|
|
KMV model in the Czech capital market
Jezbera, Lukáš ; Witzany, Jiří (advisor) ; Burešová, Jana (referee)
The thesis is focused on the options of quantifying credit risk by using the concept of the KMV model. The introduction outlines the basic approaches to measuring credit risk. In the following chapters is specified the nature of KMV model with the focus on its application in the Czech capital market. Self-calibration of the KMV model is made in this part. The analytical part related to the quantification of credit risk using the KMV model is implemented on selected companies which are traded on the Prague Stock Exchange. The results obtained are consequently confronted with the official rating degrees of agency Moody's.
|
|
|
Integration of stock markets in 1994 - 2010
Rudolfová, Iva ; Witzany, Jiří (advisor) ; Stádník, Bohumil (referee)
This thesis analyzes the interdependence of stock markets in the Czech Republic, Hungary, Germany and the U.S. between 1994 and 2010. Its aim is to prove or disprove the hypothesis that the correlation of stock markets is growing. Furthermore, it aims to determine whether the benefits of international diversification are important in the 21st century. The first part defines the basic terms related to this issue. The next section describes the historical development of stock markets and major stock indexes. The following is the longest chapter, which deals with the dependence of equity markets. The degree of dependence between markets is measured by correlation coefficients. In order to calculate the correlation coefficients 3 methods were used: 12-month, 24-month moving window and the exponential weighting. It was confirmed that correlation increases in periods of high market volatility and if the equity markets go up. Correlation decreases in periods of low market volatility and if the stock markets go down. There is a long-term increasing trend in the correlation development. The last chapter describes the recent study of P. Christoffersen, V. Errunza, K. Jacobs, and X. Jin, which also deals with this issue. Although the authors used more complex mathematical and statistical methods, their conclusions are similar. At the end of this chapter there is a study dealing with the benefits of international diversification in 2005 and 2009. Its conclusion is that the benefits of international diversification are disappearing.
|
|
|
Credit derivatives market
Prokop, Martin ; Witzany, Jiří (advisor) ; Málek, Jiří (referee)
The main objective of this thesis is to acquaint the reader with the main types of credit derivatives, with the methods of functioning and with main valuation principles. The theoretical part focus on description of credit derivatives market developement with more detailed description of subjcts, who are operating on credit derivatives market. The analysis fosus on how the financial crises influenced these subjects and their credit derivatives portfolios. I have also described the new suggested regulation changes. As a conclusion is the estimation of the regulation changes on the credit derivatives market size.
|
|
|
Market analysis of non-financial derivatives
Martu, Eugeniu ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
In long term well-diversified portfolio of commodities is not only profitable as well as a portfolio of stocks, but they are also slightly less risky. Profitability of the portfolio of commodities is negatively correlated with the return of the portfolio of stocks and bonds. This means that commodities are effective in diversifying equity and bond portfolios. And since this yields negative correlation increases with the length of time. The benefits of diversification are greater the longer they are used. Not only that, since the return of the portfolio of commodities depends positively with inflation, commodities are the most appropriate group of assets to protect against inflation.
|
|
|
Financial derivatives in the world and the Czech Republic
Petrov, Ondřej ; Witzany, Jiří (advisor) ; Witzany, Jiří (referee)
This thesis deals with the financial derivatives and trading in the world and the Czech Republic. The introductory part defines the basic concepts associated with financial derivatives, describes their types and method of statistical reporting. Briefly outlines the basic types of derivatives and their history. The second part evaluates the derivatives trading on Exchange and OTC markets. It is primarily focused on the latest development during the financial crisis. The third part examines more closely trading in the Czech Republic, especially the derivatives trading on the Prague Stock Exchange. The last part focuses on the exotic weather derivatives, which represent an interesting way to insure against natural influences.
|
|
|
Opční strategie
Berezkin, Áron ; Witzany, Jiří (advisor) ; Witzany, Jiří (referee)
The bachelor thesis is focused on a detailed analysis of the option strategy Iron Condor. In the introductory chapter the reader is sufficiently familiarized with basic functioning of the options and with influences that affect their value. Furthermore, detailed description of the strategy Iron Condor is provided including the strategy related context, which a trader needs to be aware of in order to be able to execute the strategy. In conclusion, the strategy is backtested on the U.S. index RUT and the results are analyzed.
|
|
|
European monetary union and debt crisis
Varga, Dušan ; Witzany, Jiří (advisor) ; Baran, Jaroslav (referee)
Diploma thesis aims to offer explanation of reasons that triggered sovereign debt crisis in European monetary union (EMU). Theoretical part describes EMU development since its very beginning and day to day operation, role that ECB plays in the system and most frequently used monetary policy operations by ECB. Practical part is concerned in pre-crisis macro economical development in countries that suffer the most, Greece and Ireland and represent 2 main models how to run into a difficulties and forced to use support of international institutions as ECB and IMF. Scope of diploma thesis is to analyze macroeconomic development, current situation and discuss possible scenarios to solve existing situation and their impact on future of ECB.
|
|
|
The Role of Rating Agencies in Assessing Banking Risks
Strelcov, Olga ; Witzany, Jiří (advisor) ; Tuček, Miroslav (referee)
This thesis evaluates the current status of rating agencies and their importance in assessing bank risk. The first part provides an overview of the rating agencies, describes their evolution and role in the financial markets. The second part describes the effectiveness of new regulation of rating agencies and other steps that should increase the efficiency of measures adopted.
|
|
|
Underpricing and the Long-Run Underperformance of IPOs
Pindroch, Michal ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
When companies go public, the shares they sell tend to be underpriced, and thus exhibit a significant price jump on the first day of trading. As a result, IPO investors materialize significant first-day returns. In the long-run, however, relative to some benchmark, investors appear to lose out by continuing to hold the stocks of firms that have recently gone public. These IPO phenomena are subject of the following study. The thesis addresses two main objectives. First, it systematically surveys relevant empirical evidence and theories that have been proposed to explain IPO underpricing and long-run underperformance. In addition, both anomalies are studied form the viewpoints of two competing finance theories: efficient market hypothesis and behavioral finance. Theories of underpricing are grouped within two broad categories: asymmetric information based models and behavioral theories. While asymmetric information based models assume that one of the IPO transaction parties knows more than others, and that these information frictions give rise to underpricing, behavioral explanations, on the other hand, assume the presence of irrational investors who are the prime cause of underpricing. Theories of poor long-term performance are based on behavioral finance perspective only, where "investor sentiment" plays the main role. On the contrary, proponents of market efficiency strongly argue that the notion of systematic IPOs long-run underperformance is spurious. Secondly, the thesis empirically examines the presence of underpricing and the long-performance of IPOs in European NYSE Euronext markets. In general, the results undoubtedly show that IPOs in the sample are moderately underpriced on average. However, the assessment of IPOs long-run performance provides contentious findings and probably requires further research.
|
|
|
The role of Managed Futures in investment portfolio management
Tomčiak, Boris ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
This thesis is focused on Managed Futures, which is one of alternative investment instruments. Even though its popularity in developed countries rises, it is a rarity in Czech financial market. The main intent is to clarify specifications, historical roots, legal framework and other characteristic aspects. Part of the work will be devoted to the analysis of performance, risk, correlation with other investments and the possibility of inclusion in a portfolio of experienced Czech investor.
|
guest ::
RSS feed.