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Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic
Džmuráňová, Hana ; Tůma, Zdeněk (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Kotlán, Viktor (referee)
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační práce/ Dissertation title Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Anglický překlad / Title in English Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Autor/ka/ Author Mag. Hana Džmuráňová Rok zpracování/ Year 2021 Školitel / Advisor Doc. Ing. Zdeněk Tůma CSc. Počet stran / No. of pages 197 Abstract in English The thesis Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic deals with the management of interest rate risk and liquidity risk stemming from the core banking system purpose - the maturity transformation. Across five articles, we provide comprehensive theoretical description, regulatory background, and develop models for embedded behavioural options of client products such as non-maturity deposits, with special focus on savings accounts in the Czech Republic in one of our case studies, or loans with prepayment option. We apply our models on the major Czech and Slovak banks and we calculate the exposure of those banks to interest rate risk in terms of regulatory guidelines. We derive that all banks in our analysis are positioned to benefit when interest rates increase as demand deposits like current accounts are...
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The development and impact of internet finance
Wang, Jia ; Dědek, Oldřich (advisor) ; Kotlán, Viktor (referee)
In recent years, the rapid development of Internet finance has seized the financial market with a variety of business modes, which has had a strong impact on traditional financial institutions. This thesis analyzes the characteristics and main modes of Internet finance to explore the impact and future development of Internet finance. Due to the variety of Internet financial modes, this thesis uses a representative model of third-party payment to study the impact on residents, governments, and commercial banks. The main models used are OLS, panel data models, and VAR models. In order to explore the future development of Internet finance, this thesis not only compares the development of Internet finance in the United States, Europe, and China, but also analyzes the differences in the development of various regions. In addition, the thesis uses SWOT analysis to analyze the current environment of Internet finance, and speculates on future development trends and development measures that can be taken. Keywords: Internet finance, third-party payment, regional differences, future development
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Inflation targeting: To forecast or to simulate?
Skořepa, Michal ; Kotlán, Viktor
Writers differentiate between two basic ways of assessing future inflation: forecast and simulation. A forecast is the most likely picture of the future. In a forecast, all agents are assumed to behave in the most likely way. A simulation, on the other hand, is the most likely picture of the future if the behaviour of one agent follows a predetermined path or is generated using a selected reaction function.
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