|
|
Valuation of Structured Products
Dohnálek, Jan ; Brada, Jaroslav (advisor) ; Kováč, Michal (referee)
The objective of the thesis is to acquaint readers with field of structured product valuation. It is a relatively complex issue which is, however, based on general valuation foundations. The opening chapter is dedicated to these general fundamentals of valuation. Emphasis is placed mainly on present value principle, a specific variant of comparison, and its related aspects. The second section describes key elements of structured product valuation. Greater part of this chapter is devoted to the Monte Carlo simulation, the most employed tool in valuation of these products in practice. An important part of Monte Carlo simulation is an option spread, which arises as by-product of the simulation and reflects value of an option contained in the evaluated instrument. Third chapter is focused on interest rate and prepayment models. Level of prepayment is dependent on interest rates development which both are the most critical factors that affect value of structured products. Description of models includes theoretical and mathematical formulation as well as mentioning their advantages and disadvantages. Valuation model is illustrated in the last part, which is demonstrated on valuation of hypothetical structured products example. Based on the model, the development of cash flows from underlying asset portfolio is forecasted which in turn determines the value of evaluated instruments. The final section deals with advantages of structured products and, hence, why banks and other institutions use them in practice.
|
|
|
Bank stress testing
Vorlíček, Jaroslav ; Blahová, Naděžda (advisor) ; Brada, Jaroslav (referee)
This thesis deals with stress testing of the banking sector. Stress tests are a set of analytical tools used to test the resilience and financial stability of the banking sector. At the beginning of the work financial stability and systemic risk impact not only in the form of sys-temically important financial institutions are discussed. Followed by a chapter on stress tests, which describes historic development of stress testing approaches to testing of individual banking risks and their implementation in the form of stress testing. Stress testing methodo-logy is described primarily from the perspective of the Czech National Bank, the importance of banking regulation and supervision in Basel III is also presented. In the final chapter of the thesis there are commented results of Czech National Bank's stress tests, and EU wide stress tests 2014, launched in cooperation with European Banking Authority, European Central Bank and the European Systemic Risk Board.
|
|
|
History of Russian banking
Tamilin, Andrey ; Brada, Jaroslav (advisor) ; Kubát, Max (referee)
This bachelor thesis is focused on the development of Russian pre-revolutionary banking system and securities markets. The thesis describes activities of individual banking institutions, including the conditions of their operation in the context of royal Russia. The first chapter focuses on origins of global banking. Next parts describe birth of Russian banking and its maturation with regard to the causes of non-standard development. The last chapter presents characteristics of the stock market of the Russian Empire.
|
|
|
The construction of the risk surcharges for the imbalances trading on OTE market
Maštalíř, Jakub ; Brada, Jaroslav (advisor) ; Blaheta, Petr (referee)
This master thesis approaches the energy markets from the point of view of an electricity trader acting on the retail markets, in particular an electricity supplier to the end customers. The first part introduces the reader into the basic practices applied in the management process of the portfolio of end customers, which includes metering and evaluation of the real take-off, planning and prediction and, of course, final evaluation of the imbalances. Second part explains the principles of balance management in case of the entire ČEPS electrical grid, mechanics of the imbalances settlement and describes its actual setting with focus on the way it motivates the market participants for minimization of their own imbalances and therefore improvement of the overall electrical grid balance. The final part describes the basic construction of the risk surcharges, which the supplier adds to the commodity price to cover the costs caused by the existence of his end customers' imbalances. Furthermore, it is shown how the dependence on the system imbalance influences the size of the risk surcharge and the basic model is extended to include even this factor. Because the supplier does not set the surcharge at the level of individual end customer but for the entire portfolio, the functioning and power of the portfolio effect, which brings an extra savings in the imbalances settlement costs, is also explored in the final part. The possibility of dependence presence in the imbalances of individual end customers is also accounted for. For the first time in the Czech academic literature the economic problems that are faced by the electricity supplier to the end customers are examined and the analysis and solution of one important problem is provided in the full picture. However, the most important contribution of this master thesis lays in the opening of this topic to further examination on the academic ground.
