis focuses on the behaviour of the basis throughout the life of the relevant futures contracts. The results suggest that there is indeed a decreasing tendency towards the expiration of a contract, nevertheless, it is subject to considerable fluctuations. The paper also documents other factors that might impact stock index futures prices yet not included in the standard pricing formula. JEL Classification C12, C14, C22, G13 Keywords stock index futures, futures pricing , cost of carry,...
Estimating the Effective Lower Bound for the Czech National Bank's Policy Rate
Kolcunová, Dominika ; Havránek, Tomáš (advisor) ; Dědek, Oldřich (referee)
The thesis focuses on the estimation of the effective lower bound for the Czech National Bank's policy rate. It is the first attempt of this kind in the Czech context and also one of few in the international scale. The effective lower bound is determined by the value below which holding and using cash would be more favourable than depositing money in a bank account with a negative rate. This bound may be approximated based on costs of storage, insurance and transportation of cash and also based on the loss of convenience associated with cashless payments. We estimate that costs of the former lie in the interval from 0.2% to 0.6%. The latter, costs of loss of convenience, are relatively high in the Czech market as they attain around 1%. The estimate based on interest charges which present a direct cost and decrease in the bank profitability asserts slightly lower values, in particular with respect to a high share of deposits and repo operations at the CNB. Altogether we get a value below -1%, in the interval (-1.5%, -1.0%), under shorter term duration possibly lower, in the interval (-2.0%, -1.0%). The second part of the thesis offers modelling of transmission of interest rates. The results state that under the assumption of the average transmission over the past years it would be necessary to decrease...

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