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Implied market loss given default
Seidler, Jakub ; Jakubík, Petr (advisor) ; Dědek, Oldřich (referee)
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions, and discuss its role in Basel II framework. Further, we illustrate how the LGD can be extracted from market observable information with help of both the structural and reduced-form models. Finally, by using the adjusted Mertonian approach, we estimate the 5-year expected LGDs for companies listed on Prague Stock Exchange and find out, that the average LGD for this analyzed sample is around 20%. Keywords: loss given default, credit risk, structural models, reduced-form models JEL class: C02, G13, G33
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Tax competition in the EU : Why not to harmonize corporate income tax
Salí, Martin ; Schneider, Ondřej (advisor) ; Dědek, Oldřich (referee)
In this thesis, I propose to answer the question whether it is necessary to harmonize corporate taxes in the European Union. For this purpose, I carry out an analysis on the existence of corporate tax competition across the EU member states with regard to its leading determinants. I discuss theoretical concepts and conclusions of empirical studies carried out under this topic. By analyzing long-term benefits and costs of fiscal sovereignty of the EU member states in the field of corporate taxation, I come to the conclusion that the tax harmonization in the EU is not needful. I support this outcome with considerations about the net benefit of harmonization, its political enforceability, potential tax exporting effect and growing foreign share on capital, distinction between internal and external tax competition, possibilities of the budget stabilization, spontaneous corporate tax rate convergence and optimal tax structure. Powered by TCPDF (www.tcpdf.org)
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Evaluation of effectiveness of the EU's regional policy
Luhan, Jiří ; Schneider, Ondřej (advisor) ; Dědek, Oldřich (referee)
Regional Policy of the European Union should lead to decrease deepening of regional disparities, which is present due to ongoing integration and enlargement of the EU. A lot of regional disparities is caused by so called agglomeration forces, which lead to concentration of economic activity in strong centers (agglomeration poles), and which are described by New Economic Geography. This thesis deals with the question if today's Regional Policy of the EU leads to reduce regional disparities. By analyzing regional data and existing empirical studies I point out some failures of this policy and recommend practical steps for the future. Powered by TCPDF (www.tcpdf.org)
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Measuring and managing operational risk in the context fo Basel II
Patráková, Zuzana ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
This thesis deals with measuring and managing operational risk in the context of Basel II. The main goal of this work is to analyze different methods for quantification of operational risk and evaluate which method is the most suitable according to its nature. This work outlines the milestones of Basel II, its goals and tools. It defines the operational risk and clarifies its categorization. This paper also concentrates on Basel Committee's requirements concerning the quantification methods and it discusses related problems. This work examines the widespread operational risk measurement approaches. Final part is devoted to operational risk management process. Powered by TCPDF (www.tcpdf.org)
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The impact of the Euro on German economy
Krották, Viliam ; Dědek, Oldřich (advisor) ; Debatz, Laure (referee)
This master thesis analyses the impact of the euro on the German economy. The research is conducted through the examination of German export, GDP level, and labor market. It is also supplemented with the evaluation of the past, current and future stages of the Eurozone. The thesis provides a detailed theoretical background, which explains the motivation for the creation of a common currency. As a tool to prove the validity of my hypotheses I use the synthetic control method, where I model a hypothetical case, in which Germany did not adopt the euro. The validity of my results will be tested by using the confidence intervals and comparing the RMSPE ratio. By using this unique approach, I aim to contribute to the series of academic papers about the validity of the euro. In my research I have come to the conclusion, that the euro has positively influenced Germany's economy.
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The Relation Between the Euro Cash Changeover and the Perceived Inflation in the Baltic Countries
Orosz, Előd ; Dědek, Oldřich (advisor) ; Turnovec, František (referee)
The relation between the euro cash changeover and the perceived inflation in the Baltic countries Abstract This thesis focuses on the effect of euro cash changeover on inflation perception, and its relation to the inflation measured by central banks or by national statistical offices. We present an analyses of inflation gap in Estonia, Latvia and Lithuania at the euro introduction and detect its determinants by econometric methods. We use Ordinary Least Squares, Random Effects Generalized Least Squares and Fixed Effects estimator. The thesis is divided into two main parts. The first part examines the theoretical background of perceived inflation and focuses at the phenomenon of increased inflation gap at the euro introduction. Second part contains an empirical study on inflation gap. We find out that perceived inflation in Baltic countries does not show such a divergence, as it was presented at the establishment of the Eurozone. Moreover, we find out that education and available income in general has a small, but evincible effect on inflation gap observed at euro introduction.
