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Using Rating in Regulation Practice
Řehořová, Monika ; Blahová, Naďa (advisor) ; Metrah, Samy (referee)
This master thesis deals with the issue of using rating in the context of determining capital requirements. The focus is on using the Standardised Approach and the Internal Rating-Based Approach to calculate credit risk capital requirements. Different approaches to managing the risk and evaluating the capital adequacy. Criticism of rating agencies as well as the complexity of Internal Rating-Based Approach is taken into account. Furthermore, the thesis discusses the issue of responsibility of external rating agencies for their evaluations, and together with the issue of lacking competition. Various alternatives to external rating are discussed. The internal rating process is discussed in more detail along with the factors which affect rating evaluations of exposures to various entities. Subsequently, the thesis focuses on determining the rate of provision for impairment expected losses on receivables, and a possible impact of accepting IFRS 9 on capital adequacy.
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Comparative analysis of the Central bank of the Russian Federation and the European Central bank
Fomina, Ksenia ; Mandel, Martin (advisor) ; Metrah, Samy (referee)
The Bachelor thesis is focused on the comparative analysis of two central banks, the Central bank of the Russian Federation and the European Central bank. The first and the second chapters are dedicated to the institutional analysis that gives a brief overview of the legislative definition, organizational structure, objectives and instruments of the monetary policy of the Central bank of the Russian Federation and the European Central bank. In conclusion, there is a comparison of the individual systematic characteristics of the monitored central banks. The last chapter represents the practical part of this thesis, which compares activities of the Central bank of the Russian Federation and the European Central bank with the analysis of assets and liabilities before the financial crisis in 2007 and in the last statistically accessible year 2016.
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Comparison of economic crises 1998 and 2014 in the Russian Federation
Noskov, Nikolay ; Brada, Jaroslav (advisor) ; Metrah, Samy (referee)
This bachelor thesis deals with the comparison of two crisis events in 1998 and 2014 in Russia. The thesis is designed in such a way that the comparison is carried out considering the evolution of the economy with defining the main problems of the economic model, which were then included in the assumptions of these crises. The work is particularly important in terms of understanding the essence of economic problems in different time periods and their subsequent comparison. It answers the question if Russia has made some progress during its existence and if the government's approach to economic planning and development priorities has changed. The aim of the thesis is to carry out a complex analysis of each case considering the evolution of the economy and their subsequent comparison based on the knowledge gained during the elaboration of the work. The first chapters contain a theoretical view on the crisis issue. Next parts include the analysis of the state economy in pre-crisis periods and detailed research of each crisis. The thesis works extensively with the data for the period 1992-2015 by means of graphic, correlation and regression analysis. In the final parts of my work I present the comparison with the classification of the characteristics of the two events to the same and different ones and provide my own recommendations regarding the future development. The result of the thesis is the conclusion that Russia is still experiencing structural problems in the economy and with the passing of time it has only changed their character. In both cases, the overall economic model, which has been formed for several years in a row, seemed to be the main prerequisite for a breach of stability.
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Comparison of Ether and Bitcoin
Šperl, Josef ; Revenda, Zbyněk (advisor) ; Metrah, Samy (referee)
In bachelor thesis, reader is introduced to elemental attributes of cryptocurrency, functions they can fulfil, advantages and disadvantages. He is informed about how cryptocurrency coins are created and released, and also how the payments work, especially in case of Ether, and other possible use of the platform it is built on for improving communicational and programational processes. The thesis is only theoretical. It analyze possibilities of investing into cryptocurrency and projects based on them. There is also explained the potencial of Ether, that can lead to great evolution of communication technology, and possibilities how the blockchain technology can be used to keep and transport data on a decentralized basis.
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Comparison of the regulatory and market approach to counterparty risk
Synková, Kateřina ; Šedivý, Jan (advisor) ; Metrah, Samy (referee)
The bachelor thesis deals with a specific type of credit risk, counterparty risk. Theoretical part describes the difference between traditional credit risk and counterparty risk, the individual components of counterparty risk and modelling of these components. Methods of measurement, mitigating and managing the risk are described here. The focus is on the regulatory perspective and capital requirements associated with counterparty risk. The second part compares the quantification of the Standardized CVA Capital Charge and the calculation of unilateral CVA. The value of unilateral CVA is converted to the annual Value at Risk by historical simulation method. The expected future exposure is calculated under the Standardized Approach and the approach is described here.
