National Repository of Grey Literature 471 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Backtesting Value-at-Risk: Comparison of selected approaches
Šedivý, Milan ; Hendrych, Radek (advisor) ; Hurt, Jan (referee)
This thesis focuses on the evaluation of different backtesting methods that are routinely applied to one of the most commonly used risk measure Value- at-Risk. The main goal of this thesis is to present approaches used to backtest Value-at-Risk (including an introduction to common methods associated with Value-at-Risk forecasting). These statistical evaluation methods are then applied to historical data from the years 2005 to 2010, during which we experienced two major financial crises. Afterwards, the output of our analysis is thoroughly discussed. 1
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
Advertising within weekly publications in times of the economic crisis 2007-2011
Tůmová, Michala ; Vlasák, Zbyněk (advisor) ; Zápotocký, Jan (referee)
This bachelor thesis Advertising within weekly publications in times of the economic crisis 2007-2011 uses quantitative content method to figure out frequency of advertisement placed by economic subjects in weekly magazines Respekt, Reflex and Týden. Time range was set from June 2007 to June 2011. The goal of this thesis is to ascertain behavior of these economic subjects before the crisis, in it's early period until the half of it. Theoretical part brings the explanation of the cause of the financial crisis, explains relations between advertisement and media, describes the evolution of chosen periodicals and introduces readers to used research method. Empirical part presents and illustrates obtained data which leads to conclusions. The appraisal of the study helped to make clear conclusions that proves the impact of financial crisis on economical subjects.
Low Interest Rates and Asset Price Fluctuations: Empirical Evidence
Ali, Bano ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lower bound. Using both impulse response functions and forecast error variance decomposition, results suggest that higher interest rates are indeed associated with lower asset prices. That is confirmed by including two different estimates of shadow rates into the model and observing the effect for two specific types of assets. More precisely, house prices react almost immediately showing the most substantial decrease for the United Kingdom, while stock prices slightly increase at first and de- crease afterward with similar size of the effect for all areas under consideration. Finally, the discussion of how the monetary authority should react to asset price fluctuations is provided, summarizing the vast amount of literature...
Regulation of Trading in OTC Derivates
Matys, Tadeáš ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
This thesis addresses the current, ever-developing framework of rules governing trading in the most widespread financial instrument - OTC derivatives. The main objective of the thesis is to analyse the current state of the regulation of trading in OTC derivatives within the EU - namely, the EMIR Regulation. Subsequently, it examines whether the legal framework has been set up properly and effectively, and explores what steps should be taken in the near future in order to improve it. Given that the subject of this thesis is much more of an economic than a legal nature, its first part introduces OTC derivatives as a concept, and the specifics of trading in them. The second part examines the status of OTC derivatives within the financial market over time, starting from their modern-day beginnings in the 1990s, through their role in the global financial crisis of 2007 and 2008, to the current issues related to them. The main part of the thesis is devoted to the EMIR Regulation, its scope of application, and in particular the three main obligations which EMIR introduces in relation to OTC derivatives. These comprise, firstly, the obligation to perform a central clearing through central counterparties; secondly, the obligation to observe specific risk mitigation techniques for OTC derivative contracts...
Credit rating from the perspective of law and economics
Belvončíková, Barbora ; Chytilová, Helena (advisor) ; Seknička, Pavel (referee)
Credit rating is an important financial indicator of the debtor's ability to repay the debt duly and on time and it is expressed in a simple form of credit score. It has been talked about the issue of credit rating particularly in context of the financial crisis 2008 because of the failure of credit rating agencies and their contribution to global dimensions of the crisis. This thesis critically assesses the European legal regulation of credit rating in the light of 2008 financial crisis. The evaluation is carried through an economic analysis of law while also using the knowledge of behavioural economics, so that efficiency of both individual provisions and legal regulation as a whole is examined. The fundamental problem of current regulation is its ambiguity, as on the one hand it promotes greater institutionalization of credit rating and on the other hand it promotes greater market discipline of financial market participants. This dichotomy is inefficient because it does not provide for clear incentives neither for investors, nor for issuers or credit rating agencies. Key finding of this thesis is that credit rating regulation would be more efficient if it was aimed exclusively at supporting market discipline. It is important to draw conclusions from analysis of the efficiency of current...
Porovnání Velké Deprese s finanční krize roku 2008 v kontextu mezinárodního obchodu
Zhakhavets, Ilya ; Štěrbová, Ludmila (advisor) ; Halík, Jaroslav (referee)
The aim of the thesis is to compare Great Depression and Financial Crisis of year 2008 in terms of International Trade. First chapter would be devoted to the analysis of Great Depressions as to its reasons and impact on world trade in the first half of 20th century. All main measures that were implemented in order to stop crisis will be discussed. Second chapter would analyze the reasons of the financial crisis of 2008 and how the local crisis in US spread on the world economy. Would be discussed main effects on world trade and measures implemented by countries as a reaction on crisis. Last chapter would compare both crises in order to investigate whether their impact on world trade was similar or not and why.
Argentine financial crisis
Klapková, Jana ; Žamberský, Pavel (advisor) ; Jiránková, Martina (referee)
Diploma thesis on Argentine financial crisis deals with the biggest financial crisis in the country's history, which took place at the turn of 2001/2002. This paper examines economical and political development before the crisis, what caused it, its impacts and how it could be prevented. The aim of this paper is to analyze the causes of the crisis. The secondary goal of this paper is to assess whether and how this crisis could have been avoided or at least how the effects could be mitigated.

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