|
|
Vývoj trhu kreditních derivátů v období krize a jeho možná predikce
Dokulil, Miloš
This thesis is focused on the credit derivatives market. The aim is to identify and quantify the causal dependence of the development of credit derivatives market in relation to the dynamics of macroeconomic indicators and on this basis the possible prediction. At first, it shows with the help of literature review of their present and history and gives a better look to the different types of credit derivatives. The following section deals with the use of these underlying instruments in practice, their possible trading, insurance, or speculation, whether on the OTC markets or organized exchanges. The following describes the events in the capital and commercial markets during the financial crisis that is between the years 2005-2010, from which are taken the data for the empirical part. The empirical part is based on correlation analysis (multiple regression model) of a few selected and described macroeconomic indicators enriched with Granger causality test. In the conclusion may be find the discussion of the results and possible recommendations for potential investors.
|
|
|
Trading in credit derivatives on world financial markets
Šotlíková, Lucie ; Witzany, Jiří (advisor) ; Baran, Jaroslav (referee)
The thesis is focused on the process of trading in credit derivatives on the global financial markets. The first part deals with the history and the development of credit derivatives from the very beginning to the present and all factors that influenced and affected them during that time. Various derivative instruments are explained, in terms of their purpose, suitability for use and the risks arising from them. Mainy focus of the thesis is put on the selected stock markets (CME Group Inc., Eurex AG, NYSE Liff Holdings LLC). This section begins with their history, then it describes their structure and purpose. It explains stock market membership conditions and settlement of exchange contracts principles. The final part clarifies the role of credit derivatives in the financial crisis and the reasons that led to it. In the final part of the thesis organizations that regulate credit derivatives are described, in addition to regulation methods and aids, specifically in terms of new regulatory measures under Basel III and the organization of ISDA, which are also included. At the very end the possibilities of securitization and credit risk diversification are explained as well as methods of credit instruments valuation, which are demonstrated on an example of Credit Default Swap.
|
|
|
The Current Financial Crisis and Its Impact on International Trade
Peterka, Martin ; Drozen, František (advisor) ; Marková, Jana (referee)
The thesis is aimed at explanation of the factors that led to the creation of the current financial crisis in their mutual context. Emphasis is placed on the way of providing mortgages in the USA, policy of FED and credit derivatives. The impacts of the crisis on banking, stock and commodity markets, building industry and automotive industry are discussed as important determinants of international trade. It is shortly mentioned how countries like Germany, China or Czech Republic dealt with the crisis. The final part of the thesis is devoted to the impacts of the crisis on international trade, these impacts result from the issues that are described in the first two parts. Discussed are the commodity and territorial structures of the international trade during the years of crisis. Also the impacts on the foreign trade of the Czech Republic are stressed.
|
|
|
Credit derivatives market
Prokop, Martin ; Witzany, Jiří (advisor) ; Málek, Jiří (referee)
The main objective of this thesis is to acquaint the reader with the main types of credit derivatives, with the methods of functioning and with main valuation principles. The theoretical part focus on description of credit derivatives market developement with more detailed description of subjcts, who are operating on credit derivatives market. The analysis fosus on how the financial crises influenced these subjects and their credit derivatives portfolios. I have also described the new suggested regulation changes. As a conclusion is the estimation of the regulation changes on the credit derivatives market size.
|
|
|
Why impose regulaton on credit derivtives mainly CDS
Holman, Jiří ; Dobrovolný, Marek (advisor)
This bachelor thesis is about issues and negative impacts of credit derivatives, especially Credit Default Swaps. It discuss their planed regulation. First part breifly describes the main types of credit derivatives, then their history an circumstances which led to their creation, their history and developement. Main reasons, why credit derivatives don't respond to any regulation. Second part is about positive and negative effects of credit derivatives and arguments for and against their regulation. Aim is to solve the question, whether their planned regulation is sufficient or not.
|
|
|
Role of credit derivatives in US mortgage crisis
Münchová, Tereza ; Taušer, Josef (advisor) ; Čan, Jan (referee)
Credit derivatives are one of the most often discussed instruments which influenced the mortgage crisis in USA and consequently also the global financial crisis. Credit derivatives are complex instruments. The aim of this thesis is to describe credit derivatives, dealing with them, analyse the situation on the housing market in USA, determine what the role of credit derivatives in the crisis was and analyse other factors, which contributed to the creation of the crisis.
|
|
|
CDO jako druh sekuritizace
Bogun, Alona ; Málek, Jiří (advisor) ; Dvořák, Petr (referee)
Vymezení CDO jako samostatného druhu sekuritizace a porovanání se sekuritizaci tradiční. Vymezení základních parametrů (kreditní struktura, účel vytvoření, struktura tranší, podkladová aktiva), které charakterizují CDO a systematizace CDO dle uvedených parametrů. Vysvětlení specifik vybraných struktur (Cash Flow, Market Value, Syntetická CDO) a rizik s nimi spojených. Popis kolaterálu a specifik struktury Structured Finance CDO.
|
guest ::
