Work detail

Interest rate derivatives offered by Czech banks (types, usage and pricing)

Author: PhDr. Nevrkla Ladislav
Year: 2007 - winter
Leaders: prof. Ing. Oldřich Dědek CSc.
Consultants: prof. Ing. Miloslav Vošvrda CSc.
Work type: Doctoral
Language: Czech
Pages: 90
Awards and prizes:
Link:
Abstract: This rigorous thesis describes interest rate derivatives in context of Czech banks. The interest rate derivative is defined for the purpose of this thesis as a financial instrument where the interest rate instrument is its underlying asset, which is denominated in a single currency and its payoff is dependent on future interest rate development.
First part deals with an analysis of the bank sector and the identified products are described. Range of the offered products serves as an indicator of the interest rate derivative market development. Second part analyzes pricing models and tries to answer a question whether the banks price the derivatives products at fair value. The yield curve construction is described and Black - Scholes and Hull - White models follow. The whole structure of this thesis aims to cover the detailed description of the interest rate derivatives.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance