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Credit default swaps
Veselý, Vladimír ; Pečená, Magda (advisor) ; Benčík, Daniel (referee)
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products. The next section deals with the historical development of credit default swaps, regulatory actions taking place in recent years and market changes. Finally, the study points out the possibilities of the credit default swap pricing either by Hull-White model, par asset swap or linear regression. The thesis should help the reader to understand basic issues concerning credit default swaps. Keywords Credit default swap, credit risk, credit event, central counterparty, asset swap spread Length of the thesis 65 231
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How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
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Are More Liquid Stocks Also More Efficient?
Kupka, Petr ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
Liquidity and informational efficiency are closely watched features of financial markets. Together with stock exchange size effect, captured by market capitalization, this thesis examines the triple of relationships among these three stock market properties. Applying methods of sequences and reversals ratio test, autocorrelation coefficient test and variance ratio test provided us with 14 proxy measures of efficiency for each stock. Daily prices and volumes traded for period 2003 - 2013 of 206 stocks sampled from 22 stock exchanges were used. The same data were used for Amihud illiquidity measure. The positive relationship between stock efficiency and liquidity was not strongly supported neither rejected. It turned out that stock liquidity is very strongly positively dependent on size of stock exchange where is that particular stock listed. It was also concluded that there are more efficient stocks listed in larger stock exchanged. JEL Classification: G12, G14, G15 Keywords: stock liquidity, stock exchange size, stock efficiency Author's e-mail: kupkapetr@gmail.com Supervisor's e-mail: kristoufek@ies-prague.org
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Relationship between liquidity and volatility of selected exchange rate pairs
Kotek, Martin ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
The thesis explores relationship between volatility and liquidity of ten selected exchange rate pairs. Several volatility and liquidity measures are computed and the relationship between volatility-liquidity pairs is tested for cointegration and Granger causality; impulse response functions are computed as well. We find that volatility measures provide similar information (are cointegrated), while volatility measures differ to a large extent. A few cointegrating relationships between volatility and liquidity are found, but they are specific to only some currency pairs. Granger causality tests give different results for different currency pairs, but in general, the relationship between volatility and liquidity is two-way (feedback). Shocks in volatility or liquidity have little impact on the other and quickly fade away, usually within one or two days. Powered by TCPDF (www.tcpdf.org)
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Exchange Rate Pass - Through to Domestic Prices: The Case of the Czech Republic
Hájek, Jan ; Horváth, Roman (advisor) ; Benčík, Daniel (referee)
In this thesis, we examine the exchange rate pass-through phenomenon in the Czech Re- public over 1998:1-2014:1 period. As our vector autoregression results indicate, short-term pass-through effect slowed down and prolongated its duration substantially. Consequently, the accumulated value to be transmitted increased compared to previous findings. In the case of exchange rate pass-through effect to CPI, the accumulated response after 18 months accounts for about 40-60 per cent. In this regard, our time-varying results using unique Chebyshev Time Polynomials points to period 2008-2014 to be the leading cause. It seems that during macroeconomically less stable periods the exchange rate pass-through in the Czech Republic tends to increase. Even though the consensus on the pass-through lev- els and its development over time is rather scarce, we find support for our conclusions. More interestingly, having in mind November's currency interventions of the Czech Na- tional Bank to weaken koruna (and thus avoiding deflation), our results reveal that this measure has become much more effective in the latest years (as consequence of the crisis) than previous literature suggested. Following up on that, it seems that exchange rate regained some of its rather historical importance while conducting monetary policy...
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Exchange Rate Pass-Through to Domestic Prices: The Case of the Czech Republic
Hájek, Jan ; Horváth, Roman (advisor) ; Benčík, Daniel (referee)
In this thesis, we examine the exchange rate pass-through phenomenon in the Czech Re- public over 1998:1-2014:1 period. As our vector autoregression results indicate, short-term pass-through effect slowed down and prolongated its duration substantially. Consequently, the accumulated value to be transmitted increased compared to previous findings. In the case of exchange rate pass-through effect to CPI, the accumulated response after 18 months accounts for about 40-60 per cent. In this regard, our time-varying results using unique Chebyshev Time Polynomials points to period 2008-2014 to be the leading cause. It seems that during macroeconomically less stable periods the exchange rate pass-through in the Czech Republic tends to increase. Even though the consensus on the pass-through lev- els and its development over time is rather scarce, we find support for our conclusions. More interestingly, having in mind November's currency interventions of the Czech Na- tional Bank to weaken koruna (and thus avoiding deflation), our results reveal that this measure has become much more effective in the latest years (as consequence of the crisis) than previous literature suggested. Following up on that, it seems that exchange rate regained some of its rather historical importance while conducting monetary policy...
