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A comparison of global crisis' impacts on welfare states in Norway, Sweden and Iceland
Miesslerová, Zuzana ; Teplý, Petr (advisor) ; Votápková, Jana (referee)
The BA thesis compares effects of global economic crissis on economy, welfare state and society of three Nordic countries: Iceland, Norway and Sweden. Despite the fact that all these three countries are characterized by high welfare spending, which, in the time of crissis, has tendency to increase while the state income decreses, the economic problems have not resulted in significant erosion of existing welfare state in any of these countries. However, the development of the crissis differed due to different structure of economy in each country: Iceland has been havily damaged by colapse of its hypertrophied finance sector, Sweden has been damaged severely, but thanks to its flexible industry has been fast back on its track, and Norway thanks to its oil exports has barely noticed the crissis. Despite robust welfare state, especially on Iceland the negative social effects generated by the crisses have not been compensated. However, the welfare state remained in all three countries a key tool to deal with economic crissis consequences for their respective governements.
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Economic capital management of top-ranked world banks
Vejdovec, Ondřej ; Teplý, Petr (advisor) ; Baruník, Jozef (referee)
The thesis is focused on economic capital management of top-ranked world banks. A basic theoretical framework is summarised at the beginning. The theoretical framework is then utilised in the main - empirical part. Since economic capital is not a figure commonly reported in any available database, we have created our own database based on annual reports of top fifty world banks of the year 2008. Based on this database we provide an extensive empirical study focused on years 2007-2010. Even though one third of the banks disclose economic capital only, thanks to our approach combining both quantitative and qualitative analysis we were able to study the topic in detail. Within quantitative part the development of economic capital and its allocation is studied, the differences between regulatory and economic capital in time is measured, a relationship between quality of economic capital disclosure and rating is searched for and relationship between the value of economic capital and changes in profits during financial crisis is studied. The qualitative part consists of case studies of fourteen banks. It is focused on special and unique features of economic capital management of individual financial institutions.
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Procyclicality in Basel II and Basel III
Šobotníková, Petra ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
The term procyclicality refers to the ability of a system to amplify business cycles. The recent financial crisis has revealed that the current regulatory framework, Basel II, affects the business cycle in exactly that manner. The newly published Basel III therefore sought to include tools that would mitigate the procyclical nature of regulatory framework. The aim of the thesis is to analyze whether such tools are effective and whether the procyclicality under Basel III has been mitigated when compared to Basel II. In order to conduct such analysis we employ a simple model with the households and firms sector. Using the OLS estimation method we estimate the sensitivity of Basel risk weights to the business cycle under both Basel II and Basel III conditions. As the Basel III framework has been published only recently, there are few studies that would analyze its effect on procyclicality. The main contribution of this thesis consists of implementation of Basel III countercyclical tools and the comparison between both frameworks. The thesis further contributes to the existing literature by conducting the analysis on the data for the Visegrád Group, that is for the Czech Republic, Slovakia, Hungary and Poland. JEL Classification E32, E44, E58, G21 Keywords procyclicality, Basel II, Basel III, banking...
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CREDIT RISK MEASUREMENT: The case study of Mongolian Small and Medium sized firms
Togtokh, Enkhjargal ; Rippel, Milan (advisor) ; Teplý, Petr (referee)
This thesis presents credit risk measurement approaches and some empirical results of predicting firm's failure by using various financial ratios. It aims to re-examine Altman's Z-score model and build a comparable method by logistic regression, a credit scoring model technique. The small and medium sized enterprises' empirical data used in the research work is provided from a Mongolian commercial bank. We analyzed forty two firms' financial statements, including bankrupted and non-bankrupted firms, for the period of 2007-2008. At first, financial ratios of selected sample have been analyzed through Altman's Z-score model. Overall, prediction accuracy of Altman Z-score model was significantly high, 71 percent. In terms of logistic regression method, we estimated fifteen financial ratios through the model and come to conclusion that two ratios, namely cash to total asset ratio and retained earning to total asset ratio, are significant predictor for firm's bankruptcy in Mongolian SMEs. If we compare the prediction power of the two methods, model derived from logistic regression is slightly lower than in Altman Z score model. Keywords: Credit Risk measurement, bankruptcy, Altman Z score, logistic regression
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A Comparison of Tax Systems in the Czech Republic and Italy
Sommerová, Darina ; Teplý, Petr (advisor) ; Švarcová, Natálie (referee)
In this thesis we compare the tax systems of the Czech Republic and Italy. At first we provide the major characteristics of their tax systems and then we assess the development of the tax burden, tax revenues and tax rates in both countries. Based on data from the period 1995-2009 we developed the regression models of tax revenues from four main types of taxes - corporate income taxes, personal income taxes, social security contributions and value added taxes. The models are designed to indicate the most important factors to determine these revenues and to explore which influences are the strongest. We address variables directly linked to the tax setting, e.g. the statutory tax rates or implicit tax rates, as well as the indicators linked to the country's performance and the economic cycle, e.g. GDP per capita, GDP growth or unemployment. As the major contribution of our work, we consider the final conclusions provided at the end of the sixth chapter. Based on our models we were able to indicate the opportunities to increase the tax revenues from different types of taxes and also to define the potential excessive tax burden and cases where further increases in tax rates are inconvenient.
