CONFERENCE PROCEEDINGS

Proceedings Title MANAGING AND MODELLING OF FINANCIAL RISKS
Date of Conference 10th - 11th September 2012
Location Ostrava, Czech Republic, Europe
Venue HOTEL Harmony Club, 28. října 170, Ostrava, Czech Republic
Main Editor per Review Miroslav Čulík
Issued by VŠB-Technical University of Ostrava, Czech Republic
Organized by VŠB-Technical University of Ostrava, faculty of Economics, Finance department, Czech Republic
Printed in MD Communication, s.r.o., Hlubinská 32, 702 00 Ostrava, Czech Republic
Issued in Ostrava, Czech Republic, 2012, 1st edition
Pages 700
Number of Copies 130
ISBN 978-80-248-2835-0

 Czech version of the Conference proceedings: click here

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Sebastian Bakalarczyk Lodz University of Technology, Poland Risk in the Internet banking service 11 - 21 PDF format, 145kB
Yilmaz Bayar Karabuk University, School of Business Administration, Turkey Evaluation of Sovereign Risk Ratings in Consideration of European Sovereign Debt Crisis 22 - 32 PDF format, 407kB
Joanna Błach,
Monika Wieczorek-Kosmala
University of Economics in Katowice, Poland Investment Risk in Time of the Global Financial Crisis – Empirical Study of Silesian Companies 33 - 41 PDF format, 91kB
Joanna Błach , Maria Gorczyńska, Monika Wieczorek-Kosmala University of Economics in Katowice, Poland Solvency Risk of Silesian Trading Companies: Research Evidence 42 - 52 PDF format, 118kB
Martin Boďa Matej Bel University in Banská Bystrica, Slovakia Value at risk model based on the Johnson transformation 53 - 63 PDF format, 265kB
Carmen Bonaci, Crina Filip, Jiří Strouhal, Alina Matis Babes-Bolyai University Cluj Napoca in Bucharest, Romania, University of Economics Prague, Czech Republic Accounting Perceptions on Hedging Currency Risks: From Theory to Practice 64 - 73 PDF format, 150kB
Martina Borovcová VŠB-TU Ostrava, Faculty of Economics, Czech Republic Validation of the selected factors impact on the insured accident 74 - 82 PDF format, 247kB
Ivan Brezina, Miroslava Dolinajcová University of Economics in Bratislava, Slovakia Dynamic portfolio selection based on the even tree 83 - 87 PDF format, 67kB
Miroslav Čulík VŠB-TU Ostrava, Faculty of Economics, Czech Republic Flexible technology valuation to switch between operating modes: real option approach 88 - 101 PDF format, 246kB
Karolina Daszyńska-Żygadło Wrocław University of Economics, Poland Scenario planning and real options analysis in integrated risk management process 102 - 111 PDF format, 94kB
Dana Dluhošová VŠB-TU Ostrava, Faculty of Economics, Czech Republic Sensitivity analysis application possibilities in company valuation by two-phase discounted cash flows method 112 - 119 PDF format, 164kB
Barbora Drugdová University of Economics in Bratislava, Slovakia Regarding the issue of commersial insurance and commersial insurance market in debt crisis in Slovakia 120 - 124 PDF format, 66kB
Marek Ďurica, Lucia Švábová University of Žilina, Slovakia Delta and Gamma parameter of the Black model of the futures option pricing 125 - 132 PDF format, 159kB
Ewa Dziwok University of Economics in Katowice, Poland The application of dynamic methods into yield curve modeling 133 - 139 PDF format, 159kB
Ondřej Fasora VŠB-TU Ostrava, Faculty of Economics, Czech Republic Fiscal illusion and its classification 140 - 147 PDF format, 95kB
Jozef Fecenko University of Economics in Bratislava, Slovakia Dependence of the changes in some measures of the variability and location of insurance payments of a cedant on a change of priority in non-proportional reinsurance 148 - 158 PDF format, 141kB
Ján Gogola University of Economics in Bratislava, Slovakia Some deterministic methods to estimate reserves in general insurance 159 - 169 PDF format, 136kB
Radim Gottwald Mendel University in Brno,
Czech Republic
Application of the Value at Risk Model to Stock Prices 170 - 179 PDF format, 102kB
Nora Grisáková, Jakub Kintler University of Economics in Bratislava, Slovakia Real Option in BOT projects 180 - 185 PDF format, 96kB
Nora Grisáková, Iveta Kufelová University of Economics in Bratislava, Slovakia Government support as a bundle of option and risk identification in BOT projects 186 - 190 PDF format, 83kB
Haochen Guo VŠB-TU Ostrava, Faculty of Economics, Czech Republic Estimating Volatilities by the GARCH and the EWMA model of PetroChina and TCL in the Stock Exchange Market of China 191 - 202 PDF format, 484kB
Petr Gurný VŠB-TU Ostrava, Faculty of Economics, Czech Republic Chosen Procedures within Multiple Logistic Regression Analysis 203 - 215 PDF format, 215kB
