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The yield, risk and liquidity of investment options
ZÁMEČNÍKOVÁ, Veronika
In this thesis I am focusing on financial investments, their yield, risk and liquidity and portfolio. First I will divide financial and capital markets, characterize investments and investing process phases. Financial instruments, into which investor can deposit his free finances, such as stocks, bonds, unit trusts, money deposits, commodities, real estate, or foreign exchange market are introduced to the reader. The investor has various options, but in my thesis, I will focus on financial investment. In the next chapter I will define 3 important terms, yield, risk, and liquidity, and how to calculate those values. I will also shortly inform about portfolio and calculation of its yield and risk. In the last chapter of the theoretical part I will introduce investment strategies, that investor can approach, based on investment period, approach to risk and risk of inflation. For the practical part of my thesis I chose savings account, state and corporate bonds and stocks. For chosen instruments I calculated yield, risk and guessed liquidity. Due to the nature and comparison of chosen investments I calculated only current yield. For risk I set up time period of three years. For chosen bonds the duration was calculated. Data that have been used in this thesis had to be months old, because of the COVID-19 epidemic, that had negative effects on stocks markets. I compared the results and, in the end recommended a suitable strategy for set investors.
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Interest Rate Risk Analysis by Principal Component Method
Myšičková, Ivana ; Houfková, Lucia (advisor) ; Prášková, Zuzana (referee)
Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest rates of zero-coupon bonds for various times to maturity which will be used for the construction of the yield curves. Based on these bond yield curves we evaluate the bond, thus obtaining a picture of the evolution of its price. Later on, we try to estimate its price tomorrow. We present two approaches how to deal with this problem. First approach is the normal interest rate risk analysis based on duration and convexity, second approach is the method of principal components which will be applied to the historical daily changes in yield curves. The method of principal components is introduced in detail.
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Modelling Duration of Financial Transaction Data
Nácovský, Patrik ; Hendrych, Radek (advisor) ; Branda, Martin (referee)
This bachelor thesis deals with ACD (autoregressive conditional duration) model, which is used to estimate durations of time series of financial transaction data. First, duration and time series are defined formally as well as with the intuitive way. Next, model ACD itself is defined and its basic types, which are determined with distribution of its residuals. Then way to use this model for predictions is introduced. In the second part, steps for model identification, construction and revision are described. In the last part models EACD, WACD and GACD are constructed for real data. There are three data sets of thick data, which are Apple stocks, EUR/USD and gold. Data sets contain from 300 thousands to 600 thousands elements (one trading week).
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Interest rate risk measurement and management in theory and practise
Stará, Pavla ; Pečená, Magda (advisor) ; Patáková, Magdalena (referee)
The bachelor thesis is focused on the risk management in a bank, notably, on the interest rate risk measurement and management. For banks it is important to know the level of risk exposure and according to that to select appropriate management strategy that will minimize adverse fluctuations in bank's profitability. The thesis summarizes the basic models used for measurement, whereas we find out that none of them is perfect and their functionality is conditional upon various assumptions. Furthermore, it deals with analyzing selected basic instruments used for interest rate risk management, which implies that the management process is complex. The usage of various instruments may expose the bank to additional risks. Therefore, it is not possible under the effort to successful management to focus exclusively on the interest rate risk, however, it is necessary to analyze the other risks at the same time. The case study is aimed at the estimation of interest rate risk exposure on the basis of provided GAP analysis. There are three calculation methods presented, although the third one was not possible to apply due to lack of data. Regarding that the obtained results contain just estimates, the final calculations might be affected.
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Interest Rate Risk Analysis by Principal Component Method
Myšičková, Ivana ; Houfková, Lucia (advisor) ; Prášková, Zuzana (referee)
Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest rates of zero-coupon bonds for various times to maturity which will be used for the construction of the yield curves. Based on these bond yield curves we evaluate the bond, thus obtaining a picture of the evolution of its price. Later on, we try to estimate its price tomorrow. We present two approaches how to deal with this problem. First approach is the normal interest rate risk analysis based on duration and convexity, second approach is the method of principal components which will be applied to the historical daily changes in yield curves. The method of principal components is introduced in detail.
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Behavior of bonds conditioned by negative interest rates
Biljakov, Nik ; Stádník, Bohumil (advisor) ; Galuška, Jiří (referee)
Current economic situation is characterized for deflation and low inflation, low economic growth, and low or negative interest rates, which lead to phenomenon of issuing governments bonds with negative yield. The main goal of this work is to understand the valuation and behavior of bonds with condition of negative interest rates, analyze impacts of negative rates on volatility of bonds. This work also compares the behavior of negative yields of bonds in contrast with positive yields. The contribution of this work consists in the critical evaluation of limitations of the formula for calculating the bond price to fulfill its role if the values of negative interest rates are too low.
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Use of Bond Analysis during Estimating Process of Exchange Rates of Selected Securities
Hejduková, Denisa ; Pfeiferová, Daniela (advisor) ; Jana, Jana (referee)
The diploma thesis uses theoretical knowledge from the literature sources. The diploma thesis characterizes capital market and the securities which are active on the capital market. The main theoretical part of diploma thesis is about bonds.
The practical part of diploma thesis is to analyse and compare the state bond, the bank bond and the corporate bond. All of chosen bonds are active on the Czech capital market.
The analyses of the state bond, the bank bond and the corporate bond are provides by calculating of the intrinsic value (the present value) of the bonds, of the profitability of the bonds and of the duration of the bonds. The analyses consists also from the comparing the liquidity of the bonds and their risk. The diploma thesis includes also a global fundamental analyze.
The final part of diploma thesis is comparing of the results of the analyses of the bonds and also includes the advice for the potential investor which bond is better for investing.
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Bond valuation theory
Krchňavý, Martin ; Čech, Tomáš (advisor) ; Pracný, Jakub (referee)
The bachelor thesis discusses the theory of bond valuation with a focus on traditional coupon and zero-coupon bonds without embedded options. Introduction specifies author's objectives and methods, which are used to fulfil these objectives. Theoretical part explains the concept of bond and analyses its individual attributes, such as price, yield and risk. The part with the practical application of the theory contains the description of data obtained from Thomson Reuters Eikon trading platform followed by the demonstration of yield and risk measurements and the valuation of my exemplary bond, which is Czech sovereign bond with a fixed coupon rate issued in the national currency. Conclusion evaluates the achievement of objectives and the potential utilization of results in praxis.
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History of mathematical modelling on financial markets
Cigán, Martin ; Brada, Jaroslav (advisor) ; Langer, Miroslav (referee)
The main goal of this thesis is to introduce the reader to the evolution of some of the well-known mathematical models used in the valuation of investment instruments. The first chapter deals with some of the basic terms used in the following text. The next chapters introduce mathematical models, which are used to valuate stocks, bonds and derivatives. Each chapter contains also a brief description of the instrument itself and in some cases the methods used to evaluate the instruments before the introduction of models. The thesis contains a chapter on concept of portfolio due to its importance in the development of mathematical modelling in this field.
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Duration in portfolio management
Kulhánek, Zdeněk ; Radová, Jarmila (advisor) ; Stádník, Bohumil (referee)
The aim of thesis is to analyze the duration and its application in portfolio management. The work is divided into three logical parts. The intoductory part deal with issues of yield curves and in the following chapters we will build on this knowledge. In the mainstay of thesis we concentrate primarily on duration and its various modifications. The last section is devoted to portfolio management with emphasis on the bond portfolio. All theoretical knowledge is then applied to practical examples, which should lead to a better understanding of the topic.
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