03729ntm a22005777i 4500 000724950 CZ-PrVSE 20250920220214.0 m d cr n|||||||||| 250920s2025 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Shvedova, Anastasiia ISIS:157989 dis Mathematical models of market risk management used in banks eng Mathematical models of market risk management used in banks / Anastasiia Shvedova 2025 ?? stran : digital, PDF soubor Vedoucí práce: Jaroslav Brada Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2025 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2025 This thesis examines the performance and reliability of yield curve interpolation techniques during periods of monetary policy shifts and market turmoil. Chapter 1 establishes the foundational framework by exploring the evolution from IBOR-based single-curve approaches to modern OIS discounting within multi-curve frameworks, while presenting essential concepts of interest rate measurement and yield curve classification that underpin contemporary valuation methodologies. Chapter 2 develops the technical infrastructure by detailing bootstrapping procedures and interpolation techniques used in term structure construction, alongside examining regulatory requirements and practical applications that drive market risk assessment practices in modern banking environments. Chapter 3 presents the core empirical analysis, implementing a comprehensive methodology to evaluate how natural cubic spline interpolation, linear interpolation on zero rates, and linear interpolation on natural logarithm of discount factors perform under varying market conditions, particularly during central bank policy adjustments. The research challenges conventional assumptions about cubic spline superiority, demonstrating that simpler interpolation methods may provide greater stability and reliability during periods of market stress, ultimately contributing to more robust valuation frameworks for interest rate products. Způsob přístupu: Internet bankovnictví a pojišťovnictví [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Zero-rate curve Forward rate curve Monetary policy Yield curve Discount factors Natural cubic spline Linear interpolation Brada, Jaroslav, 1964- jo20000074977 ths Quang, Tran Van vse20191049430 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/85832/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/85832 Hlavní práce https://insis.vse.cz/zp/85832/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/85832/posudek/oponent/87961 Oponentura https://insis.vse.cz/zp/85832/priloha/32093 Přiloha k práci https://insis.vse.cz/zp/85832/priloha/32094 Přiloha k práci https://insis.vse.cz/zp/85832/priloha/32190 Přiloha k práci https://insis.vse.cz/zp/85832/podrobnosti dc:identifier NEPOSILAT VSKP vse85832 250911 85832