Thomas Harborth Slovak Technical University of Bratislava, Slovakia Failure of real estate investment - a contribution to calculate risk assessment 216 - 228 PDF format, 227kB
Vítězslav Hálek University of Hradec Králové, Czech Republic Are we able to predict the financial status of the company via the CCB module? 229 - 239 PDF format, 123kB
Markéta Hejduková University of Economics in Prague, Czech Republic Testing the strength of the relationship between P/BV multiple and ROE in the life insurance industry 240 - 252 PDF format, 623kB
Anna Hollá, Ivan Lichner University of Economics in Bratislava, Slovakia Parametric Value at Risk – Testing its flexibility 253 - 258 PDF format, 176kB
Galina Horáková University of Economics in Bratislava, Slovakia Estimation of CVaR value and their use for managing insurance risks 259 - 268 PDF format, 128kB
Petr Jablonský University of Economics in Prague, Czech Republic Testing the Expectations Hypothesis of the Czech term structure of interest rates 269 - 276 PDF format, 98kB
Jiří Jakoubek, Tomáš Brabenec University of Economics in Prague, Czech Republic Aspects of Intangible property Valuation in Intra-group Financial Management 277 - 289 PDF format, 177kB
Ivana Janková VŠB-TU Ostrava, Faculty of Economics, Czech Republic Comparison of functional and integral methods of pyramidal decomposition of financial performance indicators 290 - 302 PDF format, 655kB
Pavla Jindrová, Ondřej Slavíček University of Pardubice,
Czech Republic
Life Expectancy Development and Prediction for Selected European Countries 303 - 312 PDF format, 444kB
František Kalouda Masaryk University,
Czech Republic
Risk management of a firm in a extreme situations 313 - 319 PDF format, 94kB
Miloš Kopa Institute of Information Theory and Automation of the ASCR, Czech Republic Value at Risk application to FSD portfolio efficiency testing 320 - 325 PDF format, 82kB
Kateřina Kořená VŠB-TU Ostrava, Faculty of Economics, Czech Republic Pension Reform Risks in the Czech Republic 326 - 333 PDF format, 160kB
Jan Krajíček Masaryk University,
Czech Republic
Cash Management and Cash Pooling 334 - 340 PDF format, 67kB
Jan Krajíček, Veronika Kajurová Masaryk University,
Czech Republic
Economics and bank management 341 - 345 PDF format, 53kB
Aleš Kresta VŠB-TU Ostrava, Faculty of Economics, Czech Republic Backtesting of VaR estimation for investment into foreign stock index 346 - 356 PDF format, 139kB
Pankaj Kumar Gupta, Jasjit Bhatija Jamia Millia Islamia in New Delhi, Symbiosis Centre for Management Studies in Noida, India Factors Influencing Investment Behaviour of Indian Firms in a Contemporray Risky Scenario 357 - 366 PDF format, 77kB
Karolina Lisztwanová VŠB-TU Ostrava, Faculty of Economics, Czech Republic Risk identification in VAT exercising in the Czech Republic in the building and construction works 367 - 371 PDF format, 76kB
Zuzana Littvová University of Economics in Bratislava, Slovakia The perception of the risk rate of global risks 372 - 377 PDF format, 274kB
Kristína Majerníková University of Economics in Bratislava, Slovakia Methods of calculating capital requirements in life insurance 378 - 387 PDF format, 435kB
Anna Majtánová, Ingrid Vachálková, Andrea Snopkova University of Economics in Bratislava, Slovakia Rating valuation– Insurance ratings methodology 388 - 395 PDF format, 111kB
Dušan Marček VŠB-TU Ostrava, Faculty of Economics Forecasting of Economic Quantities using Fuzzy Autoregressive Model and Fuzzy neural Network 396 - 401 PDF format, 63kB
Peter Marko University of Economics in Bratislava, Slovakia Risk transfer according to Solvency II and standards of financial reporting 402 - 407 PDF format, 69kB
Jakub Marszalek, Pawel Sekula University of Lodz, Poland Issue Announcement as a Determinant of Convertible Bond Issuers’ Systematic Risk at the Time of Financial Crisis – Some Observations from the US Market 408 - 417 PDF format, 99kB
Grzegorz Michalski
University ofin Katowice, Poland Risk sensitivity indicators as correction factor for cost of capital rate 418 - 428 PDF format, 271kB
Krystyna Mitrega-Niestrój, Blandyna Puszer University of Economics in Katowice, Poland Options strategies of the Polish companies during the global financial crisis 429 - 438 PDF format, 238kB
Vladimír Mucha University of Economics in Bratislava, Slovakia Modelling of the distribution of the claim amount after the application of a given type of of insurance in the examined portfolio of a non-life insurer 439 - 447 PDF format, 125kB
Martina Novotná VŠB-TU Ostrava, Faculty of Economics, Czech Republic The use of different approaches for credit rating prediction and their comparison 448 - 457 PDF format, 125kB
Josef Novotný VŠB-TU Ostrava, Faculty of Economics, Czech Republic
