|
|
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...
|
|
|
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...
|
|
|
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...
|
|
|
Behaviour of Stocks on the Prague Stock Exchange During the Financial Crisis: Evidence from Empirical Research
Koza, Oldřich ; Teplý, Petr (advisor) ; Krištoufek, Ladislav (referee)
This work studies the behaviour of the four most traded stocks on the Prague Stock Exchange from January 2007 to July 2010. Its main goal is to describe how the financial crisis influenced the Prague Stock Exchange. Employing standard statistical methods, ARMA, GARCH, and VAR models I examine on daily data the following phenomena: volatility, price jumps, the day of the week effect, validity of the efficient market hypothesis, and information flow between the stocks. The results imply that the financial crisis had stronger impact on the banking sector stocks than on other stocks. The crisis was mainly characterized by rapid growth in volatility and correlation between the stocks. It also influenced the information flow and the day of the week effect. However, the crisis did not trigger growth in the number of extreme price movements, and it did not cause the market to be less information efficient.
|
|
|
Risk comparison of the pay-as-you-go pension system and the private funds
Kolafa, Ondřej ; Teplý, Petr (advisor) ; Hurt, Jan (referee)
of the bachelor's thesis Title: Risk comparison of the pay-as-you-go pension system and the private funds Author: Ondřej Kolafa Department: Department of Probability and Mathematical Statistics Supervisor: PhDr. Petr Teplý Ph.D., Finance and Capital Markets, Institue of Economic Studies, Faculty of Social Sciences, Charles University in Prague Abstract: The thesis deals with risks of the pay-as-you-go pension system and the private funds, that are meant for savings for pensions. The aim of the thesis is to compare these two totally different systems and evaluate their risks. Private funds topic points out a development of funds that are similar to the funds mentioned in the pension reform concepts that were planned or done in the Czech and Slovak Republic. The risk analysis of the pay-as-you-go pension system studies population development in the Czech Republic and its effect on pensions. Finally, achieved outcomes are used to compare the pure pay-as-you-go pension system with the pay-as-you-go pension system combined with private funds; these comparasions are based on different scenarios of the economic development. Keywords: risk, pensions, pension funds, pay-as-you-go
|
|
|
Agent-Based Modeling of the Financial Markets
Klejchová, Martina ; Teplý, Petr (advisor) ; Pertold-Gebicka, Barbara (referee)
The thesis deals with the Agent-based modeling of the financial markets which represent so called "bottom-up" approach in economics. In the first part of the thesis, the brief summary of the development of Agent-based approach and its application in the modeling of financial markets is provided. The main part of the thesis concerns the implementation of an existing asset pricing model of He, Hamill and Li (2008) and also the implementation of an extension to this model. The presented extension lies in the connecting of two sub-markets by a mutual correlation. The considered correlation is represented either by correlated dividends or by the common market maker who adjusts the prices on both markets. The influence of these two types of correlation on the overall performance of both sub-markets is then studied by analyzing the outcomes of performed simulations.
|
|
|
Banking Regulation: Assessment and Simulation of Regulatory Measures
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on international banking regulation, particularly the capital adequacy requirements known as the Basel Accords. In the first part, we study the rationale for regulating the banks and describe the evolution of the Basel Accords, including the newly presented measures known as Basel III. The main conclusion of this part is that the regulation is heavily shaped by the banks themselves and does not always serve the best for protecting the financial system. In the second part dedicated to systemic risk modelling, we first introduce the used methodology and then build an agent-based model which enables us to simulate the impacts of various types of negative shocks given various settings of the banking system and the regulatory environment, including the capital and liquidity measures. Our simulations show firstly that sufficient capital buffers are crucial for systemic stability, secondly that the discretionary measures have little effect once a crisis breaks out and thirdly that liquidity measures are a relevant regulatory tool.
|
|
|
How Rewarding Is Technical Analysis? Evidence from Central and Eastern European Stock Markets
Hrušová, Ivona ; Teplý, Petr (advisor) ; Princ, Michael (referee)
This thesis assesses whether technical analysis can generate substantial profits in Central and Eastern European stock markets with a special focus on the Prague Stock Exchange. It investigates a well established trend follower MACD as well as a counter- trend indicator stochastic oscillator and relative strength index and introduces test statistics and bootstrap methodology in order to explore the profitability of these technical trading rules. The empirical results suggest that rewards of technical analysis differ according to individual stock markets. Whereas both indicators considered are found to yield significantly positive returns especially in the Bucharest and Prague Stock Exchanges, but have no predictive power on the Frankfurt Stock Exchange. The findings raise a question about the efficiency of the less developed stock markets.
|
|
|
Deposit Insurance in the European Union
Holá, Veronika ; Jakubík, Petr (advisor) ; Teplý, Petr (referee)
This thesis examines the question whether uncoordinated steps of some EU states changing their deposit insurance schemes in the middle of 2008 could have led to shifts of deposits among EU countries. The paper deals mainly with changes of the rules which were introduced at the end of year 2008, and concerns with the amended Directive on Deposit Guarantee Schemes. Empirical analysis concentrates on the impact of state guarantees on the deposit grow rate in individual states. In the final part, we discuss the consequences of recent development and possible future progress.
|
|
|
Three essays on banking and pensions
Kopecsni, Juraj ; Schneider, Ondřej (advisor) ; Teplý, Petr (referee) ; Strielkowski, Wadim (referee)
The recent financial crisis has impacted several financial areas. Particularly, it influences (1) savings on pension accounts that are invested on financial markets and are faced with financial risk and risky changes driven by political decisions; (2) already regulated banking sectors through Basel II, where it is essential to identify in advance the key drivers of loss given default of firm sector and to identify the problematic cases from the credit perspective that directly impacts the real economy; and (3) profit-based strategies of the bank branch network by optimizing resource allocation of branch networks and by improving quality of customer services in order to garner the loyalty of existing customers and to fully utilize their possibilities. The thesis examines the above mentioned areas and consists of three empirical essays on pensions and banking. It is a collection of essays dealing with different aspects of risk, and it contributes to the recent debates about politically embedded risk in the pension system, credit risk faced by private institutions, and the performance assessment of banks' branches, focusing on quality dimension.
|
guest ::
