| 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
|
Author | Affiliation |
Paper title | Page |
Download |
|---|---|---|---|---|
| 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 |
