Modelování stresových scénářů výnosové křivky a řízení úrokového gapu

The thesis is focused on interest rate risk measurement and management. The goal is to describe the interest rate risk management, to explain some of the methods used for its measuring and managing and an internal model development. This model will be utilized for interest rate risk management resulting from the interest rates level development and a yield curve movement. The thesis is devided into theoretical and practical part. In the theoretical part, the literature research around the regulations which are related to this field have been done. Also around some mathematical background connected with the methods used. These two points correspond to the first and the second qoal. In the practical part, the internal model focused on interest rate risk arising from the banking book have been developed due to new regulation released, besides an existing approach based on standardized interest rate scenarios. Based on this completely new concept, it is possible to set an expected economical value of equity and to set a capital adequacy. It corresponds to the third goal.