National Repository of Grey Literature 12 records found  previous11 - 12  jump to record: Search took 0.00 seconds. 
The CZK yield curve analysis and its application for the ALM analyses
Walos, Michal ; Dvořák, Petr (advisor) ; Tuček, Miroslav (referee)
The diploma thesis deals mostly with interest rate risk issue. It describes the basic methods of interest rate risk measurement with use of analyses executing by Asset Liability Management department in banks. Such analyses as repricing GAP, net interest income analysis, market value of equity and sensitivity analyses to interest rate movements. There is an analysis of Czech crown yield curve as well, in order to deeper insight of its probability behaviour. Results of this analysis are used for advanced techniques in ALM. Especially knowledge of volatilities of particular yield points and theirs relations is used in these methods. There was also a multi equation model for predictions of yield curve development created. One of the variables in the model there is the 2-week repo rate of Czech National Bank included.
Managing interest rate risk
Hrouda, Jiří ; Radová, Jarmila (advisor) ; Witzany, Jiří (referee)
Main interest of this bachelor thesis is a management of interest rate risk from the ALM point of view. The goal is to provide a reasonable insight into management procedure as a whole i.e. from theory and measurement to evaluation of interest rate risk. Due to the limitation of extent, hedging of interest rate risk is not treated in the thesis. Real data analysis of interest rate risk is an essential part of the thesis. In the analysis the approaches to measurement of interest rate risk are being used on real data simulating real life interest rate risk measurement procedure.

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