02907ntm a22005537a 4500 000242164 CZ-PrVSE 20130828200812.0 m d cr n|||||||||| 130828s2013 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Rolák, Martin ISIS:87456 dis FRA and IRS : Pricing and Valuation eng FRA and IRS [elektronický zdroj] : Pricing and Valuation / Martin Rolák 2013 ?? s. : digital, PDF soubor Vedoucí práce: Jaroslav Baran Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2013 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2013 This bachelor thesis describes the evolution of the pricing and valuation framework of forward rate agreements (FRA) and fixed-for-floating interest rate swaps (IRS) induced by the financial crisis of 2007-2008. The first part of the thesis reviews the pre-crisis framework, the pricing and valuation formulas of the selected derivatives are presented. It is shown how one could use a single curve for both estimating the derivative payoff and discounting. The first part concludes with the assumptions underlying the pre-crisis framework. In the second part, the provided market evidence of post-crisis market conditions shows that the assumptions from the first part can no longer be deemed valid. In response to the new market conditions, the post crisis framework is introduced. The focus is on the collateralized FRA and IRS, for which the pricing and valuation formulas are derived. This part also discusses the effects of derivative collateralization and the switch to OIS discounting. Způsob přístupu: Internet finance [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas valuation pricing derivative collateralization forward rates discounting OIS IBOR IRS FRA Baran, Jaroslav ISIS:83663 ths Kolman, Marek vse2015859792 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/42440/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/42440 Hlavní práce https://isis.vse.cz/zp/42440/posudek/oponent/33658 Oponentura http://isis.vse.cz/zp/115071/podrobnosti dc:identifier NEPOSILAT VSKP 115071 vse42440 130827