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Construction of automated trading strategies based on market statistics.
Šuffner, Otakar ; Brůna, Karel (advisor) ; Skoupil, Lubomír (referee)
This diploma thesis deals with the construction of automated trading strategies, which are built on the basis of market statistics. In the first part are shortly introduced the basic parameters of the E-mini S&P 500. In this chapter is also a detailed description of the process of creating a market statistics. In the second part is described a process of building a number of automated trading strategies. Optimization of these strategies is conducted on historical data. In the second part of this thesis is also shown a discretionary trading system based on market statistics. In order to demonstrate the robustness of automated trading strategies, they are tested on a sample of data outside of the optimization period. The result of the diploma thesis will be an evaluation of the trades and evaluation of the robustness of automated trading strategies.
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Measurement of transaction exposure using Value at Risk
Prorok, Vojtěch ; Brůna, Karel (advisor) ; Skoupil, Lubomír (referee)
The thesis is focused on the process of exchange risk management especially in context of small and medium enterprises. This process consists of exchange risk identification, quantification and decision whether to hedge the exposure. In the first chapter, transaction, economic and translation exposures are described. In the subsequent stage, options of transaction exposure measurement are discussed. The basic principles are demonstrated on scenario analysis and, after that,the description of VaR computed by historical simulation, Monte Carlo simulation and parametric approach is included. In the analytical part of the thesis computation of VaR by using historical and Monte Carlo simulation is illustrated on the case of made up company called CZ_export s.r.o. Four different VaR of its portfolio, which includes five different positions that vary in currency, volume and maturity, are obtained and, consequently, compared one another. In addition, it is proved that including correct correlations is essential for a good informative value of any model. All the computations are performed in Crystal Ball software by Oracle.
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Credit risk of central bank foreign exchange operations
Vlazneva, Anna ; Brůna, Karel (advisor) ; Skoupil, Lubomír (referee)
The current thesis titled "Credit risk of central bank foreign exchange operations" aims to explain the concept of credit risk and its types from theoretical perspective and to define sources of credit risk that are specific for central banks and which arise from central bank's operations. It also aims at the analysis of possible methods of credit risk limitation. The practical part of this thesis is dedicated to the study of specific sources of credit risk as well as methods of credit risk management which are presented on the examples of the central banks of Great Britain, Japan and the European central bank. Closer attention is also paid to the response of these central banks to the 2008 financial crisis and the impact that this crisis had on the extent of their exposure to credit risk.
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Factors of the international competitiveness on example assessment of the competitiveness the Czech Republic within the Visegrad Group
Hlisnikovská, Eva ; Brůna, Karel (advisor) ; Skoupil, Lubomír (referee)
Thesis deals with the the categories of competitiveness, which is inserted into the conditions of globalized international markets. Which advantages and pitfalls globalization bears, describes the first chapter of the thesis. The next chapter defines the notion of competitiveness, its concepts and different sources. The third part offers possible indicators of competitiveness. The offer also includes a manual for the evaluation of results. It also explains possible pitfalls in the construction of indicators. The main objective was to assess the competitive position of the Czech Republic within the Visegrad Group according to chosen indicators. Based on the results, we can conclude that the Czech economy has the best competitive advantage within the countries surveyed in the manufacturing industry, which is also the core of the Czech economy.
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Risk of electricity trading and possible methods of hedging
Garšicová, Beata ; Brůna, Karel (advisor) ; Skoupil, Lubomír (referee)
This master thesis deals with the risks of electricity trading, as well as its monitoring and hedging. The goal is the credit risk assessment of the electricity traders from bank or other financial institution perspective. The theoretical part describes the market itself including current liberalization process and the principles of electricity trading. Further there is a description of potential risks and the examples of possible hedging using derivatives. The practical part identifies the main risks of a concrete example of an electricity trader and quantifies the expected loss from the creditor perspective using the examples of two financial markets products.
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The convergence process of the Czech Republic to European monetary union
Kutinová, Hana ; Mandel, Martin (advisor) ; Skoupil, Lubomír (referee)
The aim of this thesis is to evaluate the convergence process of the Czech Republic. The thesis describes the historical background of the Treaty on European Union and the criteria for adopting the euro are described in detail. The convergence process of the Czech Republic is viewed from the perspective of a nominal convergence (inflation rates, government finance, exchange rates, long-term interest rates) as well as a real convergence (measured by GDP per capita in purchasing power parity). Further, the attention is paid to the institutional framework of fiscal policy of the Czech Republic. Indicators of economic harmonization are also analyzed, such as the business cycle, interest rates, exchange rates and stock indices. The comparative method is used to evaluate -- development indicators are compared over time and with countries in a similar position with the Czech Republic.
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Oil and Exchange Rates of Developed Countries Importing Oil
Skoupil, Lubomír ; Brůna, Karel (advisor) ; Korbel, Jiří (referee)
This diploma thesis looks from theoretical and practical point of view at the relation between the price of oil and exchange rates of developed countries importing this vital resource. First, the character of the dependence between terms of trade and exchange rates is analyzed, followed by a description and verification of models of relationship between the terms of trade and exchange rates. Subsequent text is focused on another models, which analyze directly the connection between oil prices and exchange rates. The thesis ends with a discussion on other possible connecting links in this relation.
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Exchange rate and interest rate in the floating exchange rate regime
Skoupil, Lubomír ; Kuncl, Martin (advisor)
This bachelor thesis deals with the relationship between interest and exchange rates in the floating exchange rate regime from a theoretical and practical point of view. The first part of the thesis addresses the covered interest rate parity theory. The second part examines the uncovered interest rate parity theory, which is analyzed on empirical data. The last part describes the overshooting exchange rate model of Rudiger Dornbusch.
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