National Repository of Grey Literature 35 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Assessment of hedge fund replication strategies
Kollár, Martin ; Dědek, Oldřich (advisor) ; Derviz, Alexis (referee)
Hedge funds are investment vehicles that provide solid risk-adjusted performance in various stages of market cycle and that are not strongly correlated to the markets they transact in. The profits from hedge funds were for a long time available only to high net-worth individuals or institutional investors, who could bear the possible negative effects of a serious downturn of the fund. The recent development in the hedge fund industry however leans toward the exploitation of hedge fund returns by a wider range of investors. Many hedge fund databases and investment banks have thus created different hedge fund indices and hedge fund clones that would replicate the exposures of hedge funds with smaller fees and smaller investment requirements. Our analysis showed that the development of such products has advanced into more promising stages, when new approaches are used to better replicate the hedge fund returns. Powered by TCPDF (
Equlibrium exchange rate : Effect of the degree of competition on the real equlibrium exchange rate - evidence from a panel of exporting companies
Raková, Marie ; Derviz, Alexis (advisor) ; Cahlík, Tomáš (referee)
This thesis analyzes the real equilibrium exchange rate. It consists of two parts. The purpose of the first part is to introduce the main equilibrium exchange rate theories and their empirical results. This part also focuses on the present empirical approaches, which are used by economists for testing the equilibrium exchange rate. The aim of the second part is to analyze the impact of market structure, expressed in degree of competition, on the equilibrium real exchange rate. Here we examine the following questions: What are the causes of misalignment of the real exchange rate? Does it depend on the market structure? And could, under certain degree of competition, be every move of nominal exchange rate assessed as equilibrium? Powered by TCPDF (
Analysis of crude oil price
Brabec, Ivo ; Derviz, Alexis (advisor) ; Horváth, Roman (referee)
The main goal of this work is to test the hypothesis that the technical analysis and its speculative consequences influence widely the crude oil price. This study describes the main features of the crude oil market, its specifics and the historical price development and it takes closer look at the underlying price making forces. This work searches for the speculative forces that might influence the price. This work examines the effects that the technical analysis might have in the hands of price predictors and some of its psychological aspects. The validity of the predictions generated by the tools of the technical analysis is being tested. The second part focuses on the fundamental analysis. Throughout the work, the sample data set is used to test the validity of the hypothesis of this study. Powered by TCPDF (
Credit Constraints and Creditless Recoveries: An Unsteady State Approach
Derviz, Alexis
The paper investigates the behavior of credit demand and output arising from differences in productive capital sources in economies recovering from an adverse real shock. Beside physical capital, another form of capital – human capital – is available during the catch-up phase. Since a part of new physical capital must be debt-financed, whereas production is risky due to uncertain future total factor productivity, defaults happen with positive probability. The latter can be reduced by partially substituting physical capital for human, at a disutility cost. We ask whether a shift away from risky borrowed physical capital to human capital is able to generate a reduction in aggregate credit losses without too big a loss in output, thereby warranting a specific prudential policy. This question is addressed by means of a dynamic stochastic model with feedback decision rules, for which we develop a full-distribution numerical solution method. The long-term stationary limit distribution of the solution generalizes the steady state notion of deterministic models. Agents that start from relatively “poor” initial states are found to benefit from limits on unsecured borrowing at a very moderate cost in output terms, whereas for “rich” initial states, such limits prove to be largely redundant.
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Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks
We study the impact of collateral diversification by non-financial firms on systemic risk in a general equilibrium model with standard production functions and mixed debt-equity financing. Systemic risk comes about as soon as firms diversify their collateral by holding claims on a big wholesale bank (called merchant bank in the paper) whose asset side includes claims on the same producer set. The merchant bank sector proves to be fragile (has a short distance to default) regardless of competition. In this setting, the policy response, consisting in official guarantees for the merchant bank’s liabilities, entails considerable government loss risk. An alternative without the need for public sector involvement is to encourage systemically important merchant banks to introduce a simple bail-in mechanism by restricting their liabilities to contingent convertible bonds. This line of regulatory policy is particularly relevant to the containment of systemic events in globally leveraged economies serviced by big international banks outside host country regulatory control.
