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Credit Derivatives Market during Recent Financial Crisis
Buzková, Petra ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Dědek, Oldřich (referee)
The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
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Macro-prudential policy and banks' cross-border capital flows
Rabinovich, Ilia ; Geršl, Adam (advisor) ; Teplý, Petr (referee)
This thesis analyzes spillover effects of prudential policies on cross-border capital flows in the period from 2000 until 2014 for 64 countries. It estimates the size of the effect, which 9 most common prudential policy tools had on capital flows based on BIS LBS. The findings show spillover effect of general capital requirements and consumer credit capital requirements on the cross-border capital flows. This work provides analysis of spillover effects in several groups of countries with special accent on CEE countries. JEL Classification F32, F34, G21 Keywords Macroprudential policies; Prudential and supervisory measures; Cross-border banking flows; Leakages; Regulatory arbitrage; CEE Author's e-mail ilyshar@gmail.com Supervisor's e-mail adam.gersl@gmail.com
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Monte Carlo Simulation of Swiss Franc LIBOR Using The Vasicek Model
Kozmík, Karel ; Teplý, Petr (advisor) ; Maršál, Aleš (referee)
We analyzed Swiss Franc LIBOR using R software and the Vasicek model. We utilized OLS, ML, bootstrap or simulations to test our hypotheses. The random walk hypothesis was not rejected, when we considered all the historical data. To get reasonable estimators, we used only data from the last adjustment of interest rates by the central bank and rejected the random walk hypothesis for all maturities but 12M. The difference in the results for OLS and ML estimates was negligible, so we did not reject the hypothesis that both methods give almost the same results. Performing a simulation study, we did not find any significant difference in the estimates for the Euler approximation for small values of the parameter a, but for larger values of a, the approximation led to biased results. All the hypotheses testing led the construction of confidence intervals for the estimated parameters, which are omitted in many papers and only point estimates are provided. We created confidence intervals for parameters of the Vasicek model for all the maturities but 12M. Extensive numerical simulations were run to explore the attributes of bootstrap estimates. We used an innovative approach of utilizing the logarithmic transformation to achieve a distribution closer to normal (which was necessary, because the intervals contained...
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Fama-French Model: Multiscale Portfolio Analysis
Spousta, Radek ; Kraicová, Lucie (advisor) ; Teplý, Petr (referee)
This thesis studies the empirical relationship between excess asset returns and the Fama−French risk factors at various scales using a combination of the Fama−French model and wavelet-based methods. We re-examine previously published results obtained for six portfolios formed on size and book-to-market ratio in the U.S. market, and focus on the influence of different scales on the original results. We conclude that the most the total variance of the risk factors and excess portfolio returns is concentrated at scale 1 and 2, which corresponds to periodicities of 2-4 months and 4-8 months, respectively. Next, we observe significant variation in estimated parameters across different scales. Furthermore, some of the Fama−French risk factors are strongly correlated at scale 2, 3 and 4, which is unobservable in standard correlation matrix. Overall, the multiscale approach seems beneficial for analysis of the Fama−French three-factor model as it reveals information that remains hidden to traditional methods.
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Key Determinants of Net Interest Margin of Banks in the EU and the US
Hanzlík, Petr ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
Key Determinants of Net Interest Margin of Banks in the EU and the US Author: Bc. Petr Hanzl'ık Abstract The thesis considers the impact of short-term interest rate and slope of the yield curve on the net interest margin (NIM) while controlling for other bank specific and country specific factors that may influence the NIM. The analysis is conducted using a unique panel dataset of banks in the EU and United States. Special focus is put on observing differences caused by bank heterogeneity by size, or by bank specialisation, differences arising due to the fact that some countries are considered capital based financial market, while the other as bank based, or differences caused by differing market concentration. Some of the models also use dummy variable indicating the existence of negative interest rate environment in a given country and year. The results show positive but concave relationship of NIM and short-term rate. They also confirm differences caused by institutional factors (bank based vs. capital based) as well as by market concentration. 1
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Alternative Investment in Fine Wine
Tisoň, Eduard ; Teplý, Petr (advisor) ; Smutná, Šarlota (referee)
The goal of this thesis is to examine diversification opportunities and relative investment performance of fine wine over several different periods. We found that fine wine indices have higher risk-adjusted returns than stocks in the most of ours periods and that cheaper fine wines performed substantially better than expensive ones. However, over the periods of financial crisis, fine wine had a strong correlation to major stock indices and lost a significant part of its value. Finally, since fine wine did not show any evidence of exposure to stock markets over the recent period, we concluded that fine wine can bring substantial diversification benefits, which we illustrated in the case of anti-cyclical and pro-cyclical portfolio.
