Translated title: Essays on Finance and Risk
Authors: Kowalczyk, Dorota ; Zemčík, Petr (advisor) ; Poghosyan, Tigran (referee) ; Vecer, Jan (referee)
Document type: Doctoral theses
Year: 2015
Language: eng
Abstract: [eng] [cze]
Dorota Kowalczyk: Essays on Finance and Risk Abstract This dissertation consists of three chapters that empirically investigate questions of increasing relevance in the banking risk and financial economics literature. The first chapter studies bank risk in the context of its joint determination with bank liquidity and capital in the Eurozone. The second chapter examines the banks' appetite for risk using the comprehensive credit register of the Czech National Bank. Finally, the last chapter refers to model risk and analyzes the ability of the selected term structure models to value the interest rate swaps in the Polish market. The first chapter analyzes the coordination of bank risk, liquidity and capital in the presence of securitization. Its outcome contributes to the debate on the effectiveness of the banking regulations. My findings with regard to the simultaneity of capital and risk decisions are consistent with previous empirical studies. Incorporation of bank liquidity permits me to establish the presence of the coordination of risk and liquidity decisions. At the same time, I find no evidence of the direct joint determination of capital and liquidity. Finally, the first chapter partially confirms the theoretical implications of Repullo (2005). The second chapter, coauthored with Adam Geršl, Petr... Tato dizertace obsahuje tři kapitoly, ve kterých jsou empiricky zkoumány klasické otázky bankovní rizika a finanční ekonomie. V první kapitole zkoumám jestli bankovní likvidita, kapitál a riziko jsou společně určeny v bankovním sektoru eurozóny. Ve druhé kapitole, spolu s Adamom Geršlem, Petrem Jakubíkem, Stevnem Ongena a José- Luis Peydró, zkoumáme roli měnových podmínek pro bankovní rizika v sektoru v ČR. Používame komplexní úvěrověho registru České národní banky. Třetí kapitola se vztahuje na mod- eloveho rizika a analyzuje výkonnost vybraného modelu vynosove krivky při oceňování úrokové swapy na polském trhu. Cox-Ingersoll-Ross navrhuje ze volatilita souvisi z ve- likosti úrokových sazeb. Ex-post Nelson-Siegel model ukazuje, že prurez výnosove křivky je velmi informativni pro budoucnost.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/80441

Permalink: http://www.nusl.cz/ntk/nusl-350095


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Doctoral theses