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Coordination Incentives in Cross-Border Macroprudential Regulation
Derviz, Alexis ; Seidler, Jakub
When national financial sector regulators need to mutually harmonize macroprudential policy decisions, imperfections of cross-border information exchange may undermine fair cooperation. Attempts to overcome the effects of informational distortions by delegating macroprudential policy to a supranational body are also likely to entail welfare losses due to informational inefficiencies. We study the tradeoff between macroprudential policy autonomy and centralization by means of a signaling game of imperfect information played by two national regulators. The model concentrates on informational frictions in an environment with otherwise fully aligned preferences. We show that even in the absence of evident conflicting goals, the non-transferable nature of some regulatory information creates misreporting incentives. Reporting accuracy is a part of a broader problem of strategic advantage-seeking by the national regulators. Therefore, crossborder coordination mechanisms, centralized or not, that limit strategic behavior are preferable to those allowing its full deployment. The results are applicable to systemic risk management by international organizations, including the relevant EU institutions.
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Economic research bulletin (2007, No.1)
Heřmánek, Jaroslav ; Hlaváček, Michal ; Jakubík, Petr ; Geršl, Adam ; Derviz, Alexis ; Podpiera, Jiří ; Šmídková, Kateřina
This issue of the CNB Research Bulletin looks at advances in the area of financial stability. Financial stability issues have attracted the attention of central banks in the last 10 years, mainly due to the rapid development of financial systems, the emergence of new financial products and the increased integration of the financial system across borders. These issues are extremely important for the Czech financial sector as well. One of the most widely used analytical tools for evaluating the stability of the financial sector is stress testing. The first article – by Jaroslav Heřmánek, Petr Jakubík and Michal Hlaváček – describes progress in this area as compared to earlier versions of stress testing. Progress has been made primarily in the areas of modelling credit risk and linking the stress testing to the CNB’s official macroeconomic forecast. The second and third articles – by Adam Geršl and by Alexis Derviz and Jiří Podpiera – are devoted to the issue of cross border-contagion in the Czech Republic. This problem is of great importance for the Czech Republic due to the strong foreign ownership of the Czech banking sector and the increasing crossborder flows of capital. The article by Adam Geršl uses macroeconomic data from BIS and compares the threats of cross-border contagion from other CEECs using a common creditor index. The article by Alexis Derviz and Jiří Podpiera presents the results of a sophisticated microeconomic model of lending contagion within multinational banking groups together with an empirical model of lending contagion using individual bank data from Bankscope.
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Financial frictions, bubbles, and macroprudential policies
Derviz, Alexis
Writer explores the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy. In the model, producers are financed by both bank debt and equity, and face a mix of systemic and idiosyncratic uncertainty.
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Funding costs and loan pricing by multinational bank affiliates
Derviz, Alexis ; Raková, Marie
Writers conduct a theoretical and empirical investigation of the influence which the financial condition of a multinational bank group may have on the lending rates of its affiliates. Tehy first propose a model of bank lending to risky clients in which the implicit opportunity costs of lending by a foreign bank affiliate are influenced by the abundance/scarcity of funds within the multinational conglomerate. They then formulate an empirical model of the spread charged by the affiliate to clients over the local interbank rate as a function of affiliate-level controls and a parent influence variable.
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Cross-border lending contagion in multinational banks
Derviz, Alexis ; Podpiera, Jiří
This paper studies the interdependence of lending decisions in different country branches of a multinational bank. This is done both theoretically and empirically. First, it formulates a model of a bank that delegates the management of its foreign unit to a local manager with non-transferable skills. Second, it constructs a large sample of multinational banks and their ranches/subsidiaries and look for the presence of lending contagion by panel regression methods.
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