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ACD model a český kapitálový trh
Moravová, Anna ; Beneš, Viktor (oponent) ; Šmíd, Martin (vedoucí práce)
This study is concerned with the autoregressive conditional duration model (ACD) and its applications on the data from the Prague Stock exchange. The ACD model is particularly suitable for the analysis of data which arrive at irregular time intervals. We treat the time between events as a stochastic process. We apply the ACD model to model the intervals between the trades with the stock of Komerčn' Banka at the Prague Stock Exchange in the year 2004. The parameters are estimated by the maximum likelihood method. Further, an extension of the ACD model - the ACD-ACM model - is studied. ACM model is used to model the discrete price changes in the stock prices. The distribution of each price change is considered to be a random variable with distribution conditional on the past price changes and other explanatory variables. The ACD-ACM model is applied to the quote data of the stock of Czech Telecom from the year 2004. The results of the calculations are compared with the results presented by Engle and Russel in their studies from the years 1998 and 2005.
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Value-at-Risk estimation - non standard approaches.
Picková, Radka ; Šmíd, Martin (oponent) ; Dupačová, Jitka (vedoucí práce)
The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk measure and is defined as a quantile of the distribution of future returns, resp. losses. There exist various methods based on different assumptions how to estimate VaR. The most commonly used methods usually assume that the returns, resp. losses, are independently and identically distributed, especially that they are normally distributed. Since this assumption is not satisfied for most daily financial data, many alternative approaches have been suggested to estimate VaR. In the presented work two of them are discussed in detail, the CAViaR method and its asymptotic properties and the method of filtered historical simulation. One part of the work are numerical experiments with real data.
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Generating of Random Samples with Given Properties and Application to Banking
Voronin, Alexander ; Franěk, Petr (vedoucí práce) ; Šmíd, Martin (oponent)
The work concerns the searching for the algorithm for generating of the random variables with the given properties. There are made analyses of comparisons of the algorithms, and the optimal algorithm was chosen based on it. Since we focus on generating of random variables of defaults and explanatory variables of defaults, it concentrates mainly on the conservation of the dependence of these variables. Further we are looking for the optimal sample size of the generated samples under conservation of the required properties. And in the last Chapter we have applied the surveyed techniques to the real data.
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Statistické vlastnosti českého kapitálového trhu
Horák, Jiří ; Kaňková, Vlasta (oponent) ; Šmíd, Martin (vedoucí práce)
Tato diplomová práce se zabývá popisem chování titulů obchodovaných na Burze cenných papírů Praha (BCPP) na základě rozdílných vlastností výnosů obchodů uzavřených na BCPP a výnosů kotací tvůrců trhu. Toto je provedeno studiem hypotézy náhodné procházky, chování chvostů a ARCH modelování výnosů obchodů a kotací jednotlivých akcií. Dos žené výsledky jsou pak konfrontovány s jevy pozorovanými na velkých finančních trzích jako jsou New York Stock Exchange (NYSE) a London Stock Exchange (LSE). Uvedenými postupy jsme mimo jiné dospěli k závěru, že chování tvůrců trhu BCPP je podstatnou měrou ovlivněno obchody na trhu provedenými a že reakční doba burzy jako celku na tyto změny je velmi malá, což vypovídá o značné efektivitě českého finančního trhu. Dále jsme pro tituly BCPP pozorovali, že obchody jsou prováděny za cenu , která je dosti stálá i v horizontu několika dní, a že vypisované kotace tvůrců trhu kolem této ceny oscilují, což nasvědčuje velké stabilitě a kompetitivnosti pražské burzy.
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Decision of a Steel Company Trading with Emissions
Zapletal, F. ; Šmíd, Martin
We formulate a Mean-CVaR decision problem of a production company obliged to cover its CO2 emissions by allowances. Certain amount of the allowances is given to the company for free, the missing/redundant ones have to be bought/sold on a market. To manage their risk, the company can use derivatives on emissions allowances (in particular futures and options), in addition to spot values of allowances. We solve the decision problem for the case of an real-life Czech steel company for different levels of risk aversion and different scenarios of the demand. We show that the necessity of emissions trading generally, and the risk caused by the trading in particular, can influence the production significantly even when the risk is decreased by means of derivatives. The results of the study show that even for low levels of the risk aversion, futures on allowances are optimal to use in order to reduce the risk caused by the emissions trading.
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Model of Risk and Losses of a Multigeneration Mortgage Portfolio
Šmíd, Martin
During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable.
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