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Performance Analysis of Credit Scoring Models on Lending Club Data
Polena, Michal ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
In our master thesis, we compare ten classification algorithms for credit scor- ing. Their prediction performances are measured by six different classification performance measurements. We use a unique P2P lending data set with more than 200,000 records and 23 variables for our classifiers comparison. This data set comes from Lending Club, the biggest P2P lending platform in the United States. Logistic regression, Artificial neural network, and Linear discriminant analysis are the best three classifiers according to our results. Random forest ranks as the fifth best classifier. On the other hand, Classification and regression tree and k-Nearest neighbors are ranked as the worse classifiers in our ranking. 1
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Market Reaction to Earnings Announcements and (In)Efficiency of Financial Markets: Cross-sector Analysis
Prucek, Pavel ; Kočenda, Evžen (advisor) ; Teplý, Petr (referee)
Using the sample of three largest stocks from seven main market sectors in the US, the thesis examines the effect of information content of earnings announce ments on market reaction across sectors. Our findings prove the asymmetry of market reaction to different earnings surprise categories with negative-surprise reaction being the most profound. The financial markets tend to be less ef ficient in response to negative earnings surprises. Leakage of information is not present suggesting that insider trading is well-mitigated on the US capital markets. Furthermore, we investigate the market reaction to earnings surprises in different sectors separately and find that Consumer Staples and IT sector tend to be the most sensitive, on the contrary Telecommunication and Energy sector tend to be the least sensitive. G14; G15; G30JEL Classification Keywords Earnings announcement; Market reaction; Mar ket efficiency; Cross-sector analysis; Corpo rate disclosure; Insider trading; Post-earnings- announcement drift A u th o r's e-m ail p a v e l.prucekSgm ail. com S u p erv iso r's e-m ail kocenda@f s v . c u n i. cz
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Beyond Global Imbalances: Gross capital flows and the role of Shadow Banking
Václavíček, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This study provides an empirical analysis of Shadow banking as a factor influencing cross- border financial flows. It builds upon emerging literature on Shadow banking and empirical literature on global imbalances and global financial flows. The aim of the thesis is to test three hypotheses, which relate global financial flows to lending, change in cross-border bank liabilities, and shadow banking, respectively. The second and third hypotheses are tested on gross capital flows, which, in contrast to net flows, better reflect financing activities. The results suggest that Shadow banking activities are related to higher gross capital flows in periods, when this sector is growing. These flows, however, tend to dry up when Shadow banking activities level off or decline. Among other important factors is the output growth differential and global risk aversion. JEL Classification E44, G20, G23, F32, F34, F21, F65 Keywords Shadow Banking, Global Imbalances, Capital Flows, Financial Stability Author's e-mail tomas.vaclavicek@gmail.com Supervisor's e-mail petr.teply@fsv.cuni.cz
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An alternative view on Czech banking sector's riskiness
Kubeš, Jan ; Teplý, Petr (advisor) ; Troch, Tomáš (referee)
Riskiness of Czech banking sector is subject of interest of this thesis. Since the beginning of 21st century, there is moderately growing number of banks and their overall profitability expressed in absolute values is increasing. Ratio of non-performing loans to total loans is also displaying optimistic values. Four indicators of riskiness are studied through data about Czech banks from 2008 to 2015. These indicators are: z-score, leverage ratio, RWA density and ratio of non- performing loans to total loans. Rather low correlations among these indicators are found, the highest correlation (0,670) is between leverage ratio and RWA density, on the other hand the lowest one (0,093) is between z-score and NPL ratio. In aggregate form are three of the indicators displaying stable trend to lower riskiness in 2008-2015 period, the same can be stated about NPL ratio in 2010-2015 period. Then is regression analysis employing fixed effects estimation and random effects estimation used, with the aim to identify determinants of the four indicators. Size of banks expressed in logarithm of total assets is significant in only one model with RWA density on the place of dependent variable. This significance is at 10 per cent level and corresponding coefficient is negative. In contrary, growth of assets and dummy...
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Assessment of cyber risk in the banking industry
Spišiak, Michal ; Teplý, Petr (advisor) ; Maršál, Aleš (referee)
There has never been more need to discuss cybersecurity related issues. We live in a world where criminals do not have to physically visit a bank to steal money from it, where elections results can be influenced by data breached from personal email accounts, where to win a war a country needs skilled cybersecurity specialists rather than powerful weapons and where patients do not get recommended treatment because a hospital is under a cyberattack. The financial industry as a backbone of any modern economy requires adequate protection against cybercrime. We discuss major cyber threats for financial institutions as well as possible protection methods. After that we introduce Basel II Framework for operational risk assessment and we evaluate data breach risk in an empirical analysis. 1
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Multi-agent Network Models of Financial Stability
Klinger, Tomáš ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Stavárek, Daniel (referee) ; Jakubík, Petr (referee)
The thesis focuses on banking regulation and on the nexus between financial sovereign crises. After illustrating the main mechanisms on the recent financial crisis, we construct several multi-agent network models of a financial system for testing its stability under different parameters. In the first part, we focus on the rationale for banking regulation and we describe its development including the recently introduced Basel III measures. The main conclusion of this part is that regulation is to a large extent influenced by the banks and it does not always secure financial system stability. In the second part, we 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. In the third part, the model is extended so that it allows for testing effects of state support on systemic stability is tested with various parameter settings in Monte Carlo simulations and for testing of feedback loops in which...
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Innovative Financial Instruments: An alternative to traditional grants
Jelínek, Tomáš ; Teplý, Petr (advisor) ; Víšek, Jan Ámos (referee)
Innovative financial instruments in the Czech Republic and their hypothetical use in the field of energy efficiency are analysed and assessed in this thesis. We address lim- ited awareness about multiple benefits of energy efficiency improvements and also emerging innovative financial instruments that are promoted by the European Com- mission as a way to multiply impacts of limited public budgets. Then we identify a suitable segment, Czech residential housing stock and public support of insulation, and compare several forms of possible public support in this field. As the main driver of space heating costs, we predict the future development of heat prices, and assess po- tential energy savings resulting from renovations. Finally, we assess and also simulate the potential of such an initiative and identify four suitable settings of the innovative financial instrument for a majority of stakeholders. Our findings support an idea that this innovative financial instrument offers a valuable alternative to traditional grants. It also suggests that such an initiative can be interesting for a private sector as well as a public sector, with benefits to public budgets, equity investors, households and many other stakeholders. Moreover, this initiative can be sustainable in the long run. JEL Classification G23,...
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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.
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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.
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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
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