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Are the more popular stocks also the more risky ones?: Google and Wikipedia searches in portfolio optimization
Brunová, Kristýna ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
This thesis studies if the web search data provided by Google Trends and Wikipedia can be utilized for portfolio diversification. We build up on the empirical results indicating that the surge in online attention paid towards a specific stock is associated with an increase in the stock price volatility. Therefore, we employ a diversification strategy that discriminates for the popularity of a stock by assigning it a lower portfolio weight. Conversely, the least searched stocks are preferred in the portfolio. To measure the popularity of a stock, we focus on Google search volume for stock-related terms as well as on Wikipedia pageviews of the corresponding company's page. Our results show that the search-based strategies outperform the benchmark index and the uniformly distributed portfolio, reaching lower risk level and higher standardized average returns. Moreover, these strategies are successful even in the out-of-sample.
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Impact of ICT Investments on Different Levels of an Economy
Andoková, Senta ; Cahlík, Tomáš (advisor) ; Benčík, Daniel (referee)
This work analyzes the impact of investments in information and communication technologies (ICT) at the level of states, firms and households. Its contribution lies in the transparency of theoretical views of the role of ICT at the respective levels of the economy and also in the form of an econometric model studying the impact of ICT investments on GDP. The work describes some causes of ambiguous impact of ICT on statistical tables and then uses the Cobb-Douglas production function to define the components of economic growth (represented by GDP). The numerical contribution of each factor is compared between the USA and the EU throughout the periods 1980-1995 and 1995-2001. The look on companies is focused mainly on the role of ICT use in work process and its impact on the economic operation of the companies. To what extent are these firms affecting employment and wages is the main theme of the section related to households. The work showed that very similar procedures are necessary for all of the aforementioned levels of the economy for the desired result of ICT investments. An empirical analysis of 20 European countries during the period 2003-2008 proved positive impact of ICT investments on GDP. The results of the model, however, served more evidence of the significance of the ICT sector. The...
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The Impact of an Announcement of a New Car Model on the Price of Stocks of Automobile Companies
Micenko, Ján ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
This work studies the impact of an introduction of a new car model on the stocks of the introducing company and its rivals and also the impact of an earnings announcement on the stocks of the introducing company. I use two different approaches to explore these effects, one focusing on the stock returns through the CAPM and the other focusing on the volatility of stocks using GARCH model. I found that the new model introduction has a significant positive effect on the returns of stocks of the announcing company but I found no definite effect on the returns of stocks of the competition. Moreover, I found that the new model introduction has no effect on the volatility of stocks of the announcing company and similarly I found no definite effect on the volatility of stocks of the competition. Furthermore, I found that the earnings announcement has no definite effect on the stock returns of the announcing company but that it has a significant positive effect on the volatility.
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Cost Benefit Analysis of Wind Power in Germany
Labunets, Nazariy ; Zajíček, Miroslav (advisor) ; Benčík, Daniel (referee)
The objective of this thesis is to perform a cost benefits analysis of the wind power sector in Germany, with the horizon of 2030. Various costs and benefits stemming from the expansion of wind power are inferred from literature review and studying the peculiarities of the German case. The magnitude of governmental support is calculated by applying the Weibull distribution of wind at different zones across Germany and power curves of 5 modern wind turbines, as specified by the law. A number of sensitivity analyses is performed on the main inputs for onshore installations. Under the baseline assumptions, the onshore sector is found as non-beneficial to the society, without a visible improving trend for the future. While the offshore sector does not reach a point where the benefits would start overweighing the cost until 2030, the overall trend look much more promising. Powered by TCPDF (www.tcpdf.org)
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