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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Analysis of methods for constructing yield curves
 Matějka, Martin ; Janeček, Martin (advisor) ; Sitař, Milan (referee)
The thesis is focused on finding the most appropriate method for constructing the yield curve which will meet the criteria of Solvency II and also the selected evaluation criteria. An overview of advantages of each method is obtained by comparing these methods. Yield curves are constructed using the Czech interest rate swap data from 2007 to 2013. The selection of the evaluated methods respects their public availability and their practical application in life insurance or central banks. This thesis is divided into two parts. The first part describes the theoretical background which is necessary to understand the examined issues. In the second part the analysis of selected methods was carried out with detailed evaluation.
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