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Řízení rizik pomocí úrokových a měnových swapů / Risk management with interest rate and cross currency swaps

The thesis is presents in detail selected financial derivatives, including interest and currency swaps and other appropriate tools to hedge against interest rate and currency risk. It also shows the accounting and valuation procedures and also leads to the classification of risks associated with the selected instruments. Interpretation and analysis are focused on the economic environment in the Czech Republic and is based on the conventions of the local capital market. Theoretical aspects apply a simple model of interest-sensitive portfolios and examine the effectiveness and validity of two basic methods of quantification and risk management - duration and gap analysis. The aim is to demonstrate the importance of the use of derivatives in risk management in the domestic banking system and to identify strengths and weaknesses in the whole process of applying the two compared methods.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:74689
Date January 2010
CreatorsRáftl, Martin
ContributorsMálek, Jiří, Baran, Jaroslav
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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