|
|
Pricing and modeling credit risk
Kolman, Marek ; Witzany, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from various fields of credit risk modeling. In particular, it is shown (i) that the stock option market is a good source of credit information, (ii) how the reduced-form modeling framework can be extended to capture more complicated problems, (iii) that the double t copula together with a self-developed portfolio modeling framework outperforms the classical Gaussian copula approaches. Many other, partial findings are presented in the relevant chapters and some other results are also discussed in the Appendix.
|
|
|
Analysis of Financial Literacy in Czech Republic
Vu Hong, Ly ; Kolman, Marek (advisor) ; Rajl, Jiří (referee)
The subject of this diploma thesis is financial literacy in Czech Republic. The main interest is the government concept explaining National Strategy on financial education and Financial Education System for elementary schools and high schools. The thesis also deals with consumer protection as it is integral part of financial literacy. Activities of Supranational organizations like European Union and Organisation for Economic Cooperation and Development are presented enhancing their impact on steps taken by Czech government. Eventually analysis of own measuring financial literacy is performed bringing evaluated and compared results. Based on those recommendation are proposed.
|
|
|
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.
|
|
|
Comparison of machine learning methods for credit risk analysis
Bušo, Bohumír ; Kolman, Marek (advisor) ; Vacek, Vladislav (referee)
Recently, machine learning has been put into connection with a field called ,,Big Data'' more and more. Usually, in this field, a lot of data is available and we need to gather useful information based on this data. Nowadays, when still more and more data is generated by use of mobile phones, credit cards, etc., a need for high-performance methods is serious. In this work, we describe six different methods that serve this purpose. These are logistic regression, neural networks and deep neural networks, bagging, boosting and stacking. Last three methods compose a group called Ensemble Learning. We apply all six methods on real data, which were generously provided by one of the loan providers. These methods can help them to distinguish between good and bad potential takers of loans, when the decision about the loan is being made. Lastly, the results of particular methods are compared and we also briefly outline possible ways of interpretation.
|
|
|
The analysis of the impact of Customs Union on the economic and banking sectors of Kazakhstan
Karazhanov, Timur ; Kolman, Marek (advisor) ; Bolotov, Ilya (referee)
The target of this bachelor's thesis is to analyze the impact of the Customs Union consisting of Russia, Belarus and Kazakhstan on the economic and banking sectors of Kazakhstan. I will try to describe the advantages and disadvantages, with concrete examples for the entry of republic into the Custom Union. The first two chapters are theoretical and the last one is practical. The first chapter focuses on describing the historical conditions and causes of the formation of a customs union, the second chapter is dedicated to the organization itself, its history and functions. The last chapter deals with the development of the banking system during the period of 2010-2013, which is the period Kazakhstan been a member of the Customs Union. In the concluding part of this thesis I have tried to explain the specific advantages and disadvantages of the country's entry into the Customs union.
|
|
|
The corporate financing by issuing bonds Czech republic and Russian federation
Zubakhina, Yulia ; Kolman, Marek (advisor) ; Špániková, Kateřina (referee)
The aim of this bachelor thesis is to describe the process of issuing corporate bonds in the Czech Republic and the Russian Federation from the point of view of the issuing company with the comparison of two real and successful emissions of the each state. The first chapter analyzes different forms of financing and the problem of liabilities in the process of the corporate financing. The second chapter describes advantages of financing companies by corporate bonds and the process of primary issue according to the legislative norms of both states. The last chapter is devoted to the detailed dealing of the current situation on the primary markets with corporate bonds in Czech and Russia and comparing of two corporate bonds emissions with the following summary of the identified differences.
|
|
|
Hedging and currency risk management in the area of commercial banks
Šimko, Marek ; Kolman, Marek (advisor) ; Leová, Simona (referee)
The bachelor thesis is focused on FX risk mitigation and its management in the area of commercial banks. The whole concept deals with a FX risk definition, its quantification through various VaR methods and hedging by using appropriate financial derivatives. Theoretical background is applied into a practical simulation in order to view a decision making process of an imaginary entity influenced by estimated future cash flows resulting from its own portfolio. The final output represents a complex solution of FX risk management with incorporated regulatory authorities requirements.
|
|
|
Basel III and its impact on the banking sector
Hercíková, Alena ; Witzany, Jiří (advisor) ; Kolman, Marek (referee)
The following pages of my master thesis aim to acquaint the reader with the major changes brought about by Basel III banking regulation. This new regulatory framework was created in response to the financial crisis (beginning in 2007), which revealed some weaknesses in the original Basel II regulation, and its purpose is to prevent future similar situations in the financial market by increasing the stability and resilience of the banking sector. Impacts of Basel III are reflected primarily in increased demand for quality capital used by banks and maintaining sufficient liquidity. As shown by the results of the analysis, these factors have further effect on interest spread of banks and the real economy.
|
|
|
Mergers and acqusitions of banks
Phamová, Le Na ; Kolman, Marek (advisor) ; Vacek, Vladislav (referee)
The bacholer thesis focuses on the topic of "Mergers and acqusitions of banks". Mergers and acquisitions are one of the factors of the changing in the banking sector. The aim of this thesis is to analyze causes, which led to the mergers and acquisitions, and to evaluate specific consequences, which merger brought. In addition, the bacherlor thesis is focused on the proces of merger and acquisition. The thesis will sum up the causes and consequences of particular merger.
|
|
|
Risk management with respect on Basel II and Basel III
Kutová, Nikola ; Křížek, Tomáš (advisor) ; Kolman, Marek (referee)
The aim of my thesis is to evaluate the risk management system of Czech banks according to the Basel II rules. In my thesis I also deal with the ability of the Czech banking system to accept new Basel III rules. The first part of my thesis focuses on definition of risks and methods of risk management according to Basel rules. They discuss diferent risks that they fall within activity to the rules on the capital adequacy of the bank. The second part of thesis focuses on characteristics of Basel II and III and how the rules are implemented to the law of the EU and then to the law of Czech Republic. Part of the second part is also shortages of Basel II. On this shortage, Basel Committee on banking supervision responded to introduce new accord Basel III. In the final part, both of part is connected on the samples of three banks. After analysis, the thesis rates readiness Czech banks on the new capital accord and new risk management. The thesis summarizes readiness of the Czech banking system on the Basel III rules.
|
guest ::
RSS feed.