Assessment of the sensitivity regulatory capital requirement for credit risk
458 - 466 PDF format, 128kB
Viera Pacáková University of Pardubice,
Czech Republic
Risk Measures in Non-life Insurance Company 467 - 472 PDF format, 98kB
Radoslaw Pastusiak University of Lodz, Poland The risk in capital markets. Imperfections in the measurment and analysis 473 - 481 PDF format, 90kB
Ingrid Petrová
VŠB-TU Ostrava, Faculty of Economics, Czech Republic The Error Modelling for the Forecasting of the Mortality Index 482 - 489 PDF format, 145kB
Pavel Plánička University of Economics in Prague, Czech Republic Risk-free Rate of Return in the Context of IAS / IFRS vs. Czech Accounting Practice 490 - 496 PDF format, 84kB
Štefan Poláček, Michal Páleš University of Economics in Bratislava, Slovakia Risk management interest rate changes and duration in insurance companies 497 - 502 PDF format, 110kB
Anna Polednáková, Božena Hrvoľová University of Economics in Bratislava, Slovakia Sources and limits of value creation in vertical margers 503 - 510 PDF format, 105kB
Przemyslaw Pomykalski University of Lodz, Poland Companies’ financing structure in Poland 2006-2010 511 - 517 PDF format, 156kB
Anna Pyka University of Economics in Katowice, Poland The Efficiency of Investments in Business in the Context of the Business´s Market Value Added 518 - 526 PDF format, 95kB
Anna Pyka, Monika Wieczorek-Kosmala University of Economics in Katowice, Poland Systemic Risk, Specific Risk and the Risk of Company’s Growth 527 - 533 PDF format, 57kB
Iveta Ratmanová, Tomáš Wroblowsky VŠB-TU Ostrava, Faculty of Economics, Czech Republic Fragmentation of the Czech Tax System as a Source of tax Illusion 534 - 539 PDF format, 725kB
Ragmar Richtarová VŠB-TU Ostrava, Faculty of Economics, Czech Republic Scenario analysis application in investments postaudit 540 - 547 PDF format, 142kB
Daniela Rybárová University of Economics in Bratislava, Slovakia The Role of Risk in Business Decision-Making 548 - 556 PDF format, 108kB
Petr Seďa VŠB-TU Ostrava, Faculty of Economics, Czech Republic Modeling and in-sample forecasting of volatility using linear and nonlinear models of conditional heteroscedasticity 557 - 566 PDF format, 263kB
Barbora Simanová VŠB-TU Ostrava, Faculty of Economics, Czech Republic The distribution function as a tool for judging the extent of risk 567 - 574 PDF format, 144kB
Valéria Skřivánková, Matej Juhás University in Košice, Slovakia EVT methods as risk management tools 575 - 582 PDF format, 237kB
Martin Svoboda, Svend Reuse Masaryk University,
Czech Republic
Interest Rate Swaps – Modelling and Usage in the Context of Basel III and EMIR 583 - 592 PDF format, 213kB
Miroslava Szarková, Ľubomíra Gertler University of Economics in Bratislava, Slovakia Behavioural perception of competencies in risk management 593 - 599 PDF format, 94kB
Lucia Švábová, Marek Ďurica University of Žilina, Slovakia Asian option pricing 600 - 609 PDF format, 116kB
Tomáš Tichý VŠB-TU Ostrava, Faculty of Economics, Czech Republic Some results on pricing of selected exotic options via suborditated Lévy models 610 - 617 PDF format, 96kB
Tomáš Ťoupal
University of West Bohemia, Czech Republic
Trend Component Estimation 618 - 627 PDF format, 1,24MB
Tomáš Ťoupal, František Vávra
University of West Bohemia, Czech Republic
Risk events, statistical point of view 628 - 633 PDF format, 121kB
Piotr Tworek University of Economics in Katowice, Poland Risk managers in the largest construction and assembly companies in Poland – survey research 634 - 643 PDF format, 102kB
Piotr Tworek, Marcin Tomecki University of Economics in Katowice, Poland Risk and insurance in construction: insurance contracts used in investment process in Poland – legal and economic aspects, survey research 644 - 652 PDF format, 117kB
Jiří Valecký VŠB-TU Ostrava, Faculty of Economics, Czech Republic Mixture normal Value at Risk models of some European market portfolios 653 - 663 PDF format, 172kB
Pavla Vodová Silesian University in Opava, Czech Republic Liquidity ratios of Hungarian banks 664 - 672 PDF format, 181kB
Danuta Zawadzka, Agnieszka Strzelecka, Ewa Szafraniec-Siluta Koszalin University of Technology, Poland The assessment of European Union support for financing the investments of agricultural holdings in Poland 673 - 683 PDF format, 306kB
Kateřina Zelinková VŠB-TU Ostrava, Faculty of Economics, Czech Republic
Determination Value at Risk via Monte Carlo Simulation
684 - 688 PDF format, 137kB
Zdeněk Zmeškal VŠB-TU Ostrava, Faculty of Economics, Czech Republic Application and decomposition multi-attribute methods AHP and ANP in financial decision-making 689 - 699 PDF format, 206kB

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