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Analýza korunové výnosové křivky a její využití pro ALM analýzy v bance / The CZK yield curve analysis and its application for the ALM analyses

The diploma thesis deals mostly with interest rate risk issue. It describes the basic methods of interest rate risk measurement with use of analyses executing by Asset Liability Management department in banks. Such analyses as repricing GAP, net interest income analysis, market value of equity and sensitivity analyses to interest rate movements. There is an analysis of Czech crown yield curve as well, in order to deeper insight of its probability behaviour. Results of this analysis are used for advanced techniques in ALM. Especially knowledge of volatilities of particular yield points and theirs relations is used in these methods. There was also a multi equation model for predictions of yield curve development created. One of the variables in the model there is the 2-week repo rate of Czech National Bank included.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:76669
Date January 2009
CreatorsWalos, Michal
ContributorsDvořák, Petr, Tuček, Miroslav
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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