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Negative interest rates in the context of deflation threats
Jenis, Filip ; Koderová, Jitka (advisor) ; Metrah, Samy (referee)
The introduction of negative interest rates, as an additional tool of unconventional monetary policy in recent years, leads to many, yet largely polarized debates about the implications of the unconventional monetary policy of central banks. The main reason for their introduction in some economies, namely the threat of deflation, is also questioned, as well as the negative side effects of this instrument on financial stability and economic growth, and finally, their limited scope is under scrutiny. Due to the still insufficient research in this field, the aim of the diploma thesis is to evaluate the concerns and the main long-term risks and impacts of the monetary policy using negative interest rates in the context of deflation threats. The analysis of available data confirms both the concerns about the negative effects of negative interest rates on the banking sector, the recovery process of public finances, the possible rise of a price bubble on the financial markets and real estate markets, or on the possibility of excessive risk taking, and on the other hand draws attention to the direct dependence between negative impacts and the duration of monetary policy using negative interest rates.
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Velocity of money and its relevance for monetary policy
Boháčik, Ján ; Koderová, Jitka (advisor) ; Metrah, Samy (referee)
The thesis discusses some issues on the topic of money velocity. Its goal is to summarise theroretical contributions in this area, which are followed by a practical application through the monetary analysis of the Slovak Republic from 1993 to 2000. The theoretical part involves the first approaches to money velocity, explanation of the quantity theory of money and monetarism and their critique. It also describes the monerary transmission mechanism. The practical application part evaluates the impact of the stability of money velocity on the decision of the National Bank of Slovakia to abandon monetary targeting. It also focuses on the other variables that influenced monetary policy execution. The last chapter is devoted to the importance of money velocity if the central bank uses inflation targeting as its policy.
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The position of the World Bank in an international financial system
Bikitseyeu, Artsiom ; Marková, Jana (advisor) ; Metrah, Samy (referee)
The bachelor thesis deals with the position of the World Bank in an international financial system and its role in supporting an economic growth of developing countries. The first part is aimed at the explanation of reasons of founding the World Bank, its goals and projects. In the second part there are clarified ways of gaining the resources and their usage. Furthermore, the thesis focuses on current troubles and their possible reforms.
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Analysis of Exchange Rates (Commodity Exporting and Importing Countries)
Slabý, Pavel ; Mandel, Martin (advisor) ; Metrah, Samy (referee)
This bachelor thesis´s objective is to analyze a possible relationship between exchange rates of selected countries and prices of commodities that these countries export. The thesis aims to describe this relationship and to quantify it. The selected countries are Canada, Japan, Norway, Australia, Zambia and Burundi. This thesis first describes theoretically the relationships between the exchange rates and fundamental quantities. The method of empirical analysis is described in the second part. Correlation and regression analysis is carried out and some problems that I have encountered during the econometric analysis are described as well. I study the aforementioned relationship on monthly data of nominal effective exchange rates from 2000 to 2015 in case of Canada, Japan, Australia and Norway. In case of Zambia and Burundi I study the relationship on yearly data of real effective exchange rates from 1980 to 2014. During my analysis I learned that these exchange rates really show some dependence on the commodity prices. The relationship is strongest in case of Norwegian Krone and oil prices. On the other hand the relationship is the weakest in case of Japanese Yen and oil prices.
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Specifics of Quantitave Easing of ECB and exit strategy
Matiáš, Marek ; Mandel, Martin (advisor) ; Metrah, Samy (referee)
Goal of master thesis Specifics of Quantitave Easing of ECB and exit strategy is to analyse monetary policy called Quantitative easing and its exit strategy. Largest part of thesis addresses this monetary policy on example of European central bank but there is also summary transmission mechanisms and opinions of effectivness of this monetary policy on examples of other central banks. On example of ECB this work describes process of quantitative easing. Also there is empicital analysis of impacts of purchases under Securities market programme on yields of goverment bonds. Result of this anylsis is finding that SMP was effective only partly, mainly at time of its announcement. Further the work analysis current balance sheet of ECB from the perspective of exit from quantitative easing concluding that ECB would be able to execute exit strategy to these days.
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