|
|
Behavior of bonds conditioned by negative interest rates
Biljakov, Nik ; Stádník, Bohumil (advisor) ; Galuška, Jiří (referee)
Current economic situation is characterized for deflation and low inflation, low economic growth, and low or negative interest rates, which lead to phenomenon of issuing governments bonds with negative yield. The main goal of this work is to understand the valuation and behavior of bonds with condition of negative interest rates, analyze impacts of negative rates on volatility of bonds. This work also compares the behavior of negative yields of bonds in contrast with positive yields. The contribution of this work consists in the critical evaluation of limitations of the formula for calculating the bond price to fulfill its role if the values of negative interest rates are too low.
|
|
|
Krachy na finančních trzích
Tran Dinh, Khanh ; Stádník, Bohumil (advisor) ; Brodani, Jana (referee)
The aim of this work is description and analysis of the phenomena which suddenly cause unexpected and sharp decline in the financial markets, called crashes or collapses. This work is divided into theoretical and practical part. The theoretical part deals with the definition of the financial market and its crash, in addition, this part provides an overview of the theories explaining the origin of the speculative bubble and its bursting. The object of practical part is to describe occurred events in the financial markets in order to determine the possible causes, circumstances and consequences of these crashes.
|
|
|
Financial analysis of the Equa bank Inc
Pejpal, Petr ; Radová, Jarmila (advisor) ; Stádník, Bohumil (referee)
The aim of the thesis is a financial analysis of the company Equa bank Inc. since year 2011 when the company change the ownership and being renamed to year 2015. The thesis consist of three main parts. The first part consists of chapters General Description of the financial analysis and Procedures, methods and indicators of financial analysis. This part describes the essence of financial analysis and its general approach. The second part consists of chapters Equa bank Inc. and "Analysis of the sector. This part contains basic information about the company and analysis of the banking market situation. The last part consists of the chapter Analysis of Financial Statements and Financial indicators. This section analyzes the financial situation of the company. The thesis conclusion contained summarizes of the analysis and recommendations for the company.
|
|
|
The Switch from LIBOR to OIS Discounting
Kotálová, Magdalena ; Stádník, Bohumil (advisor) ; Staniek, Dušan (referee)
The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LIBOR to OIS discounting. Prior to the global financial crisis, LIBOR (London Interbank Offered Rate) represented an approximation of the risk-free rate in the valuation of interest rate derivatives. The collapse of Lehman Brothers in 2008 resulted in sharp widening of the LIBOR-OIS spread, an indicator of the interbank market stress. Many derivative practitioners have become concerned about the choice of an appropriate risk-free rate. Traditional valuation approaches using LIBOR discounting have been reviewed. Meanwhile, the OIS (Overnight Indexed Swap) rate has become a better proxy for the risk-free rate, at least for collateralized or centrally cleared transactions. Firstly, the research aims to discover the divergences between LIBOR rates, popular pre-crisis proxies for the riskfree rate, and OIS rates, their post-crisis alternatives. Secondly, it covers the interbank lending market, and analyzes individual LIBOR-OIS spreads for the USD, EUR, GBP and CZK currency. Thirdly, it explores the transition to OIS discounting in connection with an influence on a wide spectrum of interest rate derivatives. Therefore, any potential effects are demonstrated on numerical valuation examples of interest rate swaps in the USD, EUR, and GBP currency. Finally, the diploma thesis addresses a topic of collateral management and clarifies different approaches using LIBOR or OIS rates for collateralized or non-collateralized transactions.
|
|
|
Application of Monte Carlo simulation in risk management
Pelešková, Kateřina ; Teplý, Petr (advisor) ; Stádník, Bohumil (referee)
The global financial crisis of 2008, which forced the central banks around the world to defend a financial stability by using non-standard instruments such as quantitative easing, has resulted in, among other things, the fall of the interest rates to zero, and even to negative values in some countries, which has become the new normal in banking field. In this thesis, we focused on the Czech financial market, and we used the method of Monte Carlo simulation in the Vasicek model for the prediction of the future development of interest rates, both short and long maturities. The model shows that in the short term the rates may fall to negative values, but the prediction shows rising interest rates up to their own equilibrium. The 3-months and 6-months rates show surprisingly uncharacteristic behavior, where their long-term decline and higher volatility caused calculation of the equilibrium as a negative value in the Vasicek model. Than we apply the results in the model for calculating changes in the prices of bonds, which are negatively correlated with the interest rates, and we explore the repricing costs for the bondholders. Also, we will show that commercial banks may control the impact of the interest rate risk on capital by composition of financial assets in various categories, where the accounting classification of the instrument is critical to revaluation of the capital.
