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Impact of the EU-wide stress tests results on market valuation of banks
Zelenka, Jiří ; Brechler, Josef (advisor) ; Gutiérrez Chvalkovská, Jana (referee)
Tato práce se zabývá vztahem mezi výsledky Evropských zátěžových testů 2016 WST) a tržním ohodnocením účastnících se bank, tedy jaký efekt měly výsledky a forma jejich prezentace na investory. První část práce je teoretická a přináší přehled základních informací o zátěžových testech a jejich metodice, dále se zde nachází jak ohlasy, tak i obhajoba WST. Také zde čtenář nalezne alternativní postupy testování bank, využívající metody AQR 2014, CCAR a SRISK, následované přístupů. Druhá část obsahuje přehled stěžejní literatury týkající se zátěžových testů a vlivu zveřejňování jejich výsledků. Třetí část práce se zabývá modelem využívajícím "First Difference" estimátor, který pomocí tří zkoumaných časových úseků analyzuje vliv jednotlivých testovaných faktorů na změny tržních hodnotách bank, které nastaly po zveřejnění výsledků jak EU ostatních testů. Dva modely popisují izolovaný vliv těchto testů po zveřejněních, zatímco poslední model nahlíží na daný časový úsek jako na celek. Výsledky modelů ukazují jen málo signifikantních odhadů, způsobených pravděpodobně Závěrečná kapitola shrnuje získané poznatky doplněné o autorův komentář. Klíčová slova Zátěžové testy, Kapitál, Tržní ohodnocení, EBA, AQR, CCAR, SRISK
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Demand and investment for jewellery at the time of economic crisis
Efimenko, Valeria ; Cahlík, Tomáš (advisor) ; Brechler, Josef (referee)
The consumer demand defines strategy and tactics of the organization of jewelry manufacture. The demand and its forecasting for short-term and long-term prospect is one of the major problems of marketing for the various organizations and firms. The demand size is influenced by price and non price factors which should be traced accurately on a constant basis by special departments of firms. My research question is how the demand for jