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Operattional risk : scenario analysis
Rippel, Milan ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
Operational risk management and measurement has been paid an increasing attention in recent years - namely due to the Basel II requirements that were to be complied with by all international active financial institutions by January 2008 and also due to recent severe operational risk loss events. This diploma thesis focuses on operational risk measurement techniques and on regulatory capital estimation methods. A data sample of operational losses provided by a Central European bank is analyzed using several approaches. Multiple statistical concepts for the Loss Distribution Approach are considered. One of the methods used for operational risk management is a scenario analysis. Under this method custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main problems are assessed in this diploma thesis - what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling because its results are consistent even while using scenario analysis method. The...
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Credit risk monitoring in the Czech banking sector : Early warning model
Mužíček, Pavel ; Dědek, Oldřich (advisor) ; Rippel, Milan (referee)
The aim of my thesis is in the first place to show how to deal with a credit risk, and which tools the Czech banking sector uses to minimize it (based on the adequate literature and own experience). In the second place, the aim is to find out the reliable logit model estimating the probability of default during the short period based on available data (in the time of economic crisis in the Czech environment). In the first part of this thesis I am describing the development of Non-performing loans before and during the current financial crisis together with the results of the CNB's stress tests. Next chapter describes the credit risk with the emphasis on the credit monitoring, including the most frequently used monitoring tools. Practical part turns us to the most important EWM model. The strictly confidential banking data (credit account turnovers, credit contract), together with data from the financial statements and CRU registry are the inputs to the Model. The Model should work as an early warning signal detection thanks to the estimate of probability of default (more specifically the watch loan classification or worse) during the next three months.
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Analysis of unemployment development in Slovakia and impact of labour market policies
Tesárová, Viktória ; Rippel, Milan (advisor) ; Půlpán, Karel (referee)
This bachelor thesis concerns unemployment in Slovak Republic and impact of welfare reform approved by second Mikuláš Dzurinda government on its development, with focus on active and passive labour market policies. It explores character and structure of slovak unemployment and impact of adopted reforms on changes in development of rate of unployment registered and rate of unemployment from Labour Force Survey. Via theoretical data analysis of labour market and state expenditures acquired from statistical institutions and its comparison before and after reforms is this thesis trying to define this impact and determine its extent. Functioning of new welfare system is also based on international data comparision.
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Optimal Investment Portfolio with Respect to the Term Structure of the Risk-Return Tradeoff
Urban, Matěj ; Rippel, Milan (advisor) ; Červinka, Michal (referee)
My thesis will focus on optimal investment decisions, especially those that are planned for longer investment horizon. I will review the literature, showing that changes in investment opportunities can alter the risk-return tradeoff over time and that asset return predictability has an important effect on the variance and correlation structure of returns on bonds, stocks and T bills across investment horizons. The main attention will be given to pension funds, which are institutional investors with relatively long investment horizon. I will find the term structure of risk-return tradeoff in the empirical part of this paper. Later on I will add some variables into the model and investigate whether it can improve the results. Finally the optimal investment strategies will be constructed for various levels of risk tolerance and the results will be compared with strategies of Czech pension funds. I am going to use data from Thomson Reuters Datastream, Wharton Research Data Services and additionally from some other sources.
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Financial crisis as a result of risk management failure
Minařík, Štěpán ; Rippel, Milan (advisor) ; Hlaváček, Michal (referee)
In this thesis, we examined time period from year 1993 to 2008 concerning real estate market in USA and coherent risk management decisions and tools used by US government and private mortgage institutions. After qualitative analysis of information resources (financial data, official documents and statements, economic researches and coments), we tested hypothesis of underestimation of real estate price bubble in years 2000 to 2007 by mortgage agencies and US stock market. The tool we used was linear regression (ordinary least squares method) to examine pricing of mortgage-backed securities by mortgage agencies and pricing of mortgage bank Fannie Mae stocks by investors.
