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Cost planning of PPP projects in the Czech Republic
Ehrenberger, Marek ; Teplý, Petr (advisor) ; Chytilová, Julie (referee)
English The thesis explores the topic of cost planning of Public-Private-Partnership (PPP) projects in the Czech Republic, especially with respect to institutional settings and road infrastructure. First, the PPP concept is introduced from a theoretical perspective and compared to traditional public procurement. Then the financing of PPP projects is discussed in the context of project finance and the European PPP market. The main part of the thesis focuses on public procurement of road infrastructure and the advantages of the PPP organizational structure. Initially, flaws of the procurement institutions are identified and a number of solutions suggested. The solutions cover four main areas: improvement of procurement laws, better qualifications of public officials, strategic planning of needed roads and asset management perspective on the existing infrastructure. The question whether Czech institutions are hindering the potential of PPP projects is answered positively. Follows a thorough empirical analysis of a World Bank PPP model for highways through a Monte Carlo simulation. A particular case of R35 motorway is evaluated as a PPP project and key drivers of public and private NPV are identified and compared across three different scenarios. Heavyweight traffic intensity, its toll revenue and...
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Quantifying the Effects of the CNB's Exchange Rate Commitment: A Synthetic Control Method Approach
Opatrný, Matěj ; Havránek, Tomáš (advisor) ; Teplý, Petr (referee)
In this thesis I evaluate the quantitative effects of the Czech National Bank's commitment to keep the Koruna from appreciating that were put in place in 2013. I focus its on the impact on output, unemployment, and inflation. I use the synthetic control method, which allows me to compute the counter-factual development of the Czech economy in the absence of the commitment. I find that, until the end of 2015, the commitment helped create about 100,000 jobs. The effect on overall output is also strongly positive, almost 2% for growth in 2015, but only marginally statistically significant, which might be connected to disturbances created by changes in excise taxes. The effect of the commitment on inflation is positive but not statistically significant at standard levels. Powered by TCPDF (www.tcpdf.org)
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Bank Efficiency, Risk, and Capital in the Visegrad Group Countries
Fraňo, Filip ; Teplý, Petr (advisor) ; Lešanovská, Jitka (referee)
The aim of the thesis is to estimate the cost efficiency of the banks from the Czech Republic, Hungary, Poland, and Slovakia during 2008-2013 using stochastic frontier analysis. In addition to this, mutual relationships between the changes in banks' cost efficiency, risk- taking, and capital position are examined. First, the literature that is concerned with these relationships is reviewed and the stochastic frontier approach towards the efficiency estimation is outlined. In the empirical analysis, the cost efficiency of the banks from the aforementioned countries is estimated. The results suggest that the Czech and the Polish banks from the sample have the highest average cost efficiency while the Hungarian banks rank the lowest. The estimated efficiency is decreasing during the sample period. No conclusive results are found to support the hypothesis that the larger banks exhibit higher cost efficiency. Subsequently, the system of simultaneous equations is applied to test the mutual relationships between the changes in the banks' cost efficiency, risk-taking, and capital position. The results suggest a negative relationship between the changes in risk-taking and cost efficiency and between the changes in capital position and risk-taking of the banks. Moreover, the results do not indicate simultaneous...
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Credit Valuation Adjustment Modelling in Theory and Practice
Markvartová, Lenka ; Teplý, Petr (advisor) ; Buzková, Petra (referee)
This thesis explores the concept of credit valuation adjustment (CVA) focusing on the regulatory CVA capital charge. Regulatory CVA capitalizes the risk of losses due to deterioration in a counterparty's credit quality within a bilateral OTC trade. The two approaches defined in Basel III, the standardized and the advanced method, are analyzed and compared. The individual steps in the complex advanced method are uncovered and a simplified methodology is suggested, replacing banks' internal models. Capital charges are computed under both methods for several hypothetical portfolios. Furthermore, sensitivities of both models to trade parameters are quantified as well as the effect of risk mitigators such as netting and collateral. Finally, the role of the correlation between counterparties is explored. Powered by TCPDF (www.tcpdf.org)
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Czech Commercial Banks' Net Interest Margin Analysis with Regards to the Changes of Recent Years
Brousil, Martin ; Teplý, Petr (advisor) ; Katuščáková, Dominika (referee)
Czech Commercial Banks' Net Interest Margin Analysis with Regards to the Changes of Recent Years Bachelor thesis Martin Brousil Abstract The rapid development of digital technologies in recent years has influenced the whole business world, with the banking industry being no exception. For banks, it has brought many advantages, such as greater cost efficiency or higher availability of information about clients, but also new challenges for their business models and a growing number of direct and indirect competitors. This thesis analyzes the most salient trends present in the industry: the digitalization of banking, the growing competition, a shift in customer preferences and the stricter regulation of the banking business. Further, it focuses on the decreasing interest rate margin of Czech banks and attempts to find its causes. The size of bank, its cost efficiency and operational risks are identified as important determinants of the margin and also GDP growth and the degree of competition within the sector are found to play their roles in the determining process. At the end, the results are used and the qualitative and quantitative trends are linked together, since, as the author argues, a close relationship between them exists. Keywords Banking, Clients' Preferences, Competition, Digitalization, Regulatory...
