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Insurance as one of operational risk management tool
Suchánková, Lucie ; Rippel, Milan (advisor) ; Kubíček, Martin (referee)
Operational risk has recently become one of the key issues in financial institutions - there have been two main reasons for development of operational risk. First, there was the explicit incorporation of operational risk in the document called Basel II; second, there have been high losses from operational loss events. The insurance as one of operational risk's tool is the main point of the diploma thesis. In theoretical part, this tool is analyzed in relation to the operational risk (the insurability of operational risk, the main characteristic of insurance, the obstacles in the usage of this tool, its relation to capital and capital adequacy, benefits and negatives of this tool). In practical part, the use of insurance as operational risk management tool in one Central European bank is analyzed in order to find some relation to operation risk parameters as risk categories, business lines, gross loss etc. The identification of risk areas in bank was done as well. The main reason of this identification is finding whether the most risk areas are managed by this tool. The analysis should confirm or refute the hypothesis that insurance is relevant factor in operational risk management - whether it has positive influence on reduction of risk exposition or whether it is only formal tool.
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Development of Structured Financial Products during the Crisis
Bratršovský, Martin ; Rippel, Milan (advisor) ; Lupusor, Adrian (referee)
Structured finance has already attracted trillions of dollars and despite significant losses continues to attract more investment in increasingly complex structures. In this thesis, I use new data available to analyze the development of structured products in three main categories: ABS, CDO and MBS. The thesis is focused on the rapid development of structured finance in the years leading up to the credit crunch, the extent of its role in the crisis, and how credit-rating agencies and regulatory bodies are involved in the feasibility and future potential of the main products. As data clearly showed, the recent crisis heavily hit the US non-agency MBS securitization (especially the RMBS and the CMBS market) and the global CDO market as well, mainly due to the subprime collateral.
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Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis
Jánský, Ivo ; Rippel, Milan (advisor) ; Seidler, Jakub (referee)
The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index sepa- rately. Unlike other works in this eld of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a partic- ular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.
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Alternative measures of risk - application on the Central European region
Vodňanský, Ondřej ; Gapko, Petr (advisor) ; Rippel, Milan (referee)
Increasing volume of research shows that both theoretical assumptions and empirical fit of traditional mean-variance and CAPM frameworks are flawed. Hence, other risk measures are gaining popularity. Downside risk measures not only represent the theory well, they are also significant in explaining variations of stock returns. Most importantly, the definition of risk they provide is more in line with perspectives of investors. We have carried out extensive testing on a sample of companies from the Czech Republic, Germany and Poland. Our results show that Semivariance with respect to zero is the most significant risk measure while CAPM beta by itself has little use. Finally, we also analysed importance of idiosyncratic risk on CEE shares and found out that it is indeed priced on the Czech and Polish stock markets but not in Germany.
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Insurance as one of operational risk management tool
Suchánková, Lucie ; Rippel, Milan (advisor) ; Kubíček, Martin (referee)
Operational risk has recently become one of the key issues in financial institutions - there have been two main reasons for development of operational risk. First, there was the explicit incorporation of operational risk in the document called Basel II; second, there have been high losses from operational loss events. The insurance as one of operational risk's tool is the main point of the rigorous thesis. In theoretical part, this tool is analyzed in relation to the operational risk (the insurability of operational risk, the main characteristic of insurance, the obstacles in the usage of this tool, its relation to capital and capital adequacy, benefits and negatives of this tool). In practical part, the use of insurance as operational risk management tool in one Central European bank is analyzed in order to find some relation to operation risk parameters as risk categories, business lines, gross loss etc. The identification of risk areas in bank was done as well. The main reason of this identification is finding whether the most risk areas are managed by this tool. The analysis should confirm or refute the hypothesis that insurance is relevant factor in operational risk management - whether it has positive influence on reduction of risk exposition or whether it is only formal tool.
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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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Insurance as one of operational risk management tool
Suchánková, Lucie ; Rippel, Milan (advisor) ; Kubíček, Martin (referee)
Operational risk has recently become one of the key issues in financial institutions - there have been two main reasons for development of operational risk. First, there was the explicit incorporation of operational risk in the document called Basel II; second, there have been high losses from operational loss events. The insurance as one of operational risk's tool is the main point of the rigorous thesis. In theoretical part, this tool is analyzed in relation to the operational risk (the insurability of operational risk, the main characteristic of insurance, the obstacles in the usage of this tool, its relation to capital and capital adequacy, benefits and negatives of this tool). In practical part, the use of insurance as operational risk management tool in one Central European bank is analyzed in order to find some relation to operation risk parameters as risk categories, business lines, gross loss etc. The identification of risk areas in bank was done as well. The main reason of this identification is finding whether the most risk areas are managed by this tool. The analysis should confirm or refute the hypothesis that insurance is relevant factor in operational risk management - whether it has positive influence on reduction of risk exposition or whether it is only formal tool.
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Probability of default modelling using macroeconomic factors
Zsigraiová, Monika ; Seidler, Jakub (advisor) ; Rippel, Milan (referee)
The thesis evaluates relationship between probability of default of non-financial corporations and households and evolution of macroeconomic environment. This work contributes to the literature of credit risk proving importance of macroeconomic variables in determining the PDs both on aggregate level and for sector of non-financial corporations and sector of households in the Czech Republic. Evaluation of an impact of the recent financial crisis on the PDs are done by employing latent factor model and FAVAR model on monthly data of non-performing loans and other macroeconomic variables covering the period 01/2002-06/2013. Finally, an ability to forecast and fit the data of FAVAR model and one factor latent model are compared. The comparison indicates that latent factor model should be more appropriate than FAVAR model.
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Development of Structured Financial Products during the Crisis
Bratršovský, Martin ; Rippel, Milan (advisor) ; Lupusor, Adrian (referee)
Structured finance has already attracted trillions of dollars and despite significant losses continues to attract more investment in increasingly complex structures. In this thesis, I use new data available to analyze the development of structured products in three main categories: ABS, CDO and MBS. The thesis is focused on the rapid development of structured finance in the years leading up to the credit crunch, the extent of its role in the crisis, and how credit-rating agencies and regulatory bodies are involved in the feasibility and future potential of the main products. As data clearly showed, the recent crisis heavily hit the US non-agency MBS securitization (especially the RMBS and the CMBS market) and the global CDO market as well, mainly due to the subprime collateral.
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Counterparty Risk under Basel III
Macek, Petr ; Teplý, Petr (advisor) ; Rippel, Milan (referee)
The aim of this thesis is to address the implications of Basel III regulation on counterparty credit risk. We analysed the development of OTC market, we addressed systemic risk and the way how central counterparties could mitigate or spread the contagion among banks. We used simulated data to develop a stress test model to find out the impact of counterparty credit risk on banks' capital requirements, in case the interest rate increased extensively. Six pos- sible scenarios of interest rate levels were developed with ascending order of the IR level. From these scenarios we computed the exposure levels and credit valuation adjustment (CVA) as the market value of counterparty credit risk. We came to the following conclusions: (1) Czech banks have enough capital to withstand any interest rate increase in any scenario. (2) Banks with high expo- sure to derivatives like Bank of America, Citibank and JP Morgan would face severe problems if the interest rate increased. (3) There is no direct correlation between credit valuation adjustment and interest rate, the CVA increases faster with the increase of the interest rate.
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