National Repository of Grey Literature 41 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Equlibrium exchange rate : Effect of the degree of competition on the real equlibrium exchange rate - evidence from a panel of exporting companies
Raková, Marie ; Derviz, Alexis (advisor) ; Cahlík, Tomáš (referee)
This thesis analyzes the real equilibrium exchange rate. It consists of two parts. The purpose of the first part is to introduce the main equilibrium exchange rate theories and their empirical results. This part also focuses on the present empirical approaches, which are used by economists for testing the equilibrium exchange rate. The aim of the second part is to analyze the impact of market structure, expressed in degree of competition, on the equilibrium real exchange rate. Here we examine the following questions: What are the causes of misalignment of the real exchange rate? Does it depend on the market structure? And could, under certain degree of competition, be every move of nominal exchange rate assessed as equilibrium? Powered by TCPDF (www.tcpdf.org)
Analysis of crude oil price
Brabec, Ivo ; Derviz, Alexis (advisor) ; Horváth, Roman (referee)
The main goal of this work is to test the hypothesis that the technical analysis and its speculative consequences influence widely the crude oil price. This study describes the main features of the crude oil market, its specifics and the historical price development and it takes closer look at the underlying price making forces. This work searches for the speculative forces that might influence the price. This work examines the effects that the technical analysis might have in the hands of price predictors and some of its psychological aspects. The validity of the predictions generated by the tools of the technical analysis is being tested. The second part focuses on the fundamental analysis. Throughout the work, the sample data set is used to test the validity of the hypothesis of this study. Powered by TCPDF (www.tcpdf.org)
Modeling default probability and Individual loan price construction for small and medium companies
Semianová, Kateřina ; Pečená, Magda (advisor) ; Derviz, Alexis (referee)
This thesis is focused on modelling credit risk linked with granting smáli business credits. Research on corporate credit risk modeling for privately held companies is rather limited due to lack of publicaly available data. Main topič of this study is individual loan pricing related to the risk profile of those subjects. First part is concentrated on theoretical background of individual rate construction. This rate is based on risk prémium and a Capital requirement related with clienťs individual risk profile and námely with his probability of default. The remainder is devoted to the extensive empirical study supported with representative dataset of US smáli business companies. Middle part introduce several alternativě PD scoring methodologies. Finál partition is dedicated to individual interest rate construction and simulation of interest income. The main objective is to demonstrate doubtless advantages of individual rate construction against charging regular rates.
The Predictive Power of The Yield Curve: Some Empirical Evidence
Jamriška, Jozef ; Hlaváček, Michal (advisor) ; Derviz, Alexis (referee)
Economists often use complex mathematical models to forecast the future path of the economy and the likelihood of recession. But more simple indicators such as interest rates, stock price indices, and monetary aggregates also contain some relevant information about future economic activity. In this thesis we revisit the usefulness of one such indicator, the yield curve or, more specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill. By using four different models we examine whether the yield spread has still some predicitve power for future real GDP growth in selected european countries. What is more, we are comparing the predictive power of the yield spread with different variables, both in- sample and out-of-sample. We decompose the yield spread into expectations effect and term premium effect in order to investigate which factor contributes more to predicting real GDP growth. Using modified definition of recession we conclude that that yield spread still contains some useful information for predicting future economic activity, although its predictive power deteriorates.
Investing into guaranteed and secured funds offered by czech banks
Outrata, Jiří ; Dědek, Oldřich (advisor) ; Derviz, Alexis (referee)
The goal of this master thesis is to analyze the guaranteed and secured funds offered by Czech banks. First of all, by examining the various investment risks, the reason for these newly created investment products is outlined. ůhe theoretical part of the thesis then contains a description of how the funds work and an overview of permitted and actually employed instruments and techniques of their investment policies. ůhe nature of guaranteed and secured funds is also studied in the framework of portfolio management, from the view of an investor and a portfolio manager. In the practical part of the thesis, the situation on the Czech market of guaranteed and secured funds is described and the relevant funds offered by individual banks are analyzed in great detail. Subsequently, significant attention is paid to the performance evaluation of the guaranteed and secured funds and to the comparison of realized net returns.
Assessment of hedge fund replication strategies
Kollár, Martin ; Dědek, Oldřich (advisor) ; Derviz, Alexis (referee)
Hedge funds are investment vehicles that provide solid risk-adjusted performance in various stages of market cycle and that are not strongly correlated to the markets they transact in. The profits from hedge funds were for a long time available only to high net-worth individuals or institutional investors, who could bear the possible negative effects of a serious downturn of the fund. The recent development in the hedge fund industry however leans toward the exploitation of hedge fund returns by a wider range of investors. Many hedge fund databases and investment banks have thus created different hedge fund indices and hedge fund clones that would replicate the exposures of hedge funds with smaller fees and smaller investment requirements. Our analysis showed that the development of such products has advanced into more promising stages, when new approaches are used to better replicate the hedge fund returns. Powered by TCPDF (www.tcpdf.org)
Equlibrium exchange rate : Effect of the degree of competition on the real equlibrium exchange rate - evidence from a panel of exporting companies
Raková, Marie ; Derviz, Alexis (advisor) ; Cahlík, Tomáš (referee)
This thesis analyzes the real equilibrium exchange rate. It consists of two parts. The purpose of the first part is to introduce the main equilibrium exchange rate theories and their empirical results. This part also focuses on the present empirical approaches, which are used by economists for testing the equilibrium exchange rate. The aim of the second part is to analyze the impact of market structure, expressed in degree of competition, on the equilibrium real exchange rate. Here we examine the following questions: What are the causes of misalignment of the real exchange rate? Does it depend on the market structure? And could, under certain degree of competition, be every move of nominal exchange rate assessed as equilibrium? Powered by TCPDF (www.tcpdf.org)
Analysis of crude oil price
Brabec, Ivo ; Derviz, Alexis (advisor) ; Horváth, Roman (referee)
The main goal of this work is to test the hypothesis that the technical analysis and its speculative consequences influence widely the crude oil price. This study describes the main features of the crude oil market, its specifics and the historical price development and it takes closer look at the underlying price making forces. This work searches for the speculative forces that might influence the price. This work examines the effects that the technical analysis might have in the hands of price predictors and some of its psychological aspects. The validity of the predictions generated by the tools of the technical analysis is being tested. The second part focuses on the fundamental analysis. Throughout the work, the sample data set is used to test the validity of the hypothesis of this study. Powered by TCPDF (www.tcpdf.org)
Credit Constraints and Creditless Recoveries: An Unsteady State Approach
Derviz, Alexis
The paper investigates the behavior of credit demand and output arising from differences in productive capital sources in economies recovering from an adverse real shock. Beside physical capital, another form of capital – human capital – is available during the catch-up phase. Since a part of new physical capital must be debt-financed, whereas production is risky due to uncertain future total factor productivity, defaults happen with positive probability. The latter can be reduced by partially substituting physical capital for human, at a disutility cost. We ask whether a shift away from risky borrowed physical capital to human capital is able to generate a reduction in aggregate credit losses without too big a loss in output, thereby warranting a specific prudential policy. This question is addressed by means of a dynamic stochastic model with feedback decision rules, for which we develop a full-distribution numerical solution method. The long-term stationary limit distribution of the solution generalizes the steady state notion of deterministic models. Agents that start from relatively “poor” initial states are found to benefit from limits on unsecured borrowing at a very moderate cost in output terms, whereas for “rich” initial states, such limits prove to be largely redundant.
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