
Four Essays on Financial Stability
Jakubík, Petr ; Dědek, Oldřich (advisor) ; Mejstřík, Michal (referee) ; Kodera, Jan (referee) ; Peltonen, Tuomas (referee)
Recent episodes of financial instability have motivated researchers as well as policy makers to intensify research on financial stability. This thesis contributes to current research and policy discussion by elaborating and empirically testing methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks for financial stability. It further focuses on the link between real and the financial sector as well as possible implications of household financial distress on the aggregate economy. Together with the proposed framework we provide the survey of the current literature on these topics as well as the empirical results. We argue in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can...

 

Pricing and modeling credit risk
Kolman, Marek ; Witzany, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firmvalue models, reducedform models, portfolio problems, with a possible finer subclassification. Every part provides a theoretical discussion, proposal of selfdeveloped methodologies and related applications that are designed so as to be close to the realworld problems. The text also reveals several new findings from various fields of credit risk modeling. In particular, it is shown (i) that the stock option market is a good source of credit information, (ii) how the reducedform modeling framework can be extended to capture more complicated problems, (iii) that the double t copula together with a selfdeveloped portfolio modeling framework outperforms the classical Gaussian copula approaches. Many other, partial findings are presented in the relevant chapters and some other results are also discussed in the Appendix.


Bayesovský odhad DSGE modelů
Bouda, Milan ; Pánková, Václava (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
Thesis is dedicated to Bayesian Estimation of DSGE Models. Firstly, the history of DSGE modeling is outlined as well as development of this macroeconometric field in the Czech Republic and in the rest of the world. Secondly, the comprehensive DSGE framework is described in detail. It means that everyone is able to specify or estimate arbitrary DSGE model according to this framework. Thesis contains two empirical studies. The first study describes derivation of the New Keynesian DSGE Model and its estimation using Bayesian techniques. This model is estimated with three different Taylor rules and the best performing Taylor rule is identified using the technique called Bayesian comparison. The second study deals with development of the Small Open Economy Model with housing sector. This model is based on previous study which specifies this model as a closed economy model. I extended this model by open economy features and government sector. Czech Republic is generally considered as a small open economy and these extensions make this model more applicable to this economy. Model contains two types of households. The first type of consumers is able to access the capital markets and they can smooth consumption across time by buying or selling financial assets. These households follow the permanent income hypothesis (PIH). The other type of household uses rule of thumb (ROT) consumption, spending all their income to consumption. Other agents in this economy are specified in standard way. Outcomes of this study are mainly focused on behavior of house prices. More precisely, it means that all main outputs as Bayesian impulse response functions, Bayesian prediction and shock decomposition are focused mainly on this variable. At the end of this study one macroprudential experiment is performed. This experiment comes up with answer on the following question: is the higher/lower Loan to Value (LTV) ratio better for the Czech Republic? This experiment is very conclusive and shows that level of LTV does not affect GDP. On the other hand, house prices are very sensitive to this LTV ratio. The recommendation for the Czech National Bank could be summarized as follows. In order to keep house prices less volatile implement rather lower LTV ratio than higher.


Convergence processes of profitability and company growth
Rajdl, Josef ; Mařík, Miloš (advisor) ; Hindls, Richard (referee) ; Kodera, Jan (referee)
In this dissertation thesis I analyzed the convergence of the profitability and growth of Czech companies in order to improve the business valuation process. In the first part of this thesis the present theoretical and empirical research of the convergence are described. The main goal was to find facts that prove or disprove the existence of the convergence processes. Another goal was to judge existing income valuation models that use convergence approaches. The second part of my thesis is focused on the empirical studies of growth and profitability. The purpose of this part was to identify the problems (so that they could be avoided in my research), to determine the direction of my research and to find tools that should be useful for the analysis. Simultaneously I tried to find evidence to support or to refute the certain patterns of the development of profitability and growth, such as random process, stability or convergence. Briefly summarized, convergence processes are supported in general and also in specific economic theory, because they result from the existence of the competitive advantages that are necessary to renew. However, empirical studies are focused only on foreign markets and their results differ, mainly in various regions, industrial branches and in time. There is no such analysis compiled for the Czech market, so I deal with the convergence of the profitability and of the growth of Czech companies in the third part of my dissertation thesis. Both characteristics are tested using the panel data and also the timeseries of the individual companies. Panel data are tested in order to determine distribution of the dynamics of the profitability and of the growth. At the same time related phenomena, which cohere with some patterns of the development of the observed characteristics, are searched  such as random process or persistence of profitability and growth. In the tests of the individual timeseries I try to identify the patterns of progress of profitability and growth. In this part of thesis I used several tools of the mathematical statistics. From outcomes recommendations for the business valuation were suggested. The process of the elimination of the highest level of the profitability and growth is fast. The research confirms that the individual growth and profitability of most of the companies is random. Certain indications of persistence of the profitability were found in the case of relevant number of companies in the medium period, but not in long term. The persistence of the growth is rare not only in long period but also in the medium period. From the results of this thesis that can be highlighted, it was proven that the models based on convergence process can be used only in the case of subjects that achieve stable and high level of the profitability. If there is indicated the random process of the profitability in majority of subjects and if there is possible the convergence by the oscillation, the unsuitable application of the convergence process will lead to great mistake.