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Speculative versus Fair Price of Crude Oil
Šlechta, Pavel ; Teplý, Petr (advisor) ; Serdarevič, Goran (referee)
The thesis deals with the topic of speculation on the crude oil market. This topic has been frequently discussed in association with the price hikes in 2008, but since the oil price has recently repeatedly reached levels over USD 100, the topic is still very present. In our thesis we analyze the connection between the increasing open interest on the New York Mercantile Exchange crude oil futures market, the supply and demand factors for the crude oil and the crude oil price. Based on an error correction model analysis of monthly observations between 1994 and 2011, we show how an increase in the open interest, which is currently already comprised by the non-commercial traders by one half, can lead to a persistent increase in the crude oil prices. We believe it is the risk premium on the market which stands for the long-run equilibrium of the open interest and prices. Such a risk premium on the market of crude oil could explain the part of the increase in prices which could have not been captured by the simple supply and demand, as for example the concern about the Hubbert's peak oil. We also test whether the oil price volatility increases the open interest on the market, which would mean that the price volatility could attract more speculative traders. Although we find Granger causality, we cannot...
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Impact of Sovereign Ratings Changes on European Sovereign Yield Spreads
Vyskočilová, Veronika ; Horváth, Roman (advisor) ; Teplý, Petr (referee)
The spreading sovereign debt crisis in the Euro zone has renewed the debate about impact of credit rating agencies on financial markets. This thesis aims to explore the role played by the leading credit rating agencies by analysing the interaction between changes in sovereign ratings announced and the yield spreads of sovereign bonds, especially the short term impact and the potential contagion effect of rating changes on the highly integrated Euro zone financial market. The conducted event study and panel regression indicate that there is a significant impact of rating downgrades and negative rating outlooks on sovereign bond markets. Moreover, we have found significant contagion effect spreading from downgraded countries to non-event Euro zone members, namely not only to sovereign bond markets, but also to stock markets. JEL Classification: C23, E44, G12, G14 Keywords: credit ratings; sovereign yield spreads; rating agencies; contagion Author's email: veronika.vyskocilova@email.cz Supervisor's email: roman.horvath@gmail.com
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The use of coherent risk measures in operational risk modeling
Lebovič, Michal ; Teplý, Petr (advisor) ; Doležel, Pavel (referee)
The debate on quantitative operational risk modeling has only started at the beginning of the last decade and the best-practices are still far from being established. Estimation of capital requirements for operational risk under Advanced Measurement Approaches of Basel II is critically dependent on the choice of risk measure, which quantifies the risk exposure based on the underlying simulated distribution of losses. Despite its well-known caveats Value-at-Risk remains a predominant risk measure used in the context of operational risk management. We describe several serious drawbacks of Value-at-Risk and explain why it can possibly lead to misleading conclusions. As a remedy we suggest the use of coherent risk measures - and namely the statistic known as Expected Shortfall - as a suitable alternative or complement for quantification of operational risk exposure. We demonstrate that application of Expected Shortfall in operational loss modeling is feasible and produces reasonable and consistent results. We also consider a variety of statistical techniques for modeling of underlying loss distribution and evaluate extreme value theory framework as the most suitable for this purpose. Using stress tests we further compare the robustness and consistency of selected models and their implied risk capital estimates...
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Economic vs. regulatory capital of financial institutions
Matuška, Tomáš ; Teplý, Petr (advisor) ; Kocourek, David (referee)
Economic vs. regulatory capital of financial institutions This thesis is focused on Assets and Liability Management connected with economic and regulatory capital. The main aim is to analyze development of these capitals and their influence on bank's output. In the first, theoretical, part of thesis we follow up the division of risk categories, we define an economic capital and its management and quantification methods. Then we focused on development of international bank regulation and its current and future state. The regulatory capital is defined as well as its management. The last chapter of theoretical part is dedicated to ratings. Then the most important, analytical, part follows. We analyze data of top 50 world banks from year 2007 to 2011. We use especially quantitative methods and OLS regression. We investigate development of economic and regulatory capital during and after the crisis and changes in division of risks they cover. We looking for a relationship between these capitals as well as its impact on bank's rating. At the end of the analysis we focused on relationship between capital adequacy and bank's profitability and we consider reasons of bank's lack of transparency about economic capital. Finally we conclude the results of the analysis. The most important discovery is undermining of...
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The Impact of Basel III on European Banks
Šútorová, Barbora ; Teplý, Petr (advisor) ; Lešanovská, Jitka (referee)
The aim of this thesis is to take a closer look on how the stricter capital requirements defined in Basel III framework will influence European banks from a complex point of view - lending rates and volumes of provided loans, profitability, risk taking and market value of banks. Our analysis employing simultaneous equations and panel data models on exp post data on almost 600 banks operating in the EU in period 2005-2011 reports following results: (1) Those banks that will be forced to effectively increase their common equity ratio (CE/RWA) will reflect a one percentage point increase in this ratio into higher lending rates by 18.8 basis points. (2) This should, in turn, lead to a modest impact on the volume of provided loans, i.e. as a result of an increase of CE/RWA to 9.5 % (the case of the strictest scenario), the loan volumes are expected to be lowered by 2% from the current volume. (3) Our study further reports that higher capital requirements will cause a decrease in banks' profitability accompanied by a drop in risk taking. Banks increasing their CE/RWA by one percentage point are expected to experience a decrease in their profitability (measured by ROAA) by 0.122 percentage points. (4) The above mentioned effects were identified as rather negative signals for equity owners, which should be...
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