|
|
Counterparty credit risk modelling
Volek, Mikoláš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
Counterparty credit risk is an important type of financial risk. The importance of proper counterparty risk management became most apparent in the wake of the 2008 series of failures of several large banks. Correlation of market factors is an important issue in the calculation of CVA. A notable case of correlation is wrong-way risk which occurs whenever the probability of default of the counterparty is positively correlated with exposure. The basic formulas for CVA and basic counterparty credit risk models do not account for wrong-way risk because its modeling is nontrivial. This thesis aims to answer how well can the impact of wrong-way risk on CVA be approximated with an add-on which only depends on correlation between the price of the underlying asset and the credit spread of the counterparty. The thesis is supplemented by a fully documented implementation of the model in the Mathematica software.
|
|
|
The impact of Basel III on trade finance
Malešová, Jana ; Teplý, Petr (advisor) ; Žigraiová, Diana (referee)
The thesis focuses on the impact of the banking regulation Basel III on bank-intermediated trade finance. The theoretical part of the thesis explains details of Basel III requirements, history of Basel Accords and their future in the form of Basel IV, characteristics of trade finance products and of the whole industry. Trade finance industry voiced worries about the negative effect that these new requirements might have on trade finance business. The thesis estimates determinants of bank-intermediated trade finance and includes a regulatory variable. We use trade finance data from the Czech Republic and Hong Kong in 2000−2014 and from India in 2007−2014. A negative effect of Basel III on trade finance growth is found using pooled OLS regression. Contrary to previous research, we also estimate a negative coefficient of banks' capital to assets ratios. To the best of our knowledge, the thesis provides the first empirical analysis of the impact of Basel III on trade finance. Trade finance research usually focuses more on the relationship of trade finance and trade flows and the thesis provides an extensive literature summary of this topic. The final part of the thesis contrasts different levels of risk of trade finance and shows that the imputed low-riskiness does not apply to the Czech data.
|
|
|
Do public R&D subsidies boost competitiveness of supported companies in the Czech Republic?
Horák, Petr ; Teplý, Petr (advisor) ; Švarcová, Natálie (referee)
The purpose of this thesis is to investigate the impact of government non-investment and applied R&D subsidies on the firm level competitiveness. According to many literature sources the indicators of competitiveness are assumed to be Return on Assets, Return on Equity, Return on Sales and Asset Turnover ratio. The tool used to test the effect is counterfactual analysis. The subsidized companies are compared to a control group drawn by Propensity Score Matching, the effect is tested by Average Treatment Effect on the Treated and the difference in size of other financials is derived by Difference in Differences. The study focuses on two industries NACE C25 (metallurgy) and C28 (manufacture of machines). The subsidized companies show no added significant growth of competitiveness whatsoever. The financials (Total Assets, Equity, Turnover) grew, compared to the control group, only for industry C25. JEL Classification O31, O38, H21 Keywords R&D, Innovation, non-investment, subsidies, applied R&D, competitiveness Author's e-mail petr.rotr@post.cz Supervisor's e-mail petr.teply@fsv.cuni.cz
|
|
|
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...
|
|
|
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)
|
|
|
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...
|
|
|
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)
|
|
|
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...
|
|
|
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.
|
|
|
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
|
guest ::
