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Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Procházková, Jana ; Šopov, Boril (advisor) ; Janda, Karel (referee)
The central issue of this thesis is investigating the eventuality of systemic break- downs in the international financial system through examining systemic depen- dence between bank and insurance sectors. Standard models of systemic risk often use correlation of stock returns to evaluate the magnitude of intercon- nectedness between financial institutions. One of the main drawbacks of this approach is that it is oriented towards observations occurring along the central part of the distribution and it does not capture the dependence structure of outlying observations. To account for that, we use methodology which builds on the Extreme Value Theory and is solely focused on capturing dependence in extremes. The analysis is performed using the data on stock prices of the EU largest banks and insurance companies. We study dependencies in the pre- crisis and post-crisis period. The objective is to discover which sector poses a higher systemic threat to the international financial stability. Also, we try to find empirical evidence about an increase in interconnections in recent post- crisis years. We find that in both examined periods systemic dependence in the banking sector is higher than in the insurance sector. Our results also in- dicate that extremal interconnections in the respective sectors increased,...
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Estimation of Bank Runs probability in the context of Deposit Insurance implementation in Russia
Dănilă, Ecaterina ; Horváth, Roman (advisor) ; Janda, Karel (referee)
This thesis empirically investigates the bank runs probability cases over the period 2005-2011 on Russian banking market and, simultaneously, tests the hypothesis of influence of bank-fundamental factors and macroeconomic conditions on the decision of depositors to withdraw their funds from banks. Methodologically, was conducted a logit econometric model to test our assumptions. We find evidence on both bank- fundamentals, such as high debt ratio, rising real interest rates, small asset size, and macroeconomic conditions, such as high inflation, and sharp increases in the real exchange rates, to influence on bank runs. In addition, the thesis analyzes the significance of deposit insurance implementation in avoiding bank runs. Moreover, we compare if the newly adopted deposit insurance diminished the credibility of the depositors in the state-controlled banks compared with private banks, thus, increasing the amount of investments to private banks. Finally, based on our approach, the method identifies a run on Russian deposit market during quarter four of 2008 year; however we would not characterize it as a severe run because it did not touch all banks but more as a partial one (approx. 1/3 of banks from the system were affected).
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The Determinants of Corporate Credit Lines Accessibility in the Czech Republic
Hanák, Pavel ; Gapko, Petr (advisor) ; Janda, Karel (referee)
This work focuses on the factors influencing the accessibility of credit lines for the companies in the Czech Republic. Its methodology follows the respected works written in the field of credit markets or in the field of econometrical methods suitable for the estimation of such markets. The main econometrical tool of this work is the Maximum Likelihood Estimation. Dependent variable is always the percentage change of the total volume of corporate loans and the independent variables are the percentage changes of different macroeconomic indicators. This work brings key findings important for the understanding the of the Czech corporate credit market. JEL Classification C32, C51, E40, E41, G10, G20, G21 Keywords Corporate Loans, Credit, Credit Lines, Credit Market, Credit Supply, Czech Banking Sector, Demand for Credit, Loans Author's e-mail pavelhanak@seznam.cz Supervisor's e-mail petr.gapko@seznam.cz
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Measuring corruption in developed countries
Bajzíková, Anna ; Baxa, Jaromír (advisor) ; Janda, Karel (referee)
The complex issue of corruption has attracted much attention over the last 20 years. The problem was analyzed mostly in the context of developing and transition countries, though not only the recent financial crisis showed the severity of corruption also in the world's most developed countries. This thesis analyzes twelve currently available corruption assessments for a cross section of 39 developed countries in the period 2007-2010. The thesis categorizes these assessments into three basic generations and characterizes the weaknesses and limitations of particular methods. The analysis is based on determination of relationship between individual corruption measures and recognizes specific aspects of corruption actually measured by particular indices. With the exception of strictly opinion poll-based corruption indices, the first and the second generation of corruption indices correlate well for a set of developed countries. This indicates that the sector specific indices, e.g. expenditure corruption assessment, are in analyzed countries closely related to the overall political corruption levels. An applied hierarchical cluster analysis gives better picture of otherwise inconsistent developed countries corruption rankings and divides countries into ten homogeneous groups. However, the analysis...
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Debt Contracts and Stochastic Default Barrier
Dózsa, Martin ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on the theory of asset pricing models and their usage in the design of credit contracts. We describe the evolution of structural models start- ing from the basic Mertonian framework through the introduction of a default barrier, and ending with stochastic interest rate environment. Further, with the use of game theory analysis, the parameters of an optimal capital struc- ture and safety covenants are examined. To the author's best knowledge, the first EBIT-based structural model is built up that considers stochastic default barrier. This set-up is able to catch the different optimal capital structures in various business cycle periods, as well as bankruptcy decisions dependent on the state of the economy. The effects of an exogenous change in the risk-free interest rate on the asset value, probability of default, and optimal debt ratio are also explained. JEL Classification C73, G12, G32, G33 Keywords credit contracts, stochastic default barrier, asset pricing, EBIT-based models, struc- tural models Author's e-mail martin@dozsa.cz Supervisor's e-mail Karel-Janda@seznam.cz Abstrakt Tato práce se zabývá teoretickými modely pro oceňování finančních aktiv a je- jich použitím při návrhu optimálních úvěrových smluv mezi dlužníky a věřiteli. V první části je popsán...
