Interest Rate Risk Analysis
|Author:||Mgr. Magdalena Středová|
|Year:||2002 - winter|
|Leaders:|| prof. Ing. Michal Mejstřík CSc.
|Work type:|| Finance and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis|
|Abstract:||Measuring and managing interest rate risk
Final thesis deals with theoretical methods of measuring and managing
interest rate risk and their application in Czech environment. Close
attention is paid to measuring methods such as gap analysis, duration
analysis, Value at Risk and simulation. Methods of managing interest
rate risk are divided into to broad categories: i) changes in structure of
bank's balance sheet and ii) off balance sheet methods. Second part of
thesis is devoted mostly to case study of one big Czech bank,
theoretical methods are shown in practise and some specific features of Czech banking sector are discussed.
|Downloadable:|| Diploma Thesis - Středová