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Analysis of banking assets and liabilities of households in the Czech Republic
Rektorysová, Natália ; Teplý, Petr (advisor) ; Fučík, Vojtěch (referee)
Czech household, an important factor of the Czech banking sector, is considered to be a subject with a conservative approach in dealing with its financial funds. This bachelor thesis deals with a demonstrability of this status, acceleration of demands for loans and with analysis of banking assets and liabilities of households and their changes in time. The theoretical part describes key concepts and specifies basic framework needed for a further topic elaboration; it also specifies two key hypotheses: the first one is aimed at a household balance in time, the second one is focused on growth rate in relation to pensioners disposable income. The empiric part of the thesis is focused on loan development trends which represent household liabilities and deposits as household assets, accentuating the changes based on legislative steps, unexpected events on domestic market or world financial markets events. The end of the practical chapter summarises development tendencies and their substantiation. The conclusion summarises a contribution of the thesis, declares Czech household conservativism demonstrability and confirms the hypothesis of Czech household debt paradox.
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Hierarchical Structure Analysis with Applications to the EU Member States Convergence
Fučík, Vojtěch ; Krištoufek, Ladislav (advisor) ; Bobková, Božena (referee)
The main objective of this thesis is to summarize and possibly extend the existing methodology on correlation matrix filtering, hierarchical clustering and topological classification in the economic networks. In the thesis we use classical MST/HT approach supplemented by edges stability analysis and centrality measures analysis. Graphical objects MST and HT enable us to find relations among the elements of the network. Centrality measures anal- ysis helps us to find the hubs in the network and stability analysis determines the reliability of the resulting model. Presented methodology is then utilized for convergence analysis in the EU and for analysis of clusters in the EU's MSTs and HTs. We detected large clusters of former communist countries for every economic indicator, clusters based on geographical location such as Nordic, Baltic, BENELUX or former ECSC countries and a cluster of PIGS countries. We also found that Spain plays a role of a central node in debt/deficit indicator analysis which made us to express our concerns about potential future problems. 1
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Dynamic Asset Allocation
Kudrna, Aleš ; Málek, Jiří (advisor) ; Fučík, Vojtěch (referee)
Today, there is a large amount of assets which are offered to investors, and if we consider the possibility of relocating the investor's funds, we come to a very complicated problem, which this thesis aims to cover. The main objective is to explore the basics of the portfolio theory and its real usage in practice. Emphasis is put on the periodic re-optimizing of the investor's portfolio and getting the answer to the question of whether such conduct is more successful than the standard and investment in equity indices. The theoretical part summarizes the currently used approaches to optimization which are tested in the practical part on real data and evaluated.
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Analysis of Profitability, Risk and Specifics of Hedge Funds
Chalupa, Martin ; Veselá, Jitka (advisor) ; Fučík, Vojtěch (referee)
The goal of this Master's Thesis is to analyze the specific characteristics of the hedge funds with a primary focus on profitability and risk of the industry, which has experienced significant growth of the value of assets under management since the beginning of the new millennium. I want to provide a realistic point of view at the whole industry, which is considered as very risky in the eyes of the public. I want to support this point of view with an analysis of the risks and profitability of hedge funds. The single types of hedge funds are compared to each other and also to other asset classes. The first chapter discusses the specifics of hedge funds, so we can easily understand what differs them from the other collective investment funds. I have briefly described the development of the whole industry, which I have supported with graphical and numerical expression. The second chapter is focused on the development of regulation of hedge funds on the US market and on the European continent. The last chapter is dedicated to the analysis of the profitability and risk of hedge funds. The output of this part is the ideal hedge fund for the potential investor.
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Investment analysis of a share of ČEZ
Čupa, Jiří ; Veselá, Jitka (advisor) ; Fučík, Vojtěch (referee)
This bachelor thesis deals with analysis of stock title ČEZ and is divided into three main segments. In the opening segment focuses on various approaches to prognosis of market development. In the second segment I conduct Fundamental analysis on global, sector and corporate level with the intention of discovering if ČEZ stock is overrated, underrated or correctly rated. In the third segment Technical analysis is conducted with the aim of finding the perfect timing for a trade. In the conclusion there is overall assessment of outputs of fundamental and technical analysis as well as investment recommendation.
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Analýza klíčových komponent ve financích
Fučík, Vojtěch ; Kolman, Marek (advisor) ; Fičura, Milan (referee)
The main objective of this thesis is to summarize and possibly interconnect the existing methodology on principal components analysis, hierarchical clustering and topological organization in the financial and economic networks, linear regression and GARCH modeling. In the thesis the clustering ability of PCA is compared with the more conventional approaches on a set of world stock market indices returns in different time periods where the time division is represented by The World Financial Crisis of 2007-2009. It is also observed whether the clustering of DJIA index components is underlied by the industry sector to which the individual stocks belong. Joining together PCA with classical linear regression creates principal components regression which is further in the thesis applied to the German DAX 30 index logarithmic returns forecasting using various macroeconomic and financial predictors. The correlation between two energy stocks returns - Chevron and ExxonMobil is forecasted using orthogonal (or PCA) GARCH. The constructed forecast is then compared with the predictions constructed by the conventional multivariate volatility models - EWMA and DCC GARCH.
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Application of Monte Carlo simulations in banking
Boruta, Matěj ; Teplý, Petr (advisor) ; Fučík, Vojtěch (referee)
Currently, banking is exposed to huge market risks. One of those risks is occurrence of negative interest rates in the EU. Nowadays, it is important to use sophisticated and modern measurement tools and approaches to measure and manage banking risks. One of those methods is Monte Carlo simulation. This bachelor thesis is aimed at analysis and prediction of 3-month maturity Prague Interest Offer Rate (PRIBOR) for 3, 6 and 12 months with using Monte Carlo simulations. It was found that this method is suitable for prediction market variables with low volatility. If anybody uses this method, it is necessity to have in mind all pitfalls and assumptions, that this method includes, as an adequate random generated number of scenarios, approximation of correct probability distribution, independence of dataset and not least, as far as possible, to focus on factors generating randomness of market variable and not the prices, that express rather consequences of randomness than its cause. Further, the Monte Carlo prediction was compared with prognosis of the Czech Nation Bank and it was found that Monte Carlo prediction is more accurate for short term predictions. 12-month prediction of Monte Carlo simulation discovered also possible occurrence of negative interest rate at 0,05% level of probability in compare to the Czech National Bank prognosis, where was no negative interest rate predicted.
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Company Performance Measurement
Kouřil, Petr ; Fučík, Vojtěch (referee) ; Bartoš, Vojtěch (advisor)
The master´s thesis deals with performance measurement of the company STAVOS Brno, a.s. The theoretical part is about some of approaches and methods of company performance measurement. In the second part the company is characterized and company´s current situation is described. The last part contains an application of START PLUS model based on the principles of The EFQM Excellence Model. At the end the proposals for improving self-assesment and performance of the company are deduced from the results of applied model.
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