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Hedging with interest rate derivatives: Estimation of hedge ratio & hedging effectiveness
Název práce v češtině: Hedging s úrokovými deriváty: Estimace hedgingového poměru & hedgingová efektivita
Název v anglickém jazyce: Hedging with interest rate derivatives: Estimation of hedge ratio & hedging effectiveness
Klíčová slova: hedgingová strategie, hedgingový poměr, hedgingová efektivita, úrokové termínové kontrakty, dluhopisové portfolio, německý dluhopisový trh
Klíčová slova anglicky: hedging strategy, hedge ratio, hedging effectiveness, interest rate futures, bond portfolio, German bond market
Akademický rok vypsání: 2018/2019
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: PhDr. Petr Gapko, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 23.01.2019
Datum zadání: 23.01.2019
Datum a čas obhajoby: 05.02.2020 09:00
Místo konání obhajoby: Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206
Datum odevzdání elektronické podoby:26.12.2019
Datum proběhlé obhajoby: 05.02.2020
Oponenti: Mgr. Lukáš Vácha, Ph.D.
 
 
 
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Seznam odborné literatury
Caporin, M., Jimenez-Martin, J.-A. & Gonzalez-Serrano, L. (2014). Currency hedging strategies in strategic benchmarks and the global and euro sovereign financial crises. Journal of International Financial Markets, Institutions and Money, 31, 159-177.

Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34 (1), 157-170.

Hatemi-J, A. & El-Khatib, Y. (2012). Stochastic optimal hedge ratio: Theory and evidence. Applied Economics Letters, 19 (8), 699-703.

Kenourgios, D., Samitas, A. & Drosos, P. (2008). Hedge ratio estimation and hedging effectiveness: The case of the s&p 500 stock index futures contract. International Journal of Risk assessment and management, 9 (1-2), 121-134.

Li, M.-Y. L. (2010). Dynamic hedge ratio for stock index futures: Application of threshold vecm. Applied Economics, 42 (11), 1403-1417.

Nguyen, P., Kim, J. H. & Henry, D. (2017). Estimation of optimal hedge ratio: A wild bootstrap approach. La Trobe University, Department of Economics and Finance.

Park, S. Y. & Jei, S. Y. (2010). Estimation and hedging effectiveness of time-varying hedge ratio: Flexible bivariate garch approaches. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 30 (1), 71-99.

Pepic, M. (2014). Managing interest rate risk with interest rate futures. Ekonomika preduzeca, 62 (3-4), 201-209.
Předběžná náplň práce v anglickém jazyce
The purpose of this thesis is to evaluate the hedging effectiveness of various hedging approaches when applied on interest rate futures. While examining both constant minimum variance and time-varying hedge ratios from various econometric models the aim is to identify which method provides the best hedging performance. The data employed in the analysis are daily prices of German government bonds and mid- and long-term interest rate futures contracts traded on Eurex Exchange. More specifically, Euro-Bund futures and Euro-Bobl futures are chosen for hedging because of their liquidity characteristics. The first part of the analysis is focused on the estimation of hedge ratios. While employing several methodologies, hedge ratio is evaluated by both standard OLS regression and more advanced time-series econometric methods. The second part is dedicated to evaluating hedging effectiveness of aforementioned methods and subsequent comparison. Both in-sample and out-of-sample performance of the hedge is evaluated to also see the hedging performance in a future time period.
 
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