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Non-interest income management of banks in a global low interest rate environment
Bečvaříková, Vendula ; Teplý, Petr (advisor) ; Džmuráňová, Hana (referee)
The significant change of the banking business models is easily observable in the current banking industry. Banks are forced to find additional source of income besides the one from traditional activities and thus the non-interest income is growing in importance. One of the reasons behind is that the banks need to recover from severe impacts of financial crisis in 2008-2010 and they want to adapt to the environment of low interest rates which has been occurring in the market since 2011. In this thesis, we analyze the presence of direct effect of non-interest income (proxied by fee income) on banks' performance using data of 220 commercial and investment banks from U.S. and EU-28 countries over the period of 2007-2014. Using System Generalized Methods of Moment, the direct effect was not detected. However, we conclude that economy with low inflation rate and growing gross domestic product improves the banks' profitability, as well as high capitalization and operating and credit quality efficiency. Furthermore, we found out that the volatility of the non-interest income has increased earlier than the crisis in 2008-2010 and it has been achieving almost continuous level till 2011 when it started decreasing again. Thus the hypothesis about relationship between volatility and financial crisis was rejected.
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Determinants of Production and Sales in Automotive Industry: Evidence from ŠKODA AUTO
Sezemský, Ondřej ; Teplý, Petr (advisor) ; Mikolášek, Jakub (referee)
Automobiles can be today considered as cultural icons which indicate the level of develop- ment of a particular state. This thesis provides analysis of automotive industry in general from the point of view of globalization, linkages, value chains and macroeconomic envi- ronment. We will stress crucial challenges that face global original equipment manufac- turers, depict situations on most important emerging markets and forecast development that we can expect there. In the context of these information we will develop economet- ric analysis which will widen current findings from microeconomic and macroeconomic perspective of a car manufacturer. ŠKODA AUTO represents the most important en- terprise in the Czech Republic and at the same time is a part of the biggest automobile concern in the world. We will use internal data from the company for our research and give overall recommendations. Central questions in this study are the following: What are the forecasted needs of the customers on emerging markets? How sensitive are com- panys' costs on the output? And finally, which role do the macroeconomic indicators play in delivering of automobiles to end customers? 1
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The Regulatory Arbitrage between Basel III and Solvency II: The Role of Alternative Risk Transfers Demonstrated on CDS Spreads - The Case of Italy
Budská, Petra ; Teplý, Petr (advisor) ; Buzková, Petra (referee)
Different capital regulatory requirements in the bank and insurer markets lead to finding and using of new more complex financial tools linked with capital release and subsequent optimization of the investment objectives, but they are also linked with promises and risk transfers that could cause a collapse or a systemic risk of the financial markets, as evidence by the recent financial crisis. The aim of my work is to examine the behavior of credit default swap spreads on the securitization and reinsurance markets, followed by analyzing arbitrage conditions between securitization and reinsurance markets by cointegration analysis. The thesis focuses on Italy because it is one of four main European players in the securitization market and it has highly developed bank and insurer markets. Moreover, it still faces to consequences of the recent financial crisis that is indicator of strong possible bases for above mentioned complex financial instruments. On the dataset of Top 8 Italian banks and insurer companies in the period 2006 - 2012 I showed by cointegration analysis a presence of just one cointegration relationship between securitization and reinsurance market, therefore I rejected possibility of arbitrage between these markets. But on the other hand, they converge to long term equilibrium slowly...
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The globalisation of the Chinese financial sector
Reyisha, Ahemaitijiang ; Teplý, Petr (advisor) ; Havránková, Zuzana (referee)
In this thesis we have studied China's financial sector globalisation by analysing the determinants of Chinese banking sector profitability, and the relationship between GDP growth and FDI inflows. For estimating the Chinese banking sector profitability, we applied system GMM estimation on the annual data of 56 banks currently in China. The time period of the data is from 2002-2011. We found out that both internal and external factors have impact on the Chinese banking sector profitability. As we have expected financial sector globalisation has positive impact on the profitability of banking industry. For analysing the impacts of financial sector globalisation in terms of FDI contribution to the Chinese economy, we have tested the relationship between FDI and GDP by running the VAR model on the macro data over the time period of 1987-2011. We have found that GDP growth explains the rapid development of FDI, and FDI indirectly influences the GDP growth by influencing the domestic investments.
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Cost planning of PPP projects in the Czech Republic
Ehrenberger, Marek ; Teplý, Petr (advisor) ; Chytilová, Julie (referee)
English The thesis explores the topic of cost planning of Public-Private-Partnership (PPP) projects in the Czech Republic, especially with respect to institutional settings and road infrastructure. First, the PPP concept is introduced from a theoretical perspective and compared to traditional public procurement. Then the financing of PPP projects is discussed in the context of project finance and the European PPP market. The main part of the thesis focuses on public procurement of road infrastructure and the advantages of the PPP organizational structure. Initially, flaws of the procurement institutions are identified and a number of solutions suggested. The solutions cover four main areas: improvement of procurement laws, better qualifications of public officials, strategic planning of needed roads and asset management perspective on the existing infrastructure. The question whether Czech institutions are hindering the potential of PPP projects is answered positively. Follows a thorough empirical analysis of a World Bank PPP model for highways through a Monte Carlo simulation. A particular case of R35 motorway is evaluated as a PPP project and key drivers of public and private NPV are identified and compared across three different scenarios. Heavyweight traffic intensity, its toll revenue and...
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