National Repository of Grey Literature 32 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Impact of Regional Differences on P2P Lending, Evidence from China
Liang, Na ; Pečená, Magda (advisor) ; Semerák, Vilém (referee)
Taking the representative P2P lending platform Renrendai as an example, this paper focuses on the impact of borrower's region on the behavior of lenders and borrowers in the market. According to the Chinese six geographical regions the borrowers are from, this paper empirically analyzes the difference of success rate of borrowing and default rate in the six regions using the binary logistic regression model and further studies the reasons behind the regional difference. The result shows that the impact of regional difference is significant and the borrower from northern China are more likely to fund successfully, but the impact of regional difference on the default rate is insignificant, and the economic, financial and education development level in regions have a significant impact on the success rate of borrowing. This paper studies the regulatory differences of P2P platforms in various regions of China, the result shows that eastern China, central and southern China, and Beijing (in northern China) have paid more attention and importance to the regulation of P2P platforms. Keywords : China; P2P lending; the success rate of borrowing; regional difference; regulation policy
Bank credit risk management in the low-interest rate environment
Maivald, Matěj ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
The thesis examines the relation of the low-interest rate environment to the banks' selected credit risk measures with a panel dataset on banks in Eurozone, Denmark, Japan, Sweden, and Switzerland covering the period 2011-2017. It employs a system GMM framework and a combination of bank-related and macroeconomic variables. This study builds on recent literature on effects of low-interest rates on banks' profitability and estimates the following three hypotheses: The potential effects of the low-interest rate on non-performing loans (NPL) ratio, risk-weighted assets (RWA) to total assets ratio, and changes in Tier 1 capital ratio. There are three main results: Firstly, the results suggest that a prolonged period of negative monetary interest rate can affect the NPL ratio and reveal a possible relationship between the 3M-interbank interest rate and NPL ratio. Thus, the thesis does not reject the first hypotheses. However, it rejects these hypotheses in case of the other two ratios. Secondly, the study finds a bank heterogeneity to be a significant determinant of the credit risk. Finally, using recent data, this thesis contributes to the literature focusing on the drivers of the NPL ratio, RWA to total assets ratio and Tier 1 capital ratio, where in case of the latter two the existing research is...
Satellite Model Accuracy in Bank Stress Testing
Hamáček, Filip ; Polák, Petr (advisor) ; Pečená, Magda (referee)
Satellite Model Accuracy in Bank Stress Testing Abstract Filip Hamáček January 4, 2019 This thesis is dealing with credit risk satellite models in Czech Republic. Satellite model is a tool to predict financial variable from macroeconomic vari- ables and is useful for stress testing the resilience of the banking sector. The aim of this thesis is to test accuracy of prediction models for Probability of De- fault in three different segments of loans - Corporate, Housing and Consumer. Model currently used in Czech National Bank is fairly unchanged since 2012 and its predictions can be improved. This thesis tests accuracy of the original model from CNB by developing new models using modern techniques, mainly by model combination methods: Bayesian Model Averaging (currently used in European Central Bank) and Frequentist Model Averaging. Last approach used are Neural Networks. 1
Performance of Private Equity Backed IPOs: Evidence from European Market
Říha, Jakub ; Fencl, Tomáš (advisor) ; Pečená, Magda (referee)
This thesis investigates the performance of private equity backed IPOs. We have examined the European market in the period between 2000 and 2017 when the IPO activity experienced enormous growth. The main task was to assess whether the PE-backed IPOs evince superior performance when compared to their non-sponsored peers and the market. Further, we have examined the effect of the so-called valuation drivers on the IPOs' performance. To assess the IPOs' performance, we used the buy-and-hold abnormal returns with bootstrapped skewness adjusted t-statistics. In case of the valuation drivers' effect, OLS regression was applied. The main findings were that the PE-backed IPOs in Europe overperforme the market, mainly due to IPOs in the UK and Western Europe. The PE-sponsored IPOs also overperforme their non-sponsored peers, mainly due to IPOs in the UK, Western and Northern Europe. In case of the valuation drivers, we observed several significant correlations, however, their explanation power was negligible.
Key Determinants of Net Interest Margin of Banks in the EU and the US
Hanzlík, Petr ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
Key Determinants of Net Interest Margin of Banks in the EU and the US Author: Bc. Petr Hanzl'ık Abstract The thesis considers the impact of short-term interest rate and slope of the yield curve on the net interest margin (NIM) while controlling for other bank specific and country specific factors that may influence the NIM. The analysis is conducted using a unique panel dataset of banks in the EU and United States. Special focus is put on observing differences caused by bank heterogeneity by size, or by bank specialisation, differences arising due to the fact that some countries are considered capital based financial market, while the other as bank based, or differences caused by differing market concentration. Some of the models also use dummy variable indicating the existence of negative interest rate environment in a given country and year. The results show positive but concave relationship of NIM and short-term rate. They also confirm differences caused by institutional factors (bank based vs. capital based) as well as by market concentration. 1
Informative value of the cost efficiency concept in banking
Marková, Katarína ; Mejstřík, Michal (advisor) ; Pečená, Magda (referee)
The concept of cost efficiency has repeatedly been proven to have some signaling effect for the risk of a bank failure. In this paper we examine the informative value of the efficiency scores of institutions that have been experiencing distress within the current 'subprime' crisis. For this purpose we employ the parametric stochastic cost frontier method and estimate the cost frontier of five European banking sectors using the pre-crisis data of the period 2004- 2007. On a sample of 18 bailed-out institutions we then investigate whether abnormal development in terms of relative cost efficiency preceded the distress. We find that in all examined sectors, except of the British one, distressed institutions performed prior to the crisis on average worse than their peers in terms of relative cost efficiency. Besides, we observe that while the high-profile rescue cases of continental Europe (Dexia, Fortis, HRE) were preceded by years of excessively poor performance, the bailed-out British banks were in all concerns best performers within their relevant industries. The paper is concluded by a discussion of the fundamental risks that result from the current reshaping of the European banking industry.