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The Impact of Age Structure on Inflation - Example of Developing Countries
Zakaraia, Khatia ; Ryska, Pavel (advisor) ; Janda, Karel (referee)
Many countries in the world experience demographic transition - significant decrease of fertility rates and increase share of the old population. The pace and characteristics of demographic shifts however are individual for each country. At the same time these countries face low inflation rates or even deflation. In this thesis I demonstrate how demographic changes are correlated with low inflation rates. I estimated two different models - VAR and FEM for panel data using two samples of developing countries. The primary argument of using two separate groups for estimating the same problem is robustness check, whether all three imposed hypotheses will hold in any sample of the population. These hypotheses are - first, deflation is positively correlated with increased share of the old population, second, low inflation in developing economies has structural pattern due to demographic changes and third, deflation can be forecastable if it is driven by demographic trends. Despite the heterogeneity of the results from PVAR and FEM, a negative impact of aging population on inflation has been proved. Also estimation results support our two hypotheses that low inflation if it is partially driven by aging structure changes, has structural rather than cyclical characteristics and is predictable. Contribution...
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Measuring credit risk for portfolios with heavy-tailed risk factors
Jablonský, Petr ; Vošvrda, Miloslav (advisor) ; Janda, Karel (referee)
Measuring and managing credit risk constitute one of the most important processes within bank risk management. Classical credit risk models assume multivariate normality for distribution of underlying risk factors. Resulting methods offer analytical simplicity and computational efficiency but disregard of extreme joint events since their probability is too small. Recently several studies have doubted multivariate normality assumption saying that if we accept this assumption we might seriously underestimate downside risk of given credit portfolio. The master thesis provides with an insight into the problem of modelling credit risk under assumption of heavy tailed risk factors. We first present necessary mathematical preliminaries of copula functions which stand for an alternative method of modelling multivariate dependence structures. Next we introduce a credit risk model for bond portfolio with heavy tailed risk factors. At last we carry out several simulations on portfolios of different riskiness and compare to what extent the results from both mentioned models differ.
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Recovery rates and the absolute priority rule
Hádlová, Lenka ; Janda, Karel (advisor) ; Havel, Jiří (referee)
Recovery Rates and the Absolute Priority Rule The paper analyses the relationship between expected recovery rates in bankruptcy and the claim's standing within the capital structure of the debtor. According to the absolute priority rule (APR), the claims in bankruptcy should be always repaid in certain order, i.e. each claim can be satisfied only if all relatively senior claims have been repaid in full. But since the APR is often violated in practice, the actual recoveries may differ significantly from the scenario based on the assumption of adherence to the APR. The extent of the APR violations depends highly on the creditors' position in the bankruptcy proceedings within each particular legal system. The paper investigates the characteristics of bankruptcy codes that allow APR violations as well as both ex-post and ex-ante effect of these violations. In this context, we also analyse the New Czech Insolvency Act which will enter into force on 1st January 2008. The paper aims to provide a step towards understanding the problematic relationship between the recovery rates and the creditors' rights protection within particular legal framework. Powered by TCPDF (www.tcpdf.org)
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Sustainable Energy Development in Central Europe and East Asia: Different Scenarios and Options Evaluation
Tan, Tianhao ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee) ; Espinoza, Raphael (referee)
This research presents an overview of different sustainable energy development scenarios in Central Europe and East Asia, and is aimed to evaluate the efficiency and availability for introducing a specific sustainable energy source. Accordingly: wind, hydropower, solar, bioenergy, geothermal, nuclear energy. By conducting analysis though multi criteria decision analysis (MCDA) and analytic hierarchy process (AHP) models, divergences among energy options in Central Europe and East Asia are emphasised due to its preferences in hierarchy. A short introduction, related to the present energy outlook with a series of relative regressions and a case study based on corresponding statistics, is presented firstly. This gives insights to assess the evaluation of sustainable energy development options. Evaluation results indicating Central Europe and East Asia should introduce different sustainable energy technologies on account of their own strengths and drawbacks in energy judgements and criterions. Keywords Sustainable energy, energy development, Central Europe, East Asia, energy scenario, energy option, evaluation, multi criteria decision analysis (MCDA), analytic hierarchy process (AHP)
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The Role of Tax Havens for Banks: Evidence from Two Firm-Level Datasets
Jelínková, Eliška ; Janský, Petr (advisor) ; Janda, Karel (referee)
Thesis: The Role of Tax Havens for Banks: Evidence from Two Firm-Level Datasets by Eliška Jelínková The thesis focuses on the base erosion and profit shifting in the banking sector, a topic that has not been studied much so far. We are the first to compare Orbis data with recently available country-by-country reporting data on banks' economic activities. In Orbis data, we identify underreporting of the number of countries where bank groups operate, tax, or the number of employees while some of the profits seem to be missing in country-by-country reporting data. In the second part, we study the tendency of banks to shift their profits due to two incentive - either low taxation or high financial secrecy. We find that the locations of banks' profits are sensitive to statutory tax rates and that this elasticity is higher at higher levels of statutory tax rates while effective tax rates do not seem to affect banks behavior. For the first time in this context, we use the secrecy score of the Financial Secrecy Index to analyze the secrecy incentive to shift the profit but we do not find any significant evidence that financial secrecy influences banks' behavior. Finally, we provide the first analysis of whether the obligation to disclose information on the country basis from the year 2014 has any effect on...
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