Bakalářská práce / info:eu-repo/semantics/bachelorThesis
Osoba oponující práci:
The bachelor thesis is focused on FX risk management due to the evolution of exchange rates. It consists of 4 chapters. The first chapter deals with introduction to the topic of price risk and particular steps of its management, for which we consider the identification, quantification and subsequent risk management strategy. The next chapter is concerned with currency derivatives, to which we refer to as external methods of hedging. The third part focuses on the extensive and popular method of measuring, the so called Value at risk Method, which is a part of banking regulation Basel I, Basel II and Basel III as well as Solvency II for insurers. The final part of the thesis is the practical part, where I apply the historical simulation method on the specific data of 3 portfolios, which are composed of forward contracts, and then I interpret and compare the results of measurements.
historical simulation ; Value at Risk; currency derivatives; currency risk; risk