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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Konstrukce výnosové křivky
 Antas, Vilém ; Stádník, Bohumil (advisor) ; Teplý, Petr (referee)
The goal of this thesis is to analyze the mathematical apparatus of the most widespread methods used for the yield curves construction. It aims to introduce not only the various of construction models but also to describe the whole process of creation, while discussing the advantages and disadvantage of individual methods. The first chapter focus on the general theory and the use of the term structure of interest rates in practice. The second part deals with the construction process itself and describes the most frequently used methods. The last chapter then shows the real application of selected methods on given data set and the use of the constructed yield curves for interest rate derivative valuation too.
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The impact of counterparty risk on derivative valuations and the behavior of banks
 Šedivý, Jan ; Brada, Jaroslav (advisor) ; Daňhel, Jaroslav (referee) ; Míšek, Radoslav (referee)
In the thesis we analyse changes in derivatives valuation after the financial crisis and their impact on behaviour of financial institutions. We focus mainly on the changes related to counterparty credit risk and valuation adjustments. We describe in economical terms the relationship between counterparty credit risk and traditional credit risk, we also introduce management and modelling of this risk. In second part of the study we analyse the regulatory framework, in particular new capital requirement and mandatory central clearing of OTC derivatives. We discuss inconsistencies between regulatory and internal approaches to the counterparty risk measurement and also significant systemic risk connected to central counterparties. Finally we investigate the impact of changes in derivatives valuation on banks in both the EU and the Czech Republic. Specifically we are interested in optimal approach to entering into derivative trade.
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