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Financial Derivatives in Praxis
Dalekorejová, Petra ; Sedlák, Petr (referee) ; Sojka, Zdeněk (advisor)
The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.
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Interest Rate Risk Analysis by Principal Component Method
Myšičková, Ivana ; Houfková, Lucia (advisor) ; Prášková, Zuzana (referee)
Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest rates of zero-coupon bonds for various times to maturity which will be used for the construction of the yield curves. Based on these bond yield curves we evaluate the bond, thus obtaining a picture of the evolution of its price. Later on, we try to estimate its price tomorrow. We present two approaches how to deal with this problem. First approach is the normal interest rate risk analysis based on duration and convexity, second approach is the method of principal components which will be applied to the historical daily changes in yield curves. The method of principal components is introduced in detail.
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Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic
Džmuráňová, Hana ; Tůma, Zdeněk (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Kotlán, Viktor (referee)
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační práce/ Dissertation title Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Anglický překlad / Title in English Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Autor/ka/ Author Mag. Hana Džmuráňová Rok zpracování/ Year 2021 Školitel / Advisor Doc. Ing. Zdeněk Tůma CSc. Počet stran / No. of pages 197 Abstract in English The thesis Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic deals with the management of interest rate risk and liquidity risk stemming from the core banking system purpose - the maturity transformation. Across five articles, we provide comprehensive theoretical description, regulatory background, and develop models for embedded behavioural options of client products such as non-maturity deposits, with special focus on savings accounts in the Czech Republic in one of our case studies, or loans with prepayment option. We apply our models on the major Czech and Slovak banks and we calculate the exposure of those banks to interest rate risk in terms of regulatory guidelines. We derive that all banks in our analysis are positioned to benefit when interest rates increase as demand deposits like current accounts are...
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Hedging of a bond portfolio
Kolář, Adam ; Stádník, Bohumil (advisor) ; Kábrt, Tomáš (referee)
The aim of this bachelor thesis is to describe, apply and subsequently analyse the effectiveness of several hedging strategies used when cross-hedging a bond portfolio with futures contracts. The theoretical part of this work is devoted to a general description of characteristics of bonds and futures and, also to basic knowledge of interest rate risk hedging. In the empirical part of this thesis, a bond portfolio is complied, utilising market data, and subsequently it is secured with futures contracts using three different hedging strategies. At the end of the practical part, the effectiveness of each applied strategy is compared. The results of the empirical analysis support, that using the applied strategies when cross-hedging a bond portfolio with futures contracts is in most cases effective.
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Building Societies in Low Interest Rate Environment
Hanzlík, Petr ; Džmuráňová, Hana (advisor) ; Baniar, Matúš (referee)
The aim of this thesis is to analyse the impact of low interest rate environment in the Czech Republic in recent years on the sector of building societies as a specific segment of the financial market. First part of the thesis consists of description of main characteristics of building savings and building societies, e.g. their historical development, with special focus on main types of risk the building societies face. In the second part the impact of changing market interest rate on outstanding volumes of deposits in building societies is analysed. The analysis is conducted through simple time series models estimated by OLS. Final part includes comparison of demand for building savings loans with demand for mortgages as well as consideration of the development of profitability of the sector of building societies in recent years. Powered by TCPDF (www.tcpdf.org)
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Risk management of savings accounts
Džmuráňová, Hana ; Teplý, Petr (advisor) ; Lebovič, Michal (referee)
This thesis deals with the risk management of savings accounts. Savings accounts are non- maturing liabilities bearing two embedded options. The first option is the client's right to withdraw deposits on notice. The second option is a bank's right to change the deposit rate on savings accounts whenever it wishes. This in practice means that a fierce competition may arise as banks can quickly react to competitor's change in the deposit rate. The embedded characteristics make the risk management of savings accounts challenging. We identify five key risks of savings accounts: liquidity risk, market risk (interest rate risk), systemic risk, reputational risk, and model risk. The thesis focuses on the interest rate risk and the method of replicating portfolios, which is a standard technique of the estimation of non-maturing liabilities' interest rate risk employed by banks. Using replicating portfolio approach, we derive that savings accounts are risky liabilities. We provide evidence that high deposit rates offered on numerous savings accounts in the Czech Republic have not been consistent with low market rates since January 2012, at least. We show that unsustainable deposit rates combined with competition among banks will lead to capital losses in some banks when market rates increase. JEL...
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Interest Rate Risk Analysis by Principal Component Method
Myšičková, Ivana ; Houfková, Lucia (advisor) ; Prášková, Zuzana (referee)
Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest rates of zero-coupon bonds for various times to maturity which will be used for the construction of the yield curves. Based on these bond yield curves we evaluate the bond, thus obtaining a picture of the evolution of its price. Later on, we try to estimate its price tomorrow. We present two approaches how to deal with this problem. First approach is the normal interest rate risk analysis based on duration and convexity, second approach is the method of principal components which will be applied to the historical daily changes in yield curves. The method of principal components is introduced in detail.
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Financial Derivatives in Praxis
Dalekorejová, Petra ; Sedlák, Petr (referee) ; Sojka, Zdeněk (advisor)
The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.
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Komparace dopadů metod měření úrokového rizika na kapitálové požadavky
Boleslav, Martin
The goal of the paper is to compare impacts of interest rate risk measuring meth-ods on capital requirements. The first section identifies methods for measuring interest rate risk and capital requirements for interest rate risk set by regulators. The second section compares capital requirements of model portfolio calculated by using standardized methods as well as internal models.
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Tools used to ensure the exchange rate and interest rate risk
Klípová, Iva ; Votava, Libor (advisor)
The goal of thesis is to clarify the nature of the exchange rate and interest rate risk and the possibility to describe the management of these risks. It represents the individual tools used to ensure the exchange rate and interest rate risk and the specific examples explaining the principle of their functioning. The thesis is divided into three parts - the exchange rate hedging, interest rate hedging and risk management, or a summary of each procedure, a brief guide for managers of companies involved in the risk of fluctuations in exchange rates or interest rates touching. Case studies of specific examples shows the possibilities of treatment of exchange rate risk - the exporter trading currency pair EUR / CZK.
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