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Efficiency of EU Merger control
Serdarevič, Goran ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
Main goal of this thesis is to provide analysis of the key regulatory changes of the European merger control and to evaluate their real impact on the efficiency of the merger regulation. Our main contribution is the empirical analysis of the unique representative sample of 161 mergers covering the final regulatory assessments in the period from 1990 to 2008. We use stock market data to identify mergers wrongly assessed by the Commission. PROBIT model is then used to further investigate the sources of these decision errors. Our results suggest that the Commission's decisions are not purely explained by the motive of protecting consumer welfare and that other political and institutional factors do play a role. We did not find evidence that the Commission protect competitors at the expense of consumers and foreign firms. Moreover, according to our results, the regulatory reform in 2004 has significantly enhanced efficiency of the European merger control. To the author's best knowledge, this is the first study using stock market data to evaluate the recent regulatory reform of the European merger control.
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Application of premiums and discounts to the company valuation
Sokol, Jakub ; Dědek, Oldřich (advisor) ; Teplý, Petr (referee)
In the light of the current market downturn, the need of the most accurate valuation appears to be more crucial than ever before. This thesis provides the reader with both the theoretical and practical background of the use of valuation premiums and discounts which apply directly to the value of the company reached by conventional separate valuation techniques. The most important premiums and discounts we focus our attention on are control premium/minority interest discount and lack of liquidity discount. The thesis presents an overview of the basic methodology of the theoretical concepts related to the valuation premiums and discounts. Moreover, based on a sample of 202 mergers and acquisitions transactions of the companies listed in the Central and Eastern Europe ("CEE"), we examine the size and key determinants of the control premium applicable within the CEE region.
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Empirical evidence on pricing of contingent convertibles
Rýgr, Petr ; Baruník, Jozef (advisor) ; Teplý, Petr (referee)
The aim of this thesis is to shed more light into practical challenges related to pricing of contingent convertibles by empirically evaluating validity of two most crucial modelling assumptions of contingent convertible pricing framework. First assumption is that contractually specified capital ratio can be proxied by stock price level. Second modelling assumption is that volatility smile characteristic for stock market can be also incorporated into the contingent pricing model. First assumption is tested by comparison of probability of conversion implied by balance sheet figures with probability implied by market spreads. Analysis of our dataset indicates that probability implied by figures reported on balance sheet of issuer is statistically higher than probability estimated by market participants, suggesting that there is a confidence that reported figures do not fully represent the capital position of issuer and its ability to raise additional capital and revert the potential conversion. New information available on balance sheet also does not tend to immediately and fully materialize in contingent convertibles market. Secondly, incorporation of volatility smile characteristic for stock market leads to very low and unstable trigger level compared to level implied by balance sheet. Finally,...
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Impact of the low yield environment on banks and insurers: Evidence from equity prices
Juřena, Filip ; Jakubík, Petr (advisor) ; Teplý, Petr (referee)
Using static and dynamic panel data analysis, we examine how interest rates influenced equity prices of European banks and insurance companies between 2006 and 2015. Identification and quantification of effects of the low yield environment, which is a consequence of decreasing interest rates, are crucial for regulators and policy makers. Our static and dynamic models show that decreasing short-term interest rates had a negative impact both on banks and insurers. In this thesis, dynamic models are estimated by means of the Blundell- Bond system GMM estimator and we consider their results superior to the results of static models because all underlying assumptions of the dynamic models are met here. Results obtained by employing the Blundell-Bond system GMM estimator suggest that life insurers were effected more than banks, while banks were effected more than non-life insurers. In case of a 1 percentage point decrease in short-term interest rates, equity prices of life insurers are estimated to decrease on average by 18 %, equity prices of banks by 8 %, and equity prices of non-life insurers by 3 %. JEL Classification C33, C36, C61, E44, G21, G22 Keywords interest rates, equity prices, static panel analy sis, dynamic panel analysis, system GMM esti mator Author's e-mail jurena.filip.l@ gm ail.com...
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