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One factor models of interest rates
Jambor, Matúš ; Myška, Petr (advisor) ; Hurt, Jan (referee)
Title: One factor interest rate models Author: Matúš Jambor Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Petr Myška Abstract: In this thesis we looked closely at the models of interest rates that are applied in the area of financial mathematics and actuarial sciences. There are several models that try to describe the behavior of yield curve plausibly. In most of the cases the models stem from probability theory and coincidence. These models are also means for assessment of financial derivates whose price de- pends on the interest rates movements. The work deals with three one-factor models which are analyzed into more details in the second chapter. The last chapter is about real-data calibration. Keywords: one factor models, interest rates, maximum likelihood method 1
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states and we will illustrate on Vasicek's model how to imitate part of risk free interest
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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One factor models of interest rates
Jambor, Matúš ; Myška, Petr (advisor) ; Hurt, Jan (referee)
Title: One factor interest rate models Author: Matúš Jambor Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Petr Myška Abstract: In this thesis we looked closely at the models of interest rates that are applied in the area of financial mathematics and actuarial sciences. There are several models that try to describe the behavior of yield curve plausibly. In most of the cases the models stem from probability theory and coincidence. These models are also means for assessment of financial derivates whose price de- pends on the interest rates movements. The work deals with three one-factor models which are analyzed into more details in the second chapter. The last chapter is about real-data calibration. Keywords: one factor models, interest rates, maximum likelihood method 1
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states and we will illustrate on Vasicek's model how to imitate part of risk free interest
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Úverový proces vybraných obchoných spoločností v komerčnej banke na Slovensku
Ščurková, Agáta
Ščurková, A. The loan process of the selected corporations in commercial bank in Slovakia. Bachelor thesis. Brno: Mendel University, 2015. The subject of the Bachelor thesis is the loan process of business companies in selected commercial bank in Slovakia. The main focus is on the development of marcoeconomics indicators and the development of evolution of the bond market in Slovakia between years 2007-2013. The practical part points out the description of selected prosperous companies, which have been in the Slovak market for a long time and subsequently it also evaluates their credit worthiness and level of risk by means of qualitative and quantitative indicators according to criteria of the selected commercial bank.
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Failure of government regulations on housing markets in the U.S..
Brečka, Peter ; Chytil, Zdeněk (advisor) ; Jaklín, Jiří (referee)
In my thesis I want to focus on the mortgage crisis in the U.S. and the reasons for its formation. I will turn my attention to Fed policy. I will examine the consequences of policy practiced by the Fed - whether it was a "boom" in the housing market and subsequent crisis in the financial markets. Also, I will pay companies Fannie Mae and Freddie Mac, which have a share in the current state of the mortgage market. I will try to compare the bubble in mortgage markets in the U.S. and compare with the bubble in selected European countries. The analysis will be based primarily on a comparison of growth in house prices in recent years before the crisis. That growth, I will compare with interest rate and try to get a result on how much was overdeveloped growth of house prices and how big bubble could develop in the market. Finally, my work should be a summary of the main factors that triggered this crisis.
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