|
|
|
Bitcoin as a form of digital currency
Škoda, Dominik ; Revenda, Zbyněk (advisor) ; Brada, Jaroslav (referee)
This thesis aims to completely map the problem of new forms of money, called cryptocurrency. It explains the economic principles of functioning these decentralized currencies, particularly emitting (the mining), amount of fees and functioning of the payment system. The work is focused on the currency Bitcoin, for which it describes in detail its origin and development, possibility of simultaneous use (in many examples) as well as possible future scenarios of these currencies. In conclusion, the work describes role of Bitcoin in the current banking system and risks of the Bitcoin.
|
|
|
Currency risk hedging demonstrated on investment portfolios
Siuda, Vojtěch ; Mandel, Martin (advisor) ; Brada, Jaroslav (referee)
This bachelor thesis is focused on currency hedging in investment portfolio. At first are explained the terms currency risk and currency exposure and then the instruments for currency hedging are described. In the practical part of this thesis is reader acquainted with the crown class and the dollar class of US equity mutual fund. Yields are analysed in short and long term as well as with long and short term risk. The description of the hedging technique is also included in practical part. The last chapter is dedicated to questions, when is suitable to be hedged and how to find the ideal hedge ratio for minimizing the currency risk. Considered is also the possibility of using currency movements as an element of investment strategy.
|
|
|
Speculative bubbles in financial markets
Roček, Jindřich ; Brada, Jaroslav (advisor) ; Kubát, Max (referee)
The bachelor thesis explores the phenomenon of speculative bubbles in financial markets. The aim is to define possible causes of speculative bubbles, and specify circumstances under which they can be prevented. The first chapter explains the essence of the examined phenomenon. In the following chapter, two theoretical approaches to the formation of asset prices in markets are explained, the efficient market theory and behavioral finance. The third chapter analyses causes, coarse and collapse of each individual bubble. The work uses twelve samples of asset price bubbles from history to meet the objectives. The final chapter examines the influence of government intervention and monetary policy on the formation of bubbles and proposes stemming recommendations for the responsible authority. The considerable complexity of the phenomenon and a large number of factors influencing price movements means that bubbles cannot be quantified ex ante. Given the current market conditions it is reasonable to expect further occurence of asset price bubbles in financial markets.
|
|
|
Venture capital investments
Šinkovic, Michal ; Brada, Jaroslav (advisor) ; Kiska, Andrej (referee)
Diploma thesis analyses venture capital, which is part of alternative asset class investment. At the outset, paper very briefly discusses the private equity industry and differences between venture and buyout capital. Followed by a chapter that discusses entrepreneurship, entrepreneurial finance, financing alternatives for new ventures and the importance of venture capital and its impact on new businesses. Next chapter describes problems and risks that venture capital fund and entrepreneurs face after the contract is being signed. The paper also highlights some instruments that can be used against these risks and problems. The biggest part of thesis describes whole venture capital investment cycle from getting money, screening opportunities to valuation and exit of portfolio companies. Lastly the paper analyses venture capital in Central and Eastern Europe region (CEE) and briefly describes venture capital company based in Prague - Credo Ventures and its portfolio companies.
|
|
|
Analysis of the credit process in small and medium enteprises
Gronský, David ; Brada, Jaroslav (advisor) ; Kováč, Michal (referee)
This diploma thesis deals with an analysis of the credit process in small and medium enterprises. First part describes financial risks, to which banks are exposed with a special emphasis on a credit risk. The next chapter describes the process of a risk management, particularly its individual phases such as identification, measurement, securing and monitoring. The third part discusses each phase of the loan process that represents the risk mitigation strategy on the level of a single trade. In the forth part a loan application of a particular applicant is being thoroughly analysed. The last, fifth part sums up a development of conditions on a credit market in small and medium enterprises.
|
|
|
The Economic Phenomena of Net Games and of Bit Coins in China
Wang, Hanlin ; Brada, Jaroslav (advisor) ; Brůna, Karel (referee)
This paper mainly deals with a special but highly-developing industry in China, net game industry. Due to the significant construction and improvement have been happening at China since 30 years ago, and the influence of traditional culture, population boom or demographic dividend and the invasion of western technologies and cultures, net game industry, which has been only existing for less than 15 years at China, has become one of most profitable industries and changed the living of millions of people. The goal of this essay is to explore the economic performance of networks during last dozen years in China and find the drivers and reasons. By picking up the data between 2001 and 2013, sufficient data and researches will be provided for the study for the network games in China.
|
guest ::
RSS feed.