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Stock Exchange Trading and Financial Derivatives in the Czech Republic
DVOŘÁKOVÁ, Aneta
This diploma thesis deals with stock {--} exchange business on European continent, especially on organised markets. Main goal is to underline czech stock market, its financial derivatives. In the theoretical part chosen general topics concerning stock-exchange business on organized markets are characterized. Importace of stock {--} exchange, it structure, principles of business, history of stock {--} exchange business are described. Next chapter deals with czech market (organised Prague stock exchange and an organiser of off-exchange trading RM {--} system), its comparison, the new financial derivatives market as well. As compared markets are chosen: London, Wien, Warsaw, Budapest, Italian stock Exchange, Deutsche Borse, cross border exchange organisation NYSE EURONEXT and Prague stock exchange. The application part is based upon information gathered from web sites of particular stock exchanges and international organisations. Chosen figures concerning positron of stock exchange markets on international market with securities are: organizational structure, way of trading and clearing, trading hours, distributing information, trading financial derivatives, statistical indicators: number of members, market capitalizaton, trade volume, number of transactions and evaluation of futures trades.
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Pricing of gas swing options
Pokorná, Andrea ; Janda, Karel (advisor) ; Vošvrda, Miloslav (referee)
Even though contracts for the purchase and sale of natural gas providing an offtake flexibility concerning volume and time (gas sales agreements) have been commonplace in the natural gas industry for many years, the development of techniques for pricing them has not followed at the same pace. This thesis is motivated by the changing nature of the natural gas industry in the European Union, which is asking for a mark-to-market evaluation of these contracts. The flexibility provided by these contracts is then regarded as a financial option, called a "gas swing option". Since the gas swing option is actually a set of several American puts on a spread between prices of two or more energy commodities, we devote one section of the text to the theory on spread option pricing. Due to the specific features of the energy markets the existing analytic approximations for spread option pricing are hardly applicable to our framework. That is why we employ numerical methods and model the spot price dynamics through stochastic processes capturing such features. The price of an arbitrarily chosen gas swing option is then computed in accordance with the concept of risk-neutral expectations, i.e. is considered as an expectation of discounted future cash flows for a probability structure called risk-neutral. Finally, our...
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Business plan - ChocoBar, Ltd.
Krajčová, Iva ; Boukal, Petr (advisor) ; Krause, Josef (referee)
This work focuses on developing a specific business plan business ChocoBar Ltd. This is the type of the coffee company, whose main commodity is not a coffee, but hot chocolate. The first section explains the basic concepts related to the topic. The second part contains a business plan. It also includes analysis of the estimated financial results for the three years of business.
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CREDIT RISK MEASUREMENT: The case study of Mongolian Small and Medium sized firms
Togtokh, Enkhjargal ; Rippel, Milan (advisor) ; Teplý, Petr (referee)
This thesis presents credit risk measurement approaches and some empirical results of predicting firm's failure by using various financial ratios. It aims to re-examine Altman's Z-score model and build a comparable method by logistic regression, a credit scoring model technique. The small and medium sized enterprises' empirical data used in the research work is provided from a Mongolian commercial bank. We analyzed forty two firms' financial statements, including bankrupted and non-bankrupted firms, for the period of 2007-2008. At first, financial ratios of selected sample have been analyzed through Altman's Z-score model. Overall, prediction accuracy of Altman Z-score model was significantly high, 71 percent. In terms of logistic regression method, we estimated fifteen financial ratios through the model and come to conclusion that two ratios, namely cash to total asset ratio and retained earning to total asset ratio, are significant predictor for firm's bankruptcy in Mongolian SMEs. If we compare the prediction power of the two methods, model derived from logistic regression is slightly lower than in Altman Z score model. Keywords: Credit Risk measurement, bankruptcy, Altman Z score, logistic regression
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Legal issues of derivatives
Kessler, Tomáš ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
1 Legal Issues of Derivatives Abstract Derivatives symbolize one of the most successful instruments of international markets in 20. century boosted by ongoing globalization and never-ending technological progress. Though origins of derivatives could had been found in Ancient times, the real "explosion" of derivatives has blown in last two centuries. The essential objective and purpose of the thesis is firstly to analyse the true meaning and definition of the term "derivative" and surrounding legal issues and secondly to provide comprehensive list of basic derivatives according to the historical and financial-economic indicators. My thesis consists of six chapters. First two introductory chapters deal with the general aspects of derivatives, such as definition and legal nature. Derivatives, generally speaking, are legal contracts between market participants allowing contracting parties to transfer risks connected with particular underlying to another party or speculate on market movements in order to gain profits. Derivatives are traded in both, standardized and OTC markets, which embodied them with ultimate flexibility and range. Assessing true legal nature of derivatives stands for one of the main issues concerned by academics and practitioners, in particular whether derivatives fall under the category of...
