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Microeconomic modelling of the behaviour on the financial markets - trading with derivatives
Koľová, Viera ; Hlaváček, Jiří (advisor) ; Janda, Karel (referee)
Financial markets represent a large comlex with a lot of factors. What is for the agents, who are trading on the financial markets important, is to set a method of predicting the future spot price of the assets and the risk, resulting from their positions. Financial derivatives are instruments, those trading depends on the future spot prices predictions and are used for speculative purposes or for hedging. Black-Scholes equation implies the option price, but concludes some not real assumptions.The way, how to determine the option price and to avoid the assumptions in Black-Scholes equation, is to start from the option writer' variation of wealth. Powered by TCPDF (www.tcpdf.org)
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Human capital and the transition in Serbia : accumulation, allocation and implications for development
Cerović, Irena ; Cahlík, Tomáš (advisor) ; Janda, Karel (referee)
Developed industrial economies have faced challenging transformations over the past decade, stemming from the increased global interdependence of economic systems and greater reliance on rapidly changing technology. Along with the reassessment of the bases of modern society came the realization that human knowledge and ability to learn have become a key asset for development and growth. As developed economies reform to adapt to this new reality, they are joined by post-communist countries facing added challenges of political and economic adjustments. This study looks at the paths open to the country that was among the last to enter this process in Europe. Serbia's current situation with respect to human capital is assessed and examined in light of the global processes taking place around it, and its unique challenges are presented. The conceptual approach of the study involves looking at Serbia's human resources in terms of their quality, quantity, and distribution between sectors of differing productivity. This is done through a survey of educational reforms, skilled emigration, and forces determining the allocation of human capital. The study shows that there is a need to adopt an integrated strategic vision of human development as a vital component for the success of the transition. It presents this goal...
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Analysis of publicly listed microfinance equity diversification potential and possible mission drift
Pfeffer, Karel ; Janda, Karel (advisor) ; Čech, František (referee)
MASTER THESIS Analysis of publicly listed microfinance equity diversification potential and possible mission drift Karel Pfeffer 2017 Abstract The objective of this master thesis is to investigate, whether equity of publicly listed Microfinance institutions (MFIs) can be used for portfolio diversification, while these MFIs still maintain its original social mission. To explore these two aspects of publicly listed MFIs, this study is split in two major parts. The first part is focused on the comparison of risk and return characteristics of selected MFIs shares with conventional financial institutions shares and market equity benchmark indices. The analysis indicates no significant diversification potential in publicly listed microfinance equity. The second part of this thesis is exploring the impact of IPO on publicly listed MFIs social outreach. It was found some evidence of a drift from the original social mission among selected MFIs. However, there is not enough evidence to claim that for-profit investment cause long-term significant operational change of MFIs.
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Three essays on public procurement
Skuhrovec, Jiří ; Janda, Karel (advisor) ; Mejstřík, Michal (referee) ; Tóth, István János (referee) ; King, Lawrence (referee)
The core of thesis lays in quantitative analysis of microeconomic data on public procurement and alternative forms of dealing with public money. It consists of three essays with one common attribute: extensive groundwork with data, including overlaps into legal and technical disciplines. The fist essay examines the relationship between transparency of ownership structure and (i) profits of firms winning public procurement contracts and (ii) competition for the contracts and savings of the public authority. It identifies a significant advantage of firms with opaque ownership structure in terms of access to public money. It concludes with a possible explanation of conflict of interest and corruption, which might channel such advantages. The second essay proposes and tests a novel methodology for benchmarking of contracting authorities. The proposed rating measures a deviation from best practice recommendations in the areas of openness, competition and transparency. Indirectly it measures efficiency and corruption potential in public procurement. The pilot results of the methodology are provided and extensively discussed for a group of Czech municipalities. Third essay investigates issue of crowding out effect potentially introduced by EU funds provision. It studies direct budgetary impacts of...
