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Capital protected funds
Houdek, Ondřej ; Witzany, Jiří (advisor) ; Prokop, Martin (referee)
This thesis is mainly focused on pricing securities of selected capital protected funds. In its theoretical part, there are summarized approaches and principals that are generally used for derivatives pricing because capital protected funds' securities contain embedded options. Emphasis is put on risk-neutral pricing using Monte Carlo simulation at that point because complicated pay-off functions of these funds are hard to be evaluated analytically. There are also presented main approaches to constructions and portfolio management of these funds from their portfolio manager's viewpoint. Finally, there is made an overview of basic types of capital protected funds issued both in The Czech republic and Europe. Analytical part is focused on evaluation of selected capital protected funds. There is applied a standard approach that is based on a simulation of Geometric Brownian Motion with constant conditional variance and correlation in contrast with an advanced approach where the conditional variance and conditional correlation matrix are simulated as well. That is accomplished with GARCH-in-mean and DCC-GARCH models. Estimated prices are compared with real market prices and there is also performance of the standard models compared with performance of advanced ones.
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Analysis of household debt in the Czech Republic and Austria and comparison with the European Union
Raková, Zdeňka ; Dvořák, Petr (advisor) ; Prokop, Martin (referee)
Constantly increasing household debt is becoming frequently discussed topic. The main aim of this thesis is to analyse the development and structure of household debt in the Czech Republic and its comparison with household debt in Austria and with households in other EU countries and Eurozone, respectively. The analysis of sources and laws connected with this issue and especially analysis of regularly reported data of noted countries serve to achieve the aim of the thesis. The first part of the thesis is focusing on definition of terms related to this issue such as credit, loan, mortgage loan, regular and bridge loan, consumer credit, leasing and APR. The second part deals with analysis of debts in the Czech Republic and Austria. First, the size of total debt is examined and then the attention is paid to development and structure of debt from different points of view (creditors, purpose, currency and maturity). The last part discusses the position of the Czech Republic and Austria from the point of view of other households within the EU countries and Eurozone, respectively.
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Analýza přímého bankovnictví v ČR se zaměřením na nízkonákladové banky
Fingerhutová, Eliška ; Dobrovolný, Marek (advisor) ; Prokop, Martin (referee)
The bachelor work deals with single types of the direct banking in Czech Republic. I analysed both the working way of electronic (direct) banking and the security of these systems. I dealt with the low-cost banks as well and their cooperation with the classical banks. The purpose of the analysis was to determine the main differences in the direct banking of the chosen institutions mainly from the point of view of clients, customers' comfort, range of offer and the security of services. Another part of the work deals with the position of the low-cost banks on the Czech market and their development in the future.
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Fundamental analysis of stocks of Komerční banka
Strnad, Jakub ; Prokop, Martin (advisor) ; Dobrovolný, Marek (referee)
My Bachelor thesis is concerned with the fundametal analysis of stocks of Komerční banka, a. s. By applying all parts of fundamental analyses -- global, market, firm, I will do a detailed analysis of these stocks with consideration of the relations which affect the price movement. After that I will determine the intrinsic value. Every chapter consists of both the theoretical basis that outlines the area being solved and the practical application of those methods. The outcome of this work will be investment advice, whether to buy, hold or sell those stocks. Invesment advice will be at the end of the thesis.
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The influence of crises on development of credit rating of some specific countries and banks
Ulmanová, Tereza ; Zetek, Pavel (advisor) ; Prokop, Martin (referee)
The aim of this thesis is to generally characterize credit rating. In its analytical part it deals with credit rating development of some specific countries and banks. The aim is to analyse this credit rating development, to find out its causes and consequences and to point to the interconnection between the countries, the parent banks and their subsidiaries. The paper describes the demands placed on credit rating agencies, too, and governments' efforts to control their activities. The paper shows that the trustworthiness of the rating agencies was broken after the global financial crisis came. Since then are the rating agencies more careful and they are not afraid of decreasing the credit rating in countries with problems. During last four years came to the adjustment of credit rating downwards in many countries especially in EU.
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Internal rating method as an instrument to value credit risk
Heinzel, Lukáš ; Jablonský, Petr (advisor) ; Prokop, Martin (referee)
This thesis is focused on the internal rating method as an instrument to value the credit risk. Firstly, it is aimed on the general method of measurement and control over the credit risk in banks, then there is introduced a process how to develop Basel regulation. Basel II. agreement, which is the focal point of this thesis, allows banks to use standardized approach or IRB method to evaluate the credit risk. After the definition of the standardized method the author focuses on IRB method. There are introductory IRB notes, then it is concentrated on an approval of using this approach by a regulator. The main part of the thesis is given to the calculation of the capital requirement by IRB method. Descriptions of the general formulas and risk parameters are described there. The calculation is demonstrated by a real illustration.
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Investing in Russian market using ETF
Belov, Pavel ; Witzany, Jiří (advisor) ; Prokop, Martin (referee)
This thesis deals with the exchange traded funds. The goal is to explore the investment attractiveness of the ETF versus open-end and closed-end mutual funds and identify positive and negative aspects of these investment instruments. This work describes the characteristics of the ETF, the advantages and disadvantages for small and large institutional investors, different investment strategies for trading ETFs. In the analytical part of the thesis is carried out the research of the effectiveness and efficiency of investment in the Russian market today using selected mutual funds and ETFs.
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Analysis of CDS on sovereign bonds of peripheral countries of eurozone
Tesařová, Veronika ; Dvořák, Petr (advisor) ; Prokop, Martin (referee)
This thesis is about the credit default swap market and its development from the moment of its origin to the present. The focus is on the peripheral countries of eurozone, especially on Greece. The first part of the thesis is about the characteristics of CDS contracts, settlement of contracts and the relationship between CDS and insurance contracts. The other parts of the thesis are about the crisis in Greece, the CDS on sovereign greek bonds and the credit event. The last part of the thesis is about CDS on other sovereign bonds of peripheral countries in eurozone which are Spain, Italy and Portugal.
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The analysis of the chosen bank in a context of the Czech bank sector
Hegenbart, Roman ; Půlpánová, Stanislava (advisor) ; Prokop, Martin (referee)
The thesis is considering financial analysis of Česká spořitelna a.s. The main aim is to show importance of particular financial indicators as an outcome of financial analysis of the bank as an institution administering money of third persons. The thesis is evolved not only by time analysis, but is also focused on inter-bank competition, where it has been taken to comparison with reference group "The big banks". The analysis involves the structure of assets and liabilities, structure of profit, analysis of profitability, liquidity and capital adequacy. The particular aim of the work is to consider situation of the bank sector in the Czech Republic in relation to economical climate of recent years.
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