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Hedge Funds and Their Impact on Financial Markets
Jeřábek, Tomáš ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Čihák, Petr (referee)
The aim of this PhD thesis is to analyze the history and current situation of hedge funds and assess their potential to destabilize financial markets. The findings of the analysis are used to validate the assumptions underlying the major regulatory changes of hedge funds in the key global economic centres after the financial crisis in 2008 and 2009. Since their inception early last century hedge funds have gone through a period of great expansion in the sixties, followed by a decline due to large losses sustained in the early seventies. The nineties meant a real breakthrough for hedge funds as a result of which they became prominent players in the alternative investment space. As of today, there is over ten thousand hedge funds that globally manage close to 3 trillion US dollars. Compared to mutual funds and other financial institutions the volume of assets under management is still relatively small, the rate of growth over the past fifteen years has however been very significant. What is emphasized with respect to the impact of hedge funds on financial markets is the contribution to increasing the liquidity and efficiency and their role on the financial derivatives market where hedge funds are actively involved in the transfer of risk. They are at the same time subject of criticism for their purported destabilizing effect on financial markets and contribution to fluctuations in the prices of investment instruments. Although the share of hedge funds in triggering major financial crises has not been conclusively established, these investment entities were one of the targets of the wide-ranging regulatory changes following the financial crisis of 2008 and 2009. The dissertation first discusses the history and current situation of hedge funds and defines the term hedge fund. The following section describes the basic characteristics and principles of their functioning and reviews the regulation in the major domiciles. The final chapter is focused on the empirical analysis of the impact of hedge funds on financial markets. The inputs for this analysis include a global hedge fund index and representative market indices and data from the CFTC on positions in the 10 year US government treasury note futures. In the first step the descriptive statistics for the transformed time series are presented. The second part of the analysis focuses on lagged correlations between returns and volatility of the global hedge fund index and representative market indices. Granger causality tests are applied in the following section to determine the relationships between the returns and volatility of hedge fund and representative market indices. In the final step of the analysis Granger causality tests are used to analyze the link between the changes in positions in the 10-year US treasury note futures held by hedge funds and the change in settlement prices of these futures with the aim to assess whether hedge funds have the capacity to move the market. In conclusion, the results of this analysis are discussed in light of the recent regulatory changes and the potential for the future growth of hedge funds is assessed.
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Funds from the European Union
KESLOVÁ, Markéta
The aim of this bachelor thesis is to compare two, a "soft" (non-investment) and a "hard" (investment), projects which represent specific applicants' business objectives for funding grants from the EU. The thesis analyzes deriving from the structural funding of the EU in the programming period 2007 2013, it describes main pitfalls in deriving from these resources and evaluates them. The thesis also describes positive and negative aspects that come with this financial support. This bachelor thesis is divided into two parts a practical part and a theoretical part. The theoretical part describes the 2007 2013 funding programmes. The practical part is focused on the analysis of the operational programmes. It also evaluates positive and negative aspects that come with obtained funds, and the constraints associated with the project implementation.
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Martingale measures and pricing of financial derivatives
Melicherčík, Martin ; Dostál, Petr (advisor) ; Haman, Jiří (referee)
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Petr Dostál, Ph.D., Department of Probability and Mathema- tical Statistics Abstract: The theory written in this work explains basic tools for setting justified price of financial derivatives. Jusified pricing is based on principal of balance, which means, that in advance no side has bigger chance to profit than other. Because of this characteristic, the main pricing tool in the work are martingale measures, which respect the state of balance. From the point of view of martingale measures random processes keep their constant expected value, so we can never expect them to deflect to one side or another. The important part of the work, besides basics of martingales, is Douglas theorem, which answers the question of our ability to theoretically set the justified price of any financial derivative. In the last parts, there are also some manuals and examples how to determine the justified price. Keywords: martingale, martingale pricing, Douglas theorem, predictable process 1
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The Impact of The Accounting Reform Public Finances from 2010 on the Financial Statements in a Municipal Authorities
ZABLOUDILOVÁ, Markéta
This paper examines the accounting reform of public finances from the point of view of its impact on the financial statements of local government units, especially applied to the municipalities in the Vysocina region. The reform changed legislative regulations, especially the accounting law, the decree implementing the accounting law and Czech accounting standards for the selected accounting entities. This thesis analyzes the changes in these regulations and it describes the impact of these modifications on the financial statements. These changes create areas that are, due to the reform, new for villages and can be problematic in context of misinterpretations and wrong booking. The areas affected by the reform are divided into three separate areas. The first area is the creation of state accountancy and implementation of accrual based accounting, connected to the state accounting, from which the further accrual principle is derived. The second imaginary area of changes relates to accounting reform in terms of chart of accounts including an off-balance sheet which has considerably changed. The third area is a wide range of assets of an entity, where there was a major change in relation to the accrual principle and that is the beginning of depreciation of all depreciable assets. In connection with depreciation, adjustments are made and the problem area of inventory of property has widened. Changes occurred in valuation of assets, a new way was created and an obligation to revalue assets held for sale was made. Subsequently, the impact of individual problem areas at the municipalities is examined, and so as how the changes will be reflected in their financial statements.
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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.
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