|
|
|
Anomalies of financial markets
Máčayová, Miroslava ; Stádník, Bohumil (advisor) ; Vacek, Vladislav (referee)
Theory of efficient markets generally describes financial market as a place with perfect rationality and awareness. According to this theory, the price of each instrument fully reflects all available information, therefore denies the existence of poorly rated stocks. Against this doctrine stands the theory of behavioral finance, which describes, that individuals on financial markets do not always act in rational way, and their behavior is affected with emotions. This psychological phenomenon has the consequence that on the financial market are visible certain anomalies. There are a lot of explanations of these abnormalities. One of the assumptions is that the prices of instruments tend to rise more slowly than fall. This different is in my work explained by the theory of black swan - the existence of unexpected, but the price-setting information. Another psychological theory causing the abnormalities is called the round number effect, which describes that investors consciously or subconsciously tend to perceive the rounded amounts differently than others. Empirical results of my thesis largely demonstrated that the two psychological effects mentioned to some extend contribute to the existence of deviations from normal, and confirm the occurrence of irrationality on financial market.
|
|
|
Cyber risk of cashless and electronic payments
Jahodář, Martin ; Stádník, Bohumil (advisor) ; Teplý, Petr (referee)
The author of this bachelor thesis deals with the present phenomenon, namely cyber risk narrowed to the field of payments. The subject of this thesis is to present comprehensive and understandable information about this phenomenon with the accent on defining vulnerable points to cyber risk connected with payments. At the same time, it should recommend steps to reduce the cyber risk and show how other users do so. A survey research is a part of this thesis and it analyses the awareness of society in this field. Last but not least it shows real cases of the cyber-crime.
|
|
|
Cyber risk in banking
Linert, Jan ; Teplý, Petr (advisor) ; Stádník, Bohumil (referee)
The bachelor thesis deals with the cyber risk in banking industry. Its main goal is to stress the imporatance of cyber risk both verbally and numericaly and review the approach of banks to this risk. The first part of this thesis specifies what cyber risk is and how it fits among other operational risks, presents the common cyber-attacks and archetypes of cyber criminals, later it delves into the cyber risk in Czech Republic and at the end of this part it mentions the legislation that covers the cyber risk. The second part of this thesis examines the cyber risk from three different angles: the amount of security threats from the analyses of security experts, the importance of cyber risk to the bankers from market analyses and evolution of the regulatory capital for operational risk from annual reports of chosen banks and the statistical data of EBA, ECB and ČNB.
|
|
|
Risks of using VaR models for portfolio management
Antonenko, Zhanna ; Stádník, Bohumil (advisor) ; Vacek, Vladislav (referee)
The diploma thesis Risks of using VaR models for portfolio management is focused on estimation of the portfolio VaR using basic and modified methods. The goal of this thesis is to point out some weakness of the basic methods and to demonstrate the estimation of VaR using improved methods to overcome these problems. The analysis will be perform theoretically and in practice. Only market risk will be the subject of the study. Several simulation and parametric methods will be introduced.
|
|
|
The Use of Financial Derivatives to Hedge Against Currency Risks
Daňhel, Tomáš ; Stádník, Bohumil (advisor) ; Mazáček, David (referee)
Diploma thesis is focused on analysis and comparison using financial derivatives to hedge currency risk. The first part of the thesis describes instruments used for hedging: forex forwards, futures contracts and currency options. Those instruments are used for back-testing in analytical part, currency crosses used for back-testing are EUR/USD, EUR/GBP and GBP/USD. The main goal of this thesis is to evaluate the posibility of using them to hedge currency risk, comparison of their efectivity and application.
|
guest ::