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Stability and Growth Pact as an element of economic and monetary union
Zábrahová, Linda ; Urban, Luděk (advisor) ; Dědek, Oldřich (referee)
This diploma thesis analyses Stability and Growth Pact. It examines, if SGP is the appropriate guard of fiscal discipline of EMU member states. It explains how SGP works, what the basic elements are and how constituent procedures behave. This thesis investigates favorable and also negative features of Stability and Growth Pact in its former version. It analyses, how have member states respected and met requirements of SGP. In particular, it pays attention to states, which couldn't fulfill these fiscal conditions. Then it devotes to critics of SGP and academic reform proposals on its reform. It cites debate on the level of member states and European Union institutions, their opinions and reform proposals too. On the basis of this discussion it has been created a new alteration of Stability and Growth Pact - it is also described and evaluated in this thesis. However, this reformed version of SGP is more flexible, but it will probably leads to loosening of fiscal rules and here is a risk, that in this form, it will never work well. Powered by TCPDF (www.tcpdf.org)
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A theoretical and empirical analysis of the nominal convergence in transition countries with a particular attention to the Czech economy
Žďárek, Václav ; Komárek, Luboš (advisor) ; Dědek, Oldřich (referee) ; Feldkircher, Martin (referee)
This PhD thesis aims at exploring price convergence in the European Union with a particular emphasis paid to the Czech Republic and new EU member states. Fundamental issues are discussed in the first chapter, starting with the notion and term `convergence' since many alternative definitions have been proposed in the literature. Apart from that, main indicators utilized when investigating price convergence are defined (for example purchasing power parity/purchasing power standard, PPP/PPS, comparative price level, CPL) and a brief review of the literature is added. The second chapter deals with several issues accompanying price convergence in general and in transforming countries in particular such as the club convergence hypothesis, issues of tradability, availability of datasets and their strenghts and weaknesses, the link between price levels and rates of inflation, and determinants. Both `standard' and `modern' approaches are utilized in the last chapter so that several hypotheses can be verified. For the sake of comparability, individual CPLs for EU-27 countries for the period 1995(9)-2011 are employed. Firstly, stylised facts for both old EU and NMS are presented (including effects stemming from the on-going financial crisis). Secondly, the club convergence hypothesis is examined with help of two different ways - cluster analysis and the Phillips-Sul test (both for the EU and its `subgroups'). Both of them do confirm the existence of convergence clubs in the EU (including its old and new part). Following the previous findings, a somewhat broader and richer view on price level dynamics is supplemented via utilization of the so-called Stochastic kernel (Quah, 1993). This methodology shows both convergence and divergence (divergence/polarization/stratification) in the EU. Finally, the last section of this chapter is focused on a thorough search for determinants of price levels in the EU. The Bayesian approach is employed (Bayesian model averaging, BMA) and our results confirm both the importance of both `traditional' determinants such as labour costs and output gap and new ones such as broadly defined institutional factors. Main findings of this thesis are summarized and commented in the conclusion aiming at providing implications for policymakers and some guidance for future research.
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Monetary shock '97
Dědek, Oldřich
This paper investigates and analyzes the currency crisis of 1997. Evaluates the development and status of the Czech economic situation. It deals with the reactions and behavior of the Czech Republic during the financial instability in 1997.
Fulltext:  PDF
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Nominal monetary convergence
Čech, Zdeněk ; Brůžek, Antonín (advisor) ; Jakš, Jaroslav (referee) ; Dědek, Oldřich (referee) ; Frait, Jan (referee)
Dizertační práce identifikuje a klasifikuje možná rizika měnové konvergence v procesu přistoupení k eurozóně u nových členských zemí Evropské unie, tj. včetně České republiky. Propojením výsledků komplexního rozboru institucionálního rámce Hospodářské a měnové unie a analýzy vývoje inflace a měnového kurzu u stávajících členů eurozóny v konvergenčním období identifikuje možné alternativy měnového přiblížení k euru. Závěry přispívají do diskuse o dilematech hospodářské politiky, které čekají nové členské země EU v dalších fázích integrace do evropských měnových struktur.
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