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Portfólio Value at Risk a Expected Shortfall s použitím vysoko frekvenčních dat
Zváč, Marek ; Fičura, Milan (advisor) ; Janda, Karel (referee)
The main objective of this thesis is to investigate whether multivariate models using Highfrequency data provide significantly more accurate forecasts of Value at Risk and Expected Shortfall than multivariate models using only daily data. Our objective is very topical since the Basel Committee announced in 2013 that is going to change the risk measure used for calculation of capital requirement from Value at Risk to Expected Shortfall. The further improvement of accuracy of both risk measures can be also achieved by incorporation of high-frequency data that are rapidly more available due to significant technological progress. Therefore, we employed parsimonious Heterogeneous Autoregression and its asymmetric version that uses high-frequency data for the modeling of realized covariance matrix. The benchmark models are chosen well established DCC-GARCH and EWMA. The computation of Value at Risk (VaR) and Expected Shortfall (ES) is done through parametric, semi-parametric and Monte Carlo simulations. The loss distributions are represented by multivariate Gaussian, Student t, multivariate distributions simulated by Copula functions and multivariate filtered historical simulations. There are used univariate loss distributions: Generalized Pareto Distribution from EVT, empirical and standard parametric distributions. The main finding is that Heterogeneous Autoregression model using high-frequency data delivered superior or at least the same accuracy of forecasts of VaR to benchmark models based on daily data. Finally, the backtesting of ES remains still very challenging and applied Test I. and II. did not provide credible validation of the forecasts.
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Biopaliva v Ruské federaci, Ukrajině a Bělorusku: současný stav a výhled do budoucnosti
Stankus, Elena ; Janda, Karel (advisor) ; Mazáček, David (referee)
The purpose of diploma thesis is to provide an overview of biofuels market in Russian Federation, Belarus and Ukraine and estimate prospects of future development. First chapter characterizes biofuels in regard of the feedstock and further utilization. Next part of the thesis describes development of biofuel industry in the key selected countries and analyses current trends on the global market. Next three sections review Russian, Ukrainian and Belarusian sectors of biofuels including feedstock potential, supportive policies, strategies, international collaboration and issues in biofuel production, distribution and consumption in each country. Last section of the thesis investigates potential from exported raw materials and its contribution to achievement of established targets with the following outlook for the future development.
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Option pricing under stochastic volatility
Khmelevskiy, Vadim ; Fičura, Milan (advisor) ; Janda, Karel (referee)
This master's thesis focuses on the problem area of option pricing under stochastic volatility. The theoretical part includes terms that are essential for understanding the problem area of option pricing and explains particular models for both option pricing under stochastic volatility and those under constant volatility. The application of described models is performed in the practical part of the thesis. After that particular models are compared to the real data.
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Development of oil and the impact on modern society
Khlyustova, Anastasia ; Cibulka, Jakub (advisor) ; Janda, Karel (referee)
The aim of this thesis entitled Development of oil and the impact on modern society is to analyze the evolution of oil prices, to describe the factors affecting it, identify strengths and weaknesses, and try to dismantle existing models of prediction. The important part is the valuation of the forecasts. Selected problem is solved using data and models provided by large institutions such as the IMF, World Bank, etc. Final summary was devoted to compare and analyze those models which are considered to be the most reliable. There were also included ideas of the author regarding the future development of prices. Also, it has been argued, if after all it is still possible to predict future price trends, either based on futures markets, the available media information or econometric models.
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The problems of financing start-up companies in the Czech Republic
Oravcová, Zuzana ; Teplý, Petr (advisor) ; Janda, Karel (referee)
The bachelor thesis Problems of Start-up Funding in the Czech Republic analyses possibilities which are provided in the area of the Czech Republic and hints the manual of funding sources regarding the stage of a company or an individual. The next chapter is focused on the hypothesis of the surplus of liquidity in a financial sector and the increasing trend of investments into the start-ups accompanied with a higher risk rate. Last but not least, the thesis depicts the cooperation of banking institutions with the European Union or specialists in a branch such as venture capital companies and startup incubators.
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Depositary Services
Helcl, Tomáš ; Janda, Karel (advisor) ; Veselá, Jitka (referee)
The thesis deals with the functioning of depositories in the enviroment of the Czech market from the perspective of legislative and practical. The introduction is devoted to directives that make up a harmonized legal framework and the Czech legislativ, which specifically prescribes behaving of depositories. The main part is devoted to the depositary functions, such as operating in the Czech market conditions. This part of work is focused not only on the distribution of the depositary market, but also on the collected amount of the fees, the efficiency of regulation in the real market enviroment and in the importace of depositories in the Czech market. The final section is devoted to the findings, including the final assessment of the depositaries. As a first of its kind, this thesis gives a comprehensive view of activity of depositories and their importace for the Czech market, as the depositaries represent entities that control whether funds act in accordance with the legislation. Depository oversees as to prevent fraud and to qualified investors or collective investment contributed to the further development of the capital market, which is necessary for the further development of all economic sectors.
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