Capital Asset Price Modelling: Concept VAPM
Kuklik, Robert G. ; Janda, Karel (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors  the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research.


Optimalizace těžby přírodních zdrojů
Chrobok, Viktor ; Dlouhý, Martin (advisor) ; Kodera, Jan (referee) ; Vošvrda, Miroslav (referee)
The thesis describes various modifications of the predatorprey model. The modifications are considering several harvesting methods. At the beginning a solution and a sensitivity analysis of the basic model are provided. The first modification is the percentage harvesting model, which could be easily converted to the basic model. Secondly a constant harvesting including a linearization is derived. A significant part is devoted to regulation models with special a focus on environmental applications and the stability of the system. Optimization algorithms for one and both species harvesting are derived and backtested. One species harvesting is based on econometrical tools; the core of two species harvesting is the modified Newton's method. The economic applications of the model in macroeconomics and oligopoly theory are expanded using the methods derived in the thesis.


Trhy s elektrickou energií a modelování v řízení rizik
Paholok, Igor ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Budinský, Petr (referee)
The main target of this thesis is to summarize and explain the specifics of power markets and test application of models, which might be used especially in risk management area. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on Czech Republic. Thesis continues with development of theoretical concepts of short term/spot electricity markets and potential link between spot and forward electricity markets. After deriving of those microeconomic fundamental models we continue with stochastic models (Jump Diffusion Mean Reverting process and Extreme Value Theory) in order to depict patterns of spot and forward power contracts price volatility. Last chapter deals with credit risk specifics of power trading and develops model (using concept known as Credit Value Adjustment) to compare economic efficiency of OTC and exchange power trading. Developed and described models are tested on selected power markets, again with focus on Czech power market data set.


Testing market approach using regression equations to estimate the market multipliers for software companies
Tůma, Pavel ; Mařík, Miloš (advisor) ; Kodera, Jan (referee) ; Hnilica, Jiří (referee)
Ph.D. thesis deals with testing precise use market approach to the valuation of software companies. Contains justification for the need of dealing with less traditional valuation methods, theoretical approaches for the use of market multipliers and existing knowledge to regression analysis is used to explain the multipliers. The analytical part is assembled its own regression equation to determine the multiplier in the years 20042010, the usability was tested in comparison with the use of a multiplier based on the median level of comparable sample of firms. There was also objective to determine the preferred type multiplier for software companies, which can be used e.g. when using scoring methods to adjust the multiplier. Complementing the thesis was to compare the quality of its own regression equations and equations published by Professor Damodaran. In most years through its own regression equations managed to establish a more precise multiplier than was achieved by using the mean value of a comparable sample of firms. We were also able, in most years to find suitable regression equation than the equation published by Professor Damodaran. Type multiplier P/E appeared to be significantly better to explain the regression equation in comparison with the other types of multiplier.


Macroeconometric Model of Monetary Policy
Čížek, Ondřej ; Pánková, Václava (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
First of all, general principals of contemporary macroeconometric models are described in this dissertation together with a brief sketch of alternative approaches. Consequently, the macroeconomic model of a monetary policy is formulated in order to describe fundamental relationships between real and nominal economy. The model originated from a linear one by making some of the parameters endogenous. Despite this nonlinearity, I expressed my model in a state space form with timevarying coefficients, which can be solved by a standard Kalman filter. Using outcomes of this algorithm, likelihood function was then calculated and maximized in order to obtain estimates of the parameters. The theory of identifiability of a parametric structure is also described. Finally, the presented theory is applied on the formulated model of the euro area. In this model, the European Central Bank was assumed to behave according to the Taylor rule. The econometric estimation, however, showed that this common assumption in macroeconomic modeling is not adequate in this case. The results from econometric estimation and analysis of identifiability also indicated that the interest rate policy of the European Central Bank has only a very limited effect on real economic activity of the European Union. Both results are influential, as monetary policy in the last two decades has been modeled as interest rate policy with the Taylor rule in most macroeconometric models.
