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Credit risk management of banks
Pospíchalová, Hana ; Radová, Jarmila (advisor) ; Burešová, Jana (referee)
I have chosen as a thesis topic "Credit risk management of banks". I present in the introductory part of the work the basic theoretical background of the risks associated with lending and outline other risks in the banking sector. The next section is devoted to regulatory changes in the lending business of the state, where I analyze in the detail the various rules that banks must follow. In the next chapter I discuss the credit risk management including collecting of the client information and credit process itself too. The final part of this thesis compares different approaches to credit risk management and credit ratings of individuals by selected banks operating in the Czech Republic.
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Analysis of life insurance in SR
Trebuľa, Michal ; Gruber, Petr (advisor) ; Burešová, Jana (referee)
This bachelor thesis is based on analysis of actual situation on Slovak insurance market of the life insurance. The work is giving for reader further information and analysis of chosen insurance products from capital and investment insurance according with optional supplementary insurance possibilities. Firstly it is drawing attention to general characteristics and reasons for enclosing life insurance agreement. Secondly the work is giving historical overview and in next parts is zooming on and characterizing Slovak insurance market. Practical part is based on the selection of four dominant and major insurance companies in Slovakia and is trying to give general view on actual life insurance products portfolio. These products are secondly analyzed and the work is afterwards giving valorization of advantages and disadvantages according to the criteria of final policy value. At the end I am on the basis of fake client giving recommendation where is the best possibility to enclose life insurance at the present time.
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New challenges in managing Liquidity risk - Liquidity Black Holes
Holovka, Martin ; Witzany, Jiří (advisor) ; Burešová, Jana (referee)
Following the financial turmoil in 2007/2008 liquidity black holes (LBH) has become arising topic often discussed among academics as well as portfolio managers all around the world. More recent view on liquidity risk covers those liquidity black holes which occur when the liquidity completely dries up in a particular market and the market becomes one-sided. There are basically 2 channels through which liquidity can be affected - Demand and Supply. In first case, the portfolios of investors lose the value and consequently the investors lose confidence in financial system. In the second case, banks hit their capital constraints, they tighten the terms of providing credits and loans to reduce the credit risk exposure and hence it becomes more difficult for firms to raise the funds. At this point dangerous spiral arises and the liquidity of financial system evaporates rapidly. The crucial point of this master thesis is to find the main determinants of Liquidity Black holes and find possible solutions to avoid their appearance.
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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.
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Stand of the Council of Europe on the capital punishment in states with the observer status
Burešová, Jana ; Zemanová, Štěpánka (advisor) ; Knotková, Vladimíra (referee)
Death penalty issues are a much discussed topic. Even though many states have abolished the capital punishment, there still constantly reappear tendencies to its restoration. On the other hand the states, which have not revoked executions, are not about to change their stance. The strongest international opponent of death penalty is clearly the Council of Europe. This Bachelor thesis follows the development of the move to abolish the capital punishment and the current situation in Japan, which has been granted the observer status with the Council. The paper also researches when and how the Council of Europe joined this process and the enforceability of its regulations in relation to Japan. The modified spiral model of human rights change is used to analyse the situation.
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Stochastic methods in portfolio management
Vacek, Vladislav ; Radová, Jarmila (advisor) ; Burešová, Jana (referee)
From the beginning of 20th century many studies proved randomness in price evolution of investment instruments. Therefore models respecting this randomness must be used in portfolio management. This thesis' aim is to provide basic theory regarding some of the stochastic methods and show their practical use in real situations.
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Derivative Pricing Using Monte Carlo Simulations
Burešová, Jana ; Witzany, Jiří (advisor) ; Málek, Jiří (referee)
Pricing of more complex derivatives is very often based on Monte Carlo simulations. Estimates given by these simulations are derived from thousands of scenarions for the underlying asset price developement. These estimates can be more precise in case of higher number of scenarions or in case of modifications of a simulation mentioned in this master thesis. First part of the thesis includes theoretic description of variance reduction techniques, second part consists of implementation of all techniques in pricing a barrier option and of their comparison. We conclude the thesis by two statements. The former one says that usage of each technique is subject to simulation specifics, the latter one recommends to use MC simulations even in the case a closed-form formula was derived.
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