03340ntm a22005417i 4500 000305252 CZ-PrVSE 20160410160549.0 m d cr n|||||||||| 160410s2016 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Baran, Jaroslav ISIS:83663 dis Oceňování derivátů v postkrizovém období / Post crisis valuation of derivatives eng Post-Crisis Valuation of Derivatives / Jaroslav Baran 2016 ?? s. : digital, PDF soubor Vedoucí práce: Jiří Witzany Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2016 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2016 In this study we analyse relationship between classical approach to valuation of linear interest rate derivatives and post-crisis approach when the valuation better reflects credit and liquidity risk and economic costs of the transaction on top of the risk-free rate. We discuss the method of collateralization to diminish counterparty credit risk, its impact on derivatives pricing, and how overnight indexed swap (OIS) rates became market standard for discounting future derivatives' cash flows. We show that using one yield curve to both estimating the forward rates and discounting the expected future cash flows is no longer possible in arbitrage free market. We review in detail three fundamental interest rate derivatives (interest rate swap, basis swap and cross-currency swap) and we derive discount factors used for calculating the present value of expected future cash flows that are consistent with market quotes. We also investigate drivers behind basis spreads, in particular, credit and liquidity risk, and supply and demand forces, and show how they impact valuation of derivatives. We analyse Czech swap rates and propose an estimation of CZK OIS curve and approximate discount rates in case of cross-currency swaps. Finally, we discuss inflation markets and consistent valuation of inflation swaps. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas cross-currency swap basis swap overnight indexed swap collateral discount factor swap spreads basis spread Witzany, Jiří, 1966- vse2007429830 ths Mandel, Martin, 1962- jn20010309508 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://isis.vse.cz/zp/55758/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/55758 Hlavní práce https://isis.vse.cz/zp/55758/posudek/oponent/46021 Oponentura https://isis.vse.cz/zp/55758/posudek/oponent/46022 Oponentura https://isis.vse.cz/zp/55758/podrobnosti dc:identifier NEPOSILAT VSKP vse55758 160407 55758