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Measuring credit risk for portfolios with heavy-tailed risk factors
Jablonský, Petr ; Vošvrda, Miloslav (advisor) ; Janda, Karel (referee)
Measuring and managing credit risk constitute one of the most important processes within bank risk management. Classical credit risk models assume multivariate normality for distribution of underlying risk factors. Resulting methods offer analytical simplicity and computational efficiency but disregard of extreme joint events since their probability is too small. Recently several studies have doubted multivariate normality assumption saying that if we accept this assumption we might seriously underestimate downside risk of given credit portfolio. The master thesis provides with an insight into the problem of modelling credit risk under assumption of heavy tailed risk factors. We first present necessary mathematical preliminaries of copula functions which stand for an alternative method of modelling multivariate dependence structures. Next we introduce a credit risk model for bond portfolio with heavy tailed risk factors. At last we carry out several simulations on portfolios of different riskiness and compare to what extent the results from both mentioned models differ.
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Measuring credit risk for portfolios with heavy-tailed risk factors
Jablonský, Petr ; Vošvrda, Miloslav (advisor) ; Janda, Karel (referee)
Measuring and managing credit risk constitute one of the most important processes within bank risk management. Classical credit risk models assume multivariate normality for distribution of underlying risk factors. Resulting methods offer analytical simplicity and computational efficiency but disregard of extreme joint events since their probability is too small. Recently several studies have doubted multivariate normality assumption saying that if we accept this assumption we might seriously underestimate downside risk of given credit portfolio. The master thesis provides with an insight into the problem of modelling credit risk under assumption of heavy tailed risk factors. We first present necessary mathematical preliminaries of copula functions which stand for an alternative method of modelling multivariate dependence structures. Next we introduce a credit risk model for bond portfolio with heavy tailed risk factors. At last we carry out several simulations on portfolios of different riskiness and compare to what extent the results from both mentioned models differ.
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SME financing
Haloun, Marek ; Dvořák, Petr (advisor) ; Jablonský, Petr (referee)
The bachelor thesis focuses on current issues regarding financing of small and medium enterprises. The first chapter thoroughly defines the SME segment. There is also an analysis of the development of small and medium-sized enterprises in the Czech Republic and the comparison of individual indicators with the average values of the European Union. The second chapter of the bachelor thesis describes the general ways of financing the business activity. The conclusion of the theoretical part deals with the characteristics of banking products for financing the operational and investment needs of the company. In the practical part, the theoretical knowledge is gradually applied to the manufacturing company A and the business enterprise B. Based on financial due diligence, these enterprises are analyzed and evaluated. In the last part of the bachelor thesis, specific model situations are created for selected companies and the best financing option is proposed on the current offer of loan products of selected banks.
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Analysis of bank charges and their financing alternatives
Dušková, Markéta ; Bártová, Hana (advisor) ; Jablonský, Petr (referee)
This bachelor thesis deals with the analysis of bank charges associated with the current account. The aim of the thesis is to find the best current account for students by using two model clients for selected accounts. Another objective is to analyze the possibilities of covering the costs incurred with the use of a current account by means of financial rewards provided by some banks in the current account and by other bank products. The partial objective of the thesis is to verify the hypothesis whether small low-cost banks offer a current account associated with lower bank charges than large banks.
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VÝKONNOST DOWNSIDE RISK MODELŮ POST-MODERNÍ TEORIE PORTFOLIA
Jablonský, Petr ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The thesis provides a comparison of different portfolio models and tests their performance on the financial markets. Our analysis particularly focuses on comparison of the classical Markowitz modern portfolio theory and the downside risk models of the post-modern portfolio theory. In addition, we consider some alternative portfolio models ending with total eleven models that we test. If the performance of different portfolio models should be evaluated and compared correctly, we must use a measure that is unbiased to any portfolio theory. We suggest solving this issue via a new approach based on the utility theory and utility functions. We introduce the unbiased method for evaluation of the portfolio model performance using the expected utility efficient frontier. We use the asymmetric behavioural utility function to capture the behaviour of the real market investors. The Markowitz model is the leading market practice. We investigate whether there are any circumstances in which some other models might provide better performance than the Markowitz model. Our research is for three reasons unique. First, it provides a comprehensive comparison of broad classes of different portfolio models. Second, we focus on the developed markets in United States and Germany but also on the local emerging markets in Czech Republic and Poland. These local markets have never been tested in such extent before. Third, the empirical testing is based on the broad data set from 2003 to 2012 which enable us to test how different portfolio model perform in different macroeconomic conditions.
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Financial Arbitrator
Vavřík, Jakub ; Jablonský, Petr (advisor) ; Gruber, Petr (referee)
This thesis deals with the Institute of Financial Arbiter of the Czech Republic as an ADR body. In the introduction is presented the legal background for its own activities with emphasis on changes to the amendment in July 2011. In this part is also described arbiters work in resolving the cases themselves, their development and efforts to promote an arbitrator in public office. Next chapter is dealing with international cooperation in the European Union and in the world. The last section provides us with information about similar institutions and their functions elsewhere in the world.
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Measures used to support financial sector under European Economic Recovery Plan
Pochman, Jiří ; Dobrovolný, Marek (advisor) ; Jablonský, Petr (referee)
This bachelor thesis deals with measures used by governments of EU member states to support their financial sectors in 2008 -- 2010. Firstly, the thesis examines reasons for the development of European bank crisis and theoretically describes main types of measures, which can be used to support financial institutions and so to solve bank or financial crisis. Secondly, the further part of the thesis deals with more detailed description of the measures used in EU and rules of European Comission related to conditions of their application. Final chapter contains the analysis of the measures used by EU member states with main focus on Ireland.
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An evaluation of real GDP growth forecasts
Kačmareková, Monika ; Jablonský, Petr (advisor) ; Dobrovolný, Marek (referee)
This paper is aimed at verifying the reliability of real GDP growth forecasts for Czech Republic periodically published. Concretely the prediction of different groups of institutions have been examined. It includes analysis of forecasts for the period 2003-2011. Evaluation criteria for assessing their accuracy consist of summary statistics, directional accuracy rate and graphical illustration of avereged prediction. These evaluation methods are important for the hypothesis verification. It has been demonstrated the ability to deliver more accurate forecasts in comparison with earlier period in a specific horizon, next, a rising precision of predictions with declining time horizon, systematic underestimation of forecasts in the time of expansion and overestimation in the time of recession. At last, the conducted analysis displays that czech institutions are doing not considerably better in forecasting real GPD growth.
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Internal rating method as an instrument to value credit risk
Heinzel, Lukáš ; Jablonský, Petr (advisor) ; Prokop, Martin (referee)
This thesis is focused on the internal rating method as an instrument to value the credit risk. Firstly, it is aimed on the general method of measurement and control over the credit risk in banks, then there is introduced a process how to develop Basel regulation. Basel II. agreement, which is the focal point of this thesis, allows banks to use standardized approach or IRB method to evaluate the credit risk. After the definition of the standardized method the author focuses on IRB method. There are introductory IRB notes, then it is concentrated on an approval of using this approach by a regulator. The main part of the thesis is given to the calculation of the capital requirement by IRB method. Descriptions of the general formulas and risk parameters are described there. The calculation is demonstrated by a real illustration.
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