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...

This diploma thesis deals with short-term interest rate models. Many interest models have been developed in the last decades. They focus on accuracy of prediction. The pioneering one was developed by Vasicek in 1977 followed by the work of others. Nowadays these vary in their level of comprehensiveness and technical difficulty. The main aim of the thesis is to introduce not only a basic Vasicek's work but also more sophisticated models such as Brennan-Schwartz or Longstaff-Schwartz.

In this thesis, the interest rates derivatives and their valuation based on the future development of interest rates are presented. The Hull-White model focusing on the modeling of the instantaneous spot rates is described in detail. The model is calibrated to the market caplet volatilities and is used to evaluate various interest rates derivatives. The main emphasis is put on the LIBOR market model describing the development of set of forward rates. There are presented and in detail discussed results of the calibration of LMM model on the market swaption volatilities. At the end the two models are compared.

Práce je rozdělena na tři části. V teoretické části práce jsou přiblíženy významné krize za posledních několik set let, typologie krizí, selhání finančních trhů dle P. Krugmana, generační modely, cenové bubliny, souvislost kapitálových toků a dluhového problému, nákaza, prevence před krizemi a jejich management. V druhé části jsou v rámci popisu současného stavu bádání v oblasti predikce finančních krizí citovány desítky studií. Jejich výsledky jsou následně porovnány. Pozornost je také věnována definici finanční krize. Ve třetí části je provedena aplikace metody Latent Semantic Indexing (LSI) na úlohu predikce finančních krizí. Testovanou hypotézou je předpoklad, že akciové trhy dokáží během jednoho čtvrtletí (64 pozorování akciového trhu) reflektovat budoucí vývoj v měnové politice (během dalších 128 pozorování). Tato hypotéza byla na vzorku 39 zemí, intervalu let 1985 - 2007 a interpretace vývoje úrokových sazeb a měnového kurzu domácí měny vůči USD v disertační práci potvrzena. Uvedená metoda LSI a její studovaná aplikace na akciovém trhu, přestože dokázala nalézt několik krizí i přesně na den, je vhodná spíše pro specifikaci a analýzu křehkých období, kdy ke krizi může dojít, než přímo k předpovídání krizí.

Development and description of the nominal exchange rate of the dollar since 1945. Specification of determinants, which affected dollar exchange rate in the period. Consequences for United states economy and stability of the world fiscal system. Relation between dollar exchange rate and price of gold, relation between dollar exchange rate and price of crude oil. Relation betweén dollar exchange rate and significant financial crisis. Deskripce vývoje nominálního kursu dolaru v období od r. 1945 do současnosti. Určení faktorů, které tento vývoj ovlivňovaly. Důsledky pro ekonomiku USA a stabilitu světového finančního systému. Souvislost vývoje kursu dolaru se změnami cen zlata a ropy. Souvislost s významnějšími finančními krizemi.

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.

The aim of this thesis is to take a closer look on how the stricter capital requirements defined in Basel III framework will influence European banks from a complex point of view - lending rates and volumes of provided loans, profitability, risk taking and market value of banks. Our analysis employing simultaneous equations and panel data models on exp post data on almost 600 banks operating in the EU in period 2005-2011 reports following results: (1) Those banks that will be forced to effectively increase their common equity ratio (CE/RWA) will reflect a one percentage point increase in this ratio into higher lending rates by 18.8 basis points. (2) This should, in turn, lead to a modest impact on the volume of provided loans, i.e. as a result of an increase of CE/RWA to 9.5 % (the case of the strictest scenario), the loan volumes are expected to be lowered by 2% from the current volume. (3) Our study further reports that higher capital requirements will cause a decrease in banks' profitability accompanied by a drop in risk taking. Banks increasing their CE/RWA by one percentage point are expected to experience a decrease in their profitability (measured by ROAA) by 0.122 percentage points. (4) The above mentioned effects were identified as rather negative signals for equity owners, which should be...

Counterparty Credit Risk and Interest Rate Derivatives Pricing Jakub Černý Abstract: This thesis deals with the pricing of OTC financial derivatives including the coun- terparty credit risk (CCR). It focuses on the interest rate derivatives for which the interest rate must be modeled as random. This is where they differ from the pricing of other derivatives. The credit valuation adjustment (CVA) concept is used to calculate CCR which is in line with current banking regulation Basel III. When we assume the independence of the underlying asset and the credit quality of the counterparty, we obtain an analytical expression of CVA. However, if the independence is violated, the CVA calculation becomes quite complicated. Specifically, the CVA of the inter- est rate swap (IRS) is calculated mainly using the simulation approach which is time and computationally consuming. Therefore, we bring two new methods for IRS CVA calculation where the CVA is expressed in a semi-analytical form. These methods use copula functions, particularly the Gaussian copula and the upper Fréchet bound, and we compare them numerically with a complex simulation study. Furthermore, we pro- pose a method of calibration of the correlation coefficient and we determine the impact of changes in the intensity of default on the final CVA with four...

This thesis represents an in-depth empirical study of the dependence structures within the term structure of interest rates. Firstly, a comprehensive overview of term structure modelling literature and methods is provided together with a summary of theoretical notions regarding the use of high-frequency data and spectral analysis. Contrary to most studies, the frequency-domain approach is employed, with a special focus on dependency across various quantiles of the joint distribution of the term structure. The main results are obtained using the quantile cross-spectral analysis, a new robust and non-parametric method allowing to uncover dependence structures in quantiles of the joint distribution of multivariate time series. The results are estimated using a dataset consisting of 15 years worth of high-frequency tick-by-tick time series of US Treasury futures. Complex dependence structures are revealed showing signs of both cyclicity and dependence in various parts of the joint distribution of the term structure in the frequency domain. JEL Classification C49, C55, C58, E43, G12, G13 Keywords term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, inter- est rate futures Author's e-mail adam.nedved@fsv.cuni.cz Supervisor's e-mail barunik@fsv.cuni.cz

This thesis examines the effects of monetary policy shocks on the housing market. To this end, TVP-VAR model with dynamic dimension selection and stochastic volatility is estimated using monthly data for the United States over the period 1999-2017. Moreover, the model features estimating the optimal value of the Bayesian shrinkage coefficient in a time-varying manner. Since the sample covers the Zero Lower Bound period, Wu-Xia shadow rate is employed to measure the stance of monetary policy. To assess the link between housing variables and monetary policy, impulse responses and forecast error variance decompositions are provided. However, due to the time-varying nature of the model, they are estimated only for selected time periods that correspond both to the events that most likely influenced the path of macroeconomic and financial variables and to periods of low economic uncertainty. The main results are threefold. First, the model suggests that monetary policy shocks can contribute to developments in house prices. Second, the stimulative monetary policy positively affects residential investment and negatively affects mortgage rates, however, the effects are not significant due to the large confidence bands of the impulse responses. Third, higher values of the shrinkage hyperparameter are crucial for...