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Current models of liquid financial markets
Grosu, Iulia ; Stádník, Bohumil (advisor) ; Pumprová, Zuzana (referee)
The aim of this paper is to provide a comprehensive overview of selected current models of liquid financial markets, namely to explain their basic principles, assess their strengths and deficiencies and compare them with each other. The thesis is divided into six chapters. The first five chapters focus on the theoretical description of five different models, including their assumptions, the resulting consequences and, where possible, their mathematical formulation. The particular chapters also examine the major problems of the models and provide clear summaries and conclusions. Specifically, this paper discusses the efficient market hypothesis, models of behavioral finance, technical analysis, changing volatility models and dynamic feedback models. The last chapter compares the particular models.
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ETF from investor's point of view
Víťazka, Peter ; Witzany, Jiří (advisor) ; Pumprová, Zuzana (referee)
Bachelor thesis is dealing with description of a modern product called exchange traded funds. It provides information about features, development and functioning of this new investment instrument. It outlines orientation in this topic and analyzes advantages and risks in comparison with chosen product for investor. Purpose of the last analytical part is to draft creation of Czech crown ETF tracking PX index. The thesis yield groundwork for possible launch of this plan.
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Frauds with money and protective steps of banks
Vachulová, Katarína ; Schlossberger, Otakar (advisor) ; Pumprová, Zuzana (referee)
The goal of my work is to approximate frauds with money, with a focus on money laundering and falsification of banknotes and coins. I explore the largest and most interesting frauds in practice and protective steps of banks. Although money laundering is a global problem, I focuse my attention especially on the Czech Republic, although the legislation will ever connect with international standards. I think that money frauds are on the mend, so they should be given greater attention.
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Risk management of commercial banks in CR
Trefil, Tomáš ; Půlpánová, Stanislava (advisor) ; Pumprová, Zuzana (referee)
This thesis deals with methods and approaches, which are applying in risk management. In opening part is applying to specification of credit, market, liquidity and operating risk. In the following part the thesis stems from this division and deals with individual methods of bank risk management. Final chapter closes whole issue with a capital adequacy ratio, where the thesis focuses on particular approaches of calculating the capital requirements towards credit, market and operating risk.
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Comparison of unit linked insurance in the Czech republic
Doubková, Petra ; Zetek, Pavel (advisor) ; Pumprová, Zuzana (referee)
Unit linked insurance in the czech insurance market was analyzed in this bachelor thesis. In this analysis were examined the benefits and shortages which are connected with this product and with the general principles of operation and legislation. Following the current trends of investment instruments, was performed detailed research of how the products are offered by financial advisors. There is also comparison of the various options of this product, which insurance companies offers in the Czech republic. Empirical results show that ULI is a promising product which provides not only the provision of insurance protection, but also can evaluate your investment.
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Analysis of payment systems in the Czech Republic and in the Slovak Republic
Gavorníková, Zuzana ; Schlossberger, Otakar (advisor) ; Pumprová, Zuzana (referee)
The dissertation deals with interbank payment systems with finality of settlement in Czech Republic and Slovakia. First chapter defines each payment system based on different criteria and deals with risks related to operation of payment systems. As both countries are members of European Union, same legal documents of European Union apply for both of them. These documents are described in the second chapter. A brief description of payment systems used in European Union is included in the third chapter. There is also described the development of payment flows in European payment systems TARGET, TARGET2 and EURO1. Forth chapter contains global analysis of Czech payment system CERTIS and Slovak payment systems EURO SIPS and TARGET2-SK from different perspectives. Very important part of this dissertation is fifth chapter, where payment systems are analyzed based on the comparison -- number of participants, number of process payments and volumes of these transactions.
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The Derivatives Markets Development Analysis During Financial Crisis
Zikmund, Michal ; Dvořák, Petr (advisor) ; Pumprová, Zuzana (referee)
The aim of my final thesis is the derivatives markets development analysis during financial crisis. Through basic problems with derivatives accounts of Lehman Brothers we can assess needs of standardization and transparency in area of derivatives instruments with such result which has minimal impact for liquidity on derivatives market. In the next step, there was analyzed year 2008 alone because of bankruptcy announcement of Lehman Brothers and therefore was analyzed impact on derivatives product lines in organized market in this year. Last part of thesis is analyzing development of number and change in traded derivatives contracts, options and futures, in organized market differentiated by products lines since 2002 to 2010.
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Metody oceňování úrokových opcí
Pumprová, Zuzana ; Málek, Jiří (advisor) ; Baran, Jaroslav (referee)
The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.
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Teorie portfolia od vzniku po současnost
Pumprová, Zuzana ; Málek, Jiří (advisor)
Cílem předkládané práce bylo podat průřez hlavních myšlenkových proudů teorie portfolia od jejího vzniku po současnost. Zastoupeny jsou tzv. moderní teorie portfolia, model oceňování kapitálových aktiv a dále modely založené na faktorovém přístupu, behaviorální přístup a konečně post-moderní teorie portfolia využívající ke stanovení rizika portfolia tzv. downside risk. Práce přináší logické utřídění přístupů, které významně přispívají k nalezení zákonitostí fungování finančních trhů, včetně souvislostí mezi nimi.
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