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| Description
| - Market risk, i.e. possibility of loss due to unexpected changes of exchange rates, interest rates, and other market rates, is one of the key risk factors of banks and financial institutions. Market risks can be hedged or on the other hand multiplied using financial derivatives. Dynamically growing derivatives markets brought not only new possibilities how to transfer risk among market participants but also contributed to a number of huge losses or even bankruptcies. Project goals can be split into three areas: market risk modeling and measurement, valuation and risk management of derivatives, and interaction of market, operational, and credit risks. The aim of the first part is to bring new results and recommendations using modern time series analytical and modeling methods. The aim of the second related part is to apply recent stochastic methods for modeling of assets including market volatilities that are used for valuation and risk measurement of newly created derivatives. The aim of the third part is to map and analyze the cases of significant losses that can be attributed to an interaction of market, operational, and credit risk. The goal is to identify systematic risks, compare it with current standards and regulatory requirements, and to formulate recommendations. (en)
- Cílem projektu je přinést nové teoretické modely, provést empirická testování a navrhnout praktická doporučení v následujících třech oblastech: modelování a kvantifikace tržních rizik, oceňování a řízení rizik derivátů, interakce tržních, operačních a kreditních rizik.
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| Title
| - Market Risk and Financial Derivatives (en)
- Tržní riziko a finanční deriváty
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| skos:notation
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| http://linked.open...avai/cep/aktivita
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| http://linked.open...kovaStatniPodpora
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| http://linked.open...ep/celkoveNaklady
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| http://linked.open...datumDodatniDoRIV
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| http://linked.open...i/cep/druhSouteze
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| http://linked.open...ep/duvernostUdaju
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| http://linked.open.../cep/fazeProjektu
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| http://linked.open...ai/cep/hlavniObor
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| http://linked.open...hodnoceniProjektu
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| http://linked.open...vai/cep/kategorie
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| http://linked.open.../cep/klicovaSlova
| - modely tržního rizika; oceňování finančních derivátů; VaR; interakce rizik (en)
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| http://linked.open...ep/partnetrHlavni
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| http://linked.open...inujicichPrijemcu
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| http://linked.open...cep/pocetPrijemcu
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| http://linked.open...ocetSpoluPrijemcu
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| http://linked.open.../pocetVysledkuRIV
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| http://linked.open...enychVysledkuVRIV
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| http://linked.open...lneniVMinulemRoce
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| http://linked.open.../prideleniPodpory
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| http://linked.open...iciPoslednihoRoku
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| http://linked.open...atUdajeProjZameru
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| http://linked.open.../vavai/cep/soutez
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| http://linked.open...usZobrazovaneFaze
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| http://linked.open...ai/cep/typPojektu
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| http://linked.open...ep/ukonceniReseni
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| http://linked.open...ep/zahajeniReseni
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| http://linked.open...jektu+dodavatelem
| - The project gone according to plan both in terms of expertise and in terms of disbursement of funds. (en)
- Řešení projektu proběhlo podle plánu jak z hlediska odborného tak i z hlediska čerpání finančních prostředků. (cs)
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| http://linked.open...tniCyklusProjektu
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| http://linked.open.../cep/klicoveSlovo
| - VaR
- oceňování finančních derivátů
- modely tržního rizika
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| is http://linked.open...vavai/riv/projekt
of | |
| is http://linked.open...vavai/cep/projekt
of | |
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