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Remittances: the service provider perspective
Zika, Jan ; Cahlík, Tomáš (advisor) ; Pečená, Magda (referee)
The thesis examines international remittances (i.e. cross-border pavments sent by migrant workers) front the perspective of existing or potential Service providers. It explains their economic significance and irnpact, characterizes the consumers involved with remittances and their behavior, describes the remittance process. and classifies and compares remittance transfer mechanisms. It also analyzes globál remittance flows and the consumers' cost. Fuithermore. it summarizes the results of remittance provision rnarket research, reviews representative examples of existing Services, and identifies categories of providers. The thesis then evaluates the strategie positions of existing types of Services, and identifies factors that shoukl distinguish successful providers. Finally. it assesses the business opportunity for new technology providers.
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Calculation of capital requirements for secured loans according to the rules of the new basel capital accord
Kališová, Lucia ; Pečená, Magda (advisor) ; Mejstřík, Michal (referee)
This diploma thesis deals with the calculation of capital requirements for secured loans according to the rules of the New Basel Capital Accord. Within this context we ask a question in the introduction whether more sophisticated approach leads to lower capital requirements. In the next chapter we describe credit risk and different types of collateral used for credit risk mitigation. Then we provide detailed explanation of different approaches of the Basel Accord, concretely simple and comprehensive approach of Standardized Approach and foundation and advanced approaches of Internal Rating Based Approach. The main part of the thesis is application of these approaches on a simulatedportfolio. By comparison of results we get a positive answer to our question.
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Modeling default probability and Individual loan price construction for small and medium companies
Semianová, Kateřina ; Pečená, Magda (advisor) ; Derviz, Alexis (referee)
This thesis is focused on modelling credit risk linked with granting smáli business credits. Research on corporate credit risk modeling for privately held companies is rather limited due to lack of publicaly available data. Main topič of this study is individual loan pricing related to the risk profile of those subjects. First part is concentrated on theoretical background of individual rate construction. This rate is based on risk prémium and a Capital requirement related with clienťs individual risk profile and námely with his probability of default. The remainder is devoted to the extensive empirical study supported with representative dataset of US smáli business companies. Middle part introduce several alternativě PD scoring methodologies. Finál partition is dedicated to individual interest rate construction and simulation of interest income. The main objective is to demonstrate doubtless advantages of individual rate construction against charging regular rates.
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The Applicability of Merton's Credit Risk Model in the Czech Republic
Peška, Martin ; Pečená, Magda (advisor) ; Janda, Karel (referee)
Credit risk is the most important risk that financial institutions all around the world have to face. Even though the credit risk consists of several components, none are moreimportant and more difficult to measure than the probability of default. In my diploma thesis "The Applicability of Merton's Credit Risk Model in the Czech Republic" I take a closer look at several methods of measurement of default probability. I start with the traditional accounting-based methods (Altman's Z and Ohlson's O) and present the methodology of credit ratings. But the main focus of this work lies on the Merton model, which derives the probabilities of default for publicly traded companies mainly from the prices and volatility of equity. I discuss the model's assumptions, derive the key formulas, give step-by-step directions for its actual implementation and discuss thoroughly the model'sadvantages, limitations, improvements and previous empirical tests of model quality. Building on this theoretical ground, I compute the Merton-implied probabilities of default for Czech companies that are listed (and actively traded) on the Prague Stock Exchange. I compare the obtained results with the traditional indicators of credit risk, Altman's Z- and Ohlson's O- Scores with both original and updated coefficients, and with...
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New Collective Investment Possibilities in the Czech Republic
Vostrovská, Diana ; Pečená, Magda (advisor) ; Jakubík, Petr (referee)
Collective investment in the Czech Republic has gone through significant development during past decades and currently plays an important role on financial markets. The amendment of the Act on Collective Investment enabled the creation of property funds, which can be set up as special funds of qualified investor funds. The study starts with the general overview of the Czech collective investment market its structure, history and present. Furthermore, legal norms which determine the conception of property funds are specified. The study draws from the experience of foreign states and mostly focuses on Germany and USA. Property funds already have their own history there. Last but not least, the main aspects of property funds business are analyzed in context of international competitive advantages by analyzing the characteristics of indirect real-estate investments, tax system, development of the local realestate market and European legislation.
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Regulatory Sandbox - International Experience
Černecka, Anastasija ; Pečená, Magda (advisor) ; Teplý, Petr (referee)
The regulatory sandbox is a special regime provided by regulators and super- visory authorities to market participants for testing their innovative business models, while temporarily reducing certain regulatory requirements. It is a very recent topic and so far its impact has not been sufficiently empirically tested. However, the empirical evidence may be crucial for the authorities hesitating to adopt their regulatory sandboxes. The main contribution of this thesis is the empirical testing of the effect of the sandbox on the investments into FinTech in three European countries, using the Synthetic control method. The yearly aggregate amounts and numbers of FinTech investments were selected as mea- surable indices of the FinTech sector development. The most significant results show that in the United Kingdom, the aggregate yearly amounts invested into FinTech grew considerably compared to the values of the synthetic control unit, after the sandbox introduction. For the other two tested countries (the Nether- lands, Denmark), no significant outcomes were observed due to insufficiency of data. In the theoretical part, this thesis gathers information about the existing regulatory sandboxes in European countries. Also, the author seeks to outline the main legal issues related to the regulatory sandbox...
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Estimation of company credit rating by means of ordered probit model applied to Czech bond market environment
Pergl, David ; Pečená, Magda (advisor) ; Teplý, Petr (referee)
There is a widespread belief among the academics that the bond investors are sufficiently rewarded for taking higher credit risk in their investments. Recent studies confirmed that the well-behaved global markets exhibit adverse relationship of bond credit quality and required bond yield. However, there is no evidence about the Czech market. The purpose of this study is to examine the relationship between credit rating and bond yield or alternatively credit spread on the Czech bond market. As majority of Czech bond issuers are not rated we first had to develop appropriate tool how to measure their credit rating or to build suitable model for credit rating measurement. An ordered probit model is applied, using financial and company-specific data in the pool of US and EU companies structured in the panel of observations in 2008-2019. The study demonstrates that financial and company specific data are sufficient to estimate the credit rating. This model was applied to the Czech market to determine credit scores of Czech bond issuers. These credit scores were employed to examine the relationship between credit risk exposure (credit rating), bond yield and credit spread. The research did not confirm strong linear relationship between credit risk and return and suggests that there are other factors...
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Credit risk stress testing of the Czech banking sector
Vachušková, Karolína ; Pečená, Magda (advisor) ; Švéda, Josef (referee)
This thesis aims to describe stress testing in the Czech banking sector focusing on the most significant banking risk, which is credit risk. The thesis examines the difference between regulatory and internal stress testing, compares their assumptions, outcome quality and usability. It deals with the regulation of stress tests, which banks must fulfil. Further, it uses the current Covid-19 crisis as a test of whether the adverse scenarios used are sufficiently severe to cover the risks for and impacts on the actual negative development of the economy. This analysis assesses the Czech banking sector's readiness and resilience and includes the reactions of banks and the Czech authorities to increasing risks.
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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.
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