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Weather risk in the natural gas market
Vyležík, Tomáš ; Janda, Karel (advisor) ; Gapko, Petr (referee)
This thesis deals with the impact of weather on the natural gas market. We describe the development of the natural gas market in the recent past and its current structure. Both these contingencies contributed to the growing importance of hedging against weather risk. Weather is unambiguously the primary determinant of demand in the natural gas market. For that reason, we build a model predicting consumption in the Czech natural gas market with respect to its temperature sensitivity. Such an analysis frequently serves as the first indicator of the need for weather risk hedging, which is since the 90's commonly done with weather derivatives. Therefore we go through so called burn analysis that determines the fair price of an option with regard to past temperature measurements.
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Modern way of calculation of CAPM coefficient: Beta hedging application
Šopov, Daniel ; Andrlíková, Petra (advisor) ; Gapko, Petr (referee)
Model CAPM je považován za základní model při oceňování systematického risku aktiv a jeho provázanosti s výnosností trhu. Tato práce využívá této struktury a použitím různých metod, mezi které patří OLS, DCC MGARCH a SSF modelovaní, se snaží najít nejvhodnější metodu z výše zmíněných, která dokáže nejlépe odhadnout koeficienty systematického risku. Tyto koeficienty jsou dále použity pro zajištění rizika portfolií, které jsou vytvořeny z akcií obchodovaných na různých burzách- NYSE Composite a NASDAQ Composite. Na základě obdržených výsledků o výkonu zajištění rizika v každém portfoliu budeme schopni vyhodnotit, která z metod je nejvhodnější pro odhad systematické risku v modelu CAPM. Klíčová slova: CAPM, Systematický risk, Portfolio risk hedge, OLS, DCC MGARCH, SSF model JEL Classification: C22, C58, G11, G12, G15 Author's e-mail: danielsopov@email.cz Supervisor's e-mail: andrlikova@gmail.com
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Option pricing methods
Chrobok, Viktor ; Gapko, Petr (advisor) ; Vlasáková Baruníková, Michaela (referee)
The diploma thesis is focused on the option pricing methods. There are described basic features of the option contracts and the types of them. Then a description of 6 pricing methods is given - the Black-Scholes model, the French Black-Scholes model, the Binomial Model, the Quadratic approximation model, the Bjerksund-Stersland model and the Jump-Diffusion model. The empirical part contains an analysis of the performance of all models on the real market data. It was shown that all models except for the Jump-Diffusion one fit the data very well, yet it was impossible to determine the best one. The evidence suggests that it is better to plug a few-days-delayed implied volatility than the historical one into all of the models. It was observed that the models for pricing European options are suitable even for the American ones.
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Problémy regulace energetického sektoru jakožto přirozeného monopolu
Nováčková, Tereza ; Gapko, Petr (advisor) ; Luňáčková, Petra (referee)
UNIVERZITA KARLOVA V PRAZE FAKULTA SOCIÁLNÍCH VĚD Institut ekonomických studií Tereza Nováčková Problémy regulace energetického sektoru jakožto přirozeného monopolu Bakalářská práce Praha 2011 Abstract The thesis deals with the problems faced by the regulatory authority when monitoring natural monopolies. Three main objectives are set out within the work. Firstly, I will compare the theory of regulation with its practical application to the energy sector in the Czech Republic. The second objective covers a comparison of two methods of regulation and their impacts on a consumer and the regulated company. For this purpose prices set by regulatory authority have been compared with prices created by Price-cap method. The third objective is the analyses of electricity prices ranging from the initial operating of the regulatory authority in the Czech Republic. The outcome of the thesis is the description of the regulation of energy market in the Czech Republic focusing on the theories of regulation.
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Multivariate Dependence Modeling using Copulas
Klaus, Marek ; Šopov, Boril (advisor) ; Gapko, Petr (referee)
Multivariate volatility models, such as DCC MGARCH, are estimated under assumption of multivariate normal distribution of random variables, while this assumption has been rejected by empirical evidence. Therefore, the esti- mated conditional correlation may not explain the whole dependence struc- ture, since under non-normality the linear correlation is only one of the de- pendency measures. The aim of this thesis is to employ a copula function to the DCC MGARCH model, as copulas are able to link non-normal marginal distributions to create corresponding multivariate joint distribution. The copula-based MGARCH model with uncorrelated dependent errors permits to model conditional cor- relation by DCC-MGARCH and dependence by the copula function, sepa- rately and simultaneously. In other words the model aims to explain addi- tional dependence not captured by traditional DCC MGARCH model due to assumption of normality. In the empirical analysis we apply the model on datasets consisting primarily of stocks of the PX Index and on the pair of S&P500 and NASDAQ100 in order to compare the copula-based MGARCH model to traditional DCC MGARCH in terms of capturing the dependency structure. 1
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Growth dividend from the financial markets integration in the Eurozone after the adoption of the single currency
Hassairi, Nail ; Dědek, Oldřich (advisor) ; Gapko, Petr (referee)
The introduction of the common currency in part of the European Union was a landmark event. It raised eyebrows, expectations and gloomy forecasts. Optimists saw the currency bringing about efficiencies in variety of different ways and industries. This thesis is preoccupied with financial markets. The thesis of this work is that Euro triggered integration on financial markets in countries that joined the project of common currency. The work is trying to gauge this ongoing financial integration and find a measure that would represent it. After finding this measure it is a goal of this paper to estimate if the ongoing financial integration contributed to higher growth prospects in the economies involved.
