04797ntm a22005417a 4500 000214964 CZ-PrVSE 20120219162148.0 m d cr n|||||||||| 120219s2010 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Kladívko, Kamil ISIS:3041 dis Modely finančních časových řad a jejich aplikace eng Interest Rate Modeling [elektronický zdroj] / Kamil Kladívko 2010 ?? s. : digital, PDF soubor Vedoucí práce: Josef Arlt Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2012 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2012 I study, develop and implement selected interest rate models. I begin with a simple categorization of interest rate models and with an explanation why interest rate models are useful. I explain and discuss the notion of arbitrage. I use Oldrich Vasicek's seminal model (Vasicek; 1977) to develop the idea of no-arbitrage term structure modeling. I introduce both the partial di erential equation and the risk-neutral approach to zero-coupon bond pricing. I briefly comment on affine term structure models, a general equilibrium term structure model, and HJM framework. I present the Czech Treasury yield curve estimates at a daily frequency from 1999 to the present. I use the parsimonious Nelson-Siegel model (Nelson and Siegel; 1987), for which I suggest a parameter restriction that avoids abrupt changes in parameter estimates and thus allows for the economic interpretation of the model to hold. The Nelson-Siegel model is shown to fit the Czech bond price data well without being over-parameterized. Thus, the model provides an accurate and consistent picture of the Czech Treasury yield curve evolution. The estimated parameters can be used to calculate spot rates and hence par rates, forward rates or discount function for practically any maturity. To my knowledge, consistent time series of spot rates are not available for the Czech economy. I introduce two estimation techniques of the short-rate process. I begin with the maximum likelihood estimator of a square root diff usion. A square root di usion serves as the short rate process in the famous CIR model (Cox, Ingersoll and Ross; 1985b). I develop and analyze two Matlab implementations of the estimation routine and test them on a three-month PRIBOR time series. A square root diff usion is a restricted version of, so called, CKLS di ffusion (Chan, Karolyi, Longsta and Sanders; 1992). I use the CKLS short-rate process to introduce the General Method of Moments as the second estimation technique. I discuss the numerical implementation of this method. I show the importance of the estimator of the GMM weighting matrix and question the famous empirical result about the volatility speci cation of the short-rate process. Finally, I develop a novel yield curve model, which is based on principal component analysis and nonlinear stochastic di erential equations. The model, which is not a no-arbitrage model, can be used in areas, where quantification of interest rate dynamics is needed. Examples, of such areas, are interest rate risk management, or the pro tability and risk evaluation of interest rate contingent claims, or di erent investment strategies. The model is validated by Monte Carlo simulations. Způsob přístupu: Internet statistika [obor disert. práce] disertace fd132024 czenas dissertations eczenas risk management of interest rates interest rate modeling short-rate process estimation yield curve fitting Arlt, Josef, 1962- jo20000079968 ths Witzany, Jiří, 1966- vse2007429830 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 https://isis.vse.cz/zp/14864/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/14864 Hlavní práce https://isis.vse.cz/zp/14864/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/14864/posudek/oponent/23446 Oponentura https://isis.vse.cz/zp/14864/posudek/oponent/23447 Oponentura https://isis.vse.cz/zp/14864/priloha/6131 Přiloha k práci http://isis.vse.cz/zp/85443/podrobnosti dc:identifier NEPOSILAT VSKP 85443 vse14864 120217