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Modern mortgage banking in Czech Republic
Slívová, Iveta ; Zichová, Jitka (referee) ; Hurt, Jan (advisor)
Na/cv prace: Autor: Katedra: Vedouci bakalafske prace: R-mail vedouciho: Hypotecni bankovnictvi v CR v soucasnosti Iveta Slivova Katedra pravdepodobnosli a matematicke stalistiky Doc. RNDr. Jan Hurl, CSc. Jan.I hin(ti]mff.cuni.cz Abstrakt: V pfedlozene praci se /abyvamc dncsnim stavem hypotccniho bankovniclvi v Ceske rcpublice. Pozornost je venovana hlavnc hypotecnimu uveru. V prvni casti se nachazi delcni, charakteristika uveru, v/nik a vyvoj hypotecniho uveru od staroveku a/, do soucasnosti a zastavni listy. V druhe rmizeme nalezt nasledujici temala: postup pfi vyfizovani uveru, uvcrovc registry, pfedhypotecni a doplnkove uvery, zjist'ovani bonity diuznika. maximaini vySc uveru, occnovani nemovitosti, cerpani uveru, konslrukce a vyhody splatkovych kalendafu, moznosti vyuzili slatni flnancni podpory. kombinace s zivotnim pojistcnim nebo stavebnim spofcnim, vyliody hypotecniho uveru, hypotecni trh, zadluxcnost a inllace v CR, osobni zhodnoccni a pfedpokladany budouci vyvoj. Klicova slova: Hypotecni uver, hypolecni /astavni list, statni podpora, stavebni spofcni. Title: Author: Department: Supervisor: Modem mortgage banking in Czech Republic Iveta Slivova Department of Probability and Mathematical Statistics Doc. RNDr. Jan Huil, CSc. Supervisor's email address: Jan.Uurt(a}mlT.cuni.ez Abstract: In this work...
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Credit Scoring Models
Drahá, Ivana ; Hurt, Jan (referee) ; Marosi, Gabriel (advisor)
Diploma t hesis deals with fund ament al attributes of credit risks, hist orie development of models and selected statist ical methods for counter party risk meas urement . The mat erial is focused on aplication of cluster analysis and logisti c regression. Fur ther , it provides overview of meas ur ing the effectivity of models, The final par t present s dat a processing in t he SAS software package, findin gs on influence of categorical data repr esentation to model efficiency and depend ence of model efficicncy on size of underlying development sample.
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Prediction of the Need of Money in Economics from the Point of View of Central Bank
Senft, Tomáš ; Hurt, Jan (referee) ; Koňák, Michal (advisor)
This diploma thesis deals with modeling and forecasting of the daily series of currency in circulation, which is one of the main autonomous factors influencing the liquidity of financial markets. Reasons for its modeling are explained and three constructed stochastic models are presented. There are ARIMA and GARCH models based on Box-Jenkins methodology and STS model. STS model is structured time series model using Kalman equations. Forecasts of models are combined together and statistically compared. The results show that the combination of STS and ARIMA models is the best model for forecasting of the daily series of currency in circulation and it has the same forecasting performance as the current model-judgement practice in the Czech National Bank. The model might be also applied at least as a supportive tool for the liquidity management.
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Risk Measures
Ďurišová, Slavka ; Zichová, Jitka (referee) ; Hurt, Jan (advisor)
The main topic of the thesis is to study different measures of risk. It is mentioned here fundamental approach to calculation these risks. At the begining is defined financial risk and its types. Risk measurements are discussed in the next chapter. As first, it is mentioned duration and its diferent types: Macaulay duration, modified duration, and dollar duration and related deals convexity. Then the thesis deals about measure of return and volatility, method VaR and its fundamental approach to calculation: parametric method, historical simulation, and Monte Carlo. Following methods are CVaR and stress testing. Thesis ends with risks ordering and numerical example.
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Computational Aspects of Financial Instruments
Petr, Tomáš ; Myška, Petr (referee) ; Hurt, Jan (advisor)
This work deals with the possibilities of financial derivatives pricing. Explained are especially mathematical approaches used for modelling the development of random variables, which represent the evolution of underlying securities and interest rates. Based on this representation is then derived the pricing of various financial derivatives, mainly options, using the risk-neutral probability measure. Both the analytical pricing methods, especially those extending the Black-Scholes formula for European call and put options pricing, and the numerical and simulation pricing methods for modelling prices and interest rates based on assumptions about their distribution are involved. Mentioned are also ARCH and GARCH models for estimation of interest rates and indices distribution parametres. At the end of the work are these methods compared by application on an example of market data. Compared are various models to price the most usual types of options - analytical pricing (if available), underlying security price simulation by construction of binomial tree model, simulation of particular trajectories by Monte Carlo method.
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Modeling Risk of a Credit Portfolio
Němeček, Tomáš ; Marosi, Gabriel (advisor) ; Hurt, Jan (referee)
Úvěrové riziko je ve finančním sektoru stále největším zdrojem rizika a jeho špatné měření a řízení může vést k obrovským ztrátám. Tato diplomová práce se zabývá metodami modelování (měření) velikosti úvěrového rizika na portfoliové bázi. První část se zabývá regulatorním přístupem k měření úvěrového rizika, který vychází z posledních regulatorních opatření známých pod názvem Basel II. Věnuje se zejména pokročilejšímu IRB (Internal Rating Based) přístupu. Druhá část je věnována modelu CreditMetrics společnosti J.P. Morgan. Výsledky obou přístupů jsou demonstrovány na korporátním úvěrovém portfoliu jedné z největších českých bank (České spořitelny, a.s.). Veškerá potřebná data, výpočty a výsledky jsou uložena na přiloženém CD.
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Multivariate GARCH
Maďar, Milan ; Hurt, Jan (advisor) ; Branda, Martin (referee) ; Mazurová, Lucie (referee)
4 Title: Multivariate GARCH Author: Mgr. Milan Mad'ar Department: Katedra pravděpodobnosti a matematické statistiky Abstract: This thesis will examine the regional and global linkages as evi- dence of integration of stock markets in Frankfurt, Amsterdam, Prague and the U.S. Therefore we will utilize the multivariate GARCH approach that investigates the dynamics of volatility transmission of related foreign exchange rates. Also, we will define three basic model classes. For each of the model classes a theoret- ical review, basic properties and estimation procedure with proofs are provided. We illustrate each approach by applying the models to daily market data. The two main aims of the thesis are to discuss and report the existence of regional and global stock markets linkages and provide a comparison of such multivariate GARCH models on the data sample. The main contribution of the thesis is that it treats the data in the context of real development in financial markets and takes into account the real situation during and after the financial crisis of 2008. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets, which implies that investors can benefit from the risk reduction by investing in the different stock markets, especially during the crisis....
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