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The economic development of Brazil in nineties
Rippel, Milan ; Půlpán, Karel (advisor) ; Švarc, Petr (referee)
This paper analyzes transformation process of Brazilian economy during last decade of the 20th century from an industrional based country into modern open market economy. Special focus is given to the exchange rate anchor stabilization program - Plano real - which mixed spectacular price stabilization with some macroeconomic destalization. Powered by TCPDF (www.tcpdf.org)
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The implications of the financial crisis on a mutual funds investments in the Czech Republic
Bartas, Jan ; Rippel, Milan (advisor) ; Buzková, Petra (referee)
In this thesis we examined the implications of the financial crisis from the September 2008 for investments into mutual funds in the Czech Republic. We compared this implication for worldwide, European and Czech mutual funds market. Using the linear regression (ordinary least squares) with dummy variables we proved that crisis had implication not just for the whole level of invested financial resources but for the structure of mutual funds market as well. We showed that the crisis occurred at the world and European markets between 3rd quarter of 2007 and 1st quarter of 2009 meanwhile between 3rd quarter of 2008 and 2nd quarter of 2009 at the Czech mutual funds market. We tested these hypotheses as well: 1) influence of stock share index on the price of equity funds, 2) influence of the short interest rate on the price of money market funds, 3) influence of the long term interest rate on the price of bond funds under the conditions of the Czech mutual funds market.
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Housing prices in Prague- their developments and prediction
Petr, Adam ; Hlaváček, Michal (advisor) ; Rippel, Milan (referee)
The housing prices in Prague had risen by more than 63% between 2002 and 2008. However since August 2008, when they reached their peak, they have been almost constantly falling. Most of the publications regarding housing prices are taking into account Prague as one of the Czech regions. On the contrary, this work analyzes housing prices in Prague and its 22 districts. In first part of this work the indicators of rent-to-price ratio, price-to-income ratio and new building development factors are considered to explain possible future development of housing prices. This is seemed to continue falling during the year 2011. The second analytical part tries to explain the housing prices according to specific locality features and macroeconomic aspects. The panel regression is used and it reveals that the most significant attributes are the macroeconomic features.
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Signaling Effect of Dividends
Strnad, Jan ; Rippel, Milan (advisor) ; Vokatá, Petra (referee)
This thesis deals with the question of whether there is a positive relationship between dividend and firm's value. Thesis focuses on the signaling theory which states that dividends convey information from managers about the future performance of the company to investors. The first part covers theoretical background for determining the optimal level of dividends. It focuses on description of processes how firm's future profitability may be communicated via dividends and critical assessment of signaling models, particularly in respect to their assumptions and the relationship between dividends and stock repurchase. The second part verifies the signaling theory based on data from WSE (Warsaw Stock Exchange). It describes the specifics of Polish market and the methodology of data collection. Then hypotheses whether the amount of dividend has an impact on the stock price on the day of the announcement and whether announced dividend convey the information about firm's future profitability are tested. In the end there are presented the results. Analysis of the collected data gave mixed evidence for the signalling theory. Data confirmed the relationship between dividends and firms' future profitability, but not the relationship with stock prices. Based on the results I hypothesise that the information contained in...
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Trade credit insurance - effective tool for credit risk management?
Šimková, Kamila ; Hollmannová, Monika (advisor) ; Rippel, Milan (referee)
Diploma thesis covers the field of risk management that companies need to deal with when trading on open account. Basis for this research is the question, whether credit risk management positively influences health of a company and whether credit insurance is effective tool when protecting against credit risk. The subject is firstly discussed in the context of current economic crisis and its impact on entrepreneurial environment, companies' payment behaviour and the volume of insolvencies. Further there are characterized types of credit risk, outlined risk management methods and compared selected instruments used for credit risk protection. Attention is devoted particularly to trade credit insurance. Finally effectiveness and actual usefulness of credit insurance is evaluated on selected models and a case study. Presented case study demonstrates a real life insurance contract and quantifies the cost saving resulting from risk protection through trade credit insurance. Keywords: economic crisis, payment behaviour, insolvency, risk management, trade credit insurance
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