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Three Essays on Credit Risk Quantification
Gapko, Petr ; Šmíd, Martin (advisor) ; Witzany, Jiří (referee) ; Tichý, Tomáš (referee) ; D'Ecclesia, Rita Laura (referee)
The dissertation thesis deals with modeling and estimating credit risk. In the thesis we particularly focus on the credit risk of retail, and more exactly mortgage, debtors. The thesis is organized into three separate papers with a common theme, which is a development of a credit risk measurement methodology from simpler enhancements of the current research to a model able to capture such details as e.g. the duration structure of the mortgage portfolio. All three papers use the same underlying dataset, a time series of the national US mortgage portfolio delinquency and foreclosure rates. As the research was done during several years, the latter parts of the thesis work with additional observations. In the first paper, we demonstrate that the current regulatory standards for credit risk quantification are based on assumptions that do not necessarily match the reality. Generalizing the well-known Vasicek's model, standing behind the Basel II, we build a model of a credit risk of a loan portfolio. The model, similarly to the Vasicek's model, decomposes the credit risk (expressed as the portfolio probability of default) into two risk factors, one common for all borrowers in the portfolio, and one individual for each single borrower. Our model involves dynamics of the common factor, which influences the...
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Comparison of Value-at-Risk using various empirical methods for the portfolios of BRICT and G-7 countries in the long run
Gül, Özgür ; Baruník, Jozef (advisor) ; Gapko, Petr (referee)
This master's thesis deals with Value-at-Risk for equity portfolios. The distribution of daily returns of equity returns is not perfectly normal. Therefore, the use of the Delta- Normal Value-at-Risk (VaR) method is misleading. Accuracy of estimation may turn out to be failure for portfolios to measure VaR time to time. Therefore, two further methods, Modified VaR and Filtered Historical Simulation, are used for VaR estimation. The former estimates using Cornish-Fisher (1937) expansion and then the latter estimates using autoregressive model for mean equation, EGARCH for volatility and Filtered Historical Simulation (FHS) for VaR estimation i.e. AR (1) - EGARCH (1,1) - FHS methods; and also the performance of both the VaR estimates with Delta- Normal VaR estimate are compared. Last but not the least the implementation of various methods are discussed and analyzed on the two passive historical index portfolios, which represent some of the most attractive financial markets in the world economy.
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The Determinants of Corporate Credit Lines Accessibility in the Czech Republic
Hanák, Pavel ; Gapko, Petr (advisor) ; Janda, Karel (referee)
This work focuses on the factors influencing the accessibility of credit lines for the companies in the Czech Republic. Its methodology follows the respected works written in the field of credit markets or in the field of econometrical methods suitable for the estimation of such markets. The main econometrical tool of this work is the Maximum Likelihood Estimation. Dependent variable is always the percentage change of the total volume of corporate loans and the independent variables are the percentage changes of different macroeconomic indicators. This work brings key findings important for the understanding the of the Czech corporate credit market. JEL Classification C32, C51, E40, E41, G10, G20, G21 Keywords Corporate Loans, Credit, Credit Lines, Credit Market, Credit Supply, Czech Banking Sector, Demand for Credit, Loans Author's e-mail pavelhanak@seznam.cz Supervisor's e-mail petr.gapko@seznam.cz
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Alternative measures of risk - application on the Central European region
Vodňanský, Ondřej ; Gapko, Petr (advisor) ; Rippel, Milan (referee)
Increasing volume of research shows that both theoretical assumptions and empirical fit of traditional mean-variance and CAPM frameworks are flawed. Hence, other risk measures are gaining popularity. Downside risk measures not only represent the theory well, they are also significant in explaining variations of stock returns. Most importantly, the definition of risk they provide is more in line with perspectives of investors. We have carried out extensive testing on a sample of companies from the Czech Republic, Germany and Poland. Our results show that Semivariance with respect to zero is the most significant risk measure while CAPM beta by itself has little use. Finally, we also analysed importance of idiosyncratic risk on CEE shares and found out that it is indeed priced on the Czech and Polish stock markets but not in Germany.
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