External rating Validation
Lapešová, Michaela ; Pečená, Magda (advisor) ; Horváth, Roman (referee)
The growing importance of external rating may draw increased attention to the reliability of credit risk evaluation. The aim of this thesis is to analyze a contemporary external rating position as an instrument for evaluation of a subject's ability to meet its obligations. The study provides theoretical foundations of credit risk modeling as well as empirical application to a collected data set. For the sake of validation of a selected rating system a simple default study is presented on the basis of this data set. Limited information allows just for a brief survey of short rating history in the Czech Republic. The world rating history is comprehensive and it becomes an integral part of clients' creditworthiness assessment within the New Basel Capital Accord. With its growing importance the rating has been recently facing criticism. The thesis focuses mainly on the comments on the cyclical tendencies of rating and provides and empirical analysis using data from CEE countries.
Performance Analysis of Credit Scoring Models on Lending Club Data
Polena, Michal ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
In our master thesis, we compare ten classification algorithms for credit scor- ing. Their prediction performances are measured by six different classification performance measurements. We use a unique P2P lending data set with more than 200,000 records and 23 variables for our classifiers comparison. This data set comes from Lending Club, the biggest P2P lending platform in the United States. Logistic regression, Artificial neural network, and Linear discriminant analysis are the best three classifiers according to our results. Random forest ranks as the fifth best classifier. On the other hand, Classification and regression tree and k-Nearest neighbors are ranked as the worse classifiers in our ranking. 1
Group lending with peer monitoring: A theoretical model of microcredit
Štrobl, Martin ; Janda, Karel (advisor) ; Pečená, Magda (referee)
Over the years, the lending procedures of microcredit has evolved. The original joint liability group lending with simultaneous financing (loans released at once) has been replaced by sequential financing (loans released one by one). Moreover, recent studies suggest individual liability lending in groups to be the optimal choice. While numerous theoretical studies provide thorough models of each of these approaches, none presents a comparative analysis. In this study, we model these three schemes using the framework by Van Tassel (1999) and compare them. Further, we add exogenous peer monitoring costs and within-group heterogeneity of loan sizes to our models. Our findings prove that, in the presence of information asymmetry, group lending with joint liability dominates individual liability lending in groups. Furthermore, the interest rate of the sequential model is more sensitive to changes of monitoring costs or opportunity costs of capital than in the sequential model. On the contrary, sequential approach allows for higher degree of within-group heterogeneity of loan sizes. It is ambiguous which model achieves higher profit and lower interest rate. Our results confirm that the choice of optimal financing approach is determined by the characteristics of borrowers. JEL Classificiation G2 Keywords...
Valuation of financial instruments (e.g. in the context of market liquidity)
Veselá, Jana ; Pečená, Magda (advisor) ; Hanus, Luboš (referee)
Tato práce se zabývá likviditou jako důležitým parametrem, který ovlivňuje cenu finančních nástrojů. Na začátku je představena teorie likvidity a tři různé přístupy, jak ji lze hlediska této práce pak nejdůležitějším přístupem bude, že s projevuje jako určitá srážka z Dále se práce zaměřuje na hodnotu likvidity, a jelikož každé aktivum je ve své podstatě likvidní, neboť všechno lze někdy prodat, budou se různá aktiva vyznačovat různým stupněm likvidity. Ta se pak projeví jako výše transakčních nákladů, kde u méně likvidních aktiv budou tyto náklady vyšší než u těch více likvidních. Transakční náklady jsou pak tvořeny ou a poptávkou, tržním dopadem a náklady obětované příležitosti. Diskont za nelikvidnost reflektuje výši těchto nákladů a lze ho určit jako rozdíl mezi cenou likvidní a nelikvidní akcie. Lze jej vypozorovat dvěma způsoby. První působem je studování transakcí s dočasným pozastavením obchodovatelnosti a neregistrovanými akciemi společnosti, která je plánuje v zveřejnit, nebo upsat nové akcie. Práce se zabývá, čím jsou hodnoty diskontu ovlivněny, a je v ní prověřeno několik modelů na vlastním datovém vzorku, který sestává z transakcí s omezenými právy. Nakonec je vytvořen vlastní odhad, který došel k výsledku, že diskont je ovlivněn velikostí společnosti a její finanční stabili likvidností aktiv...

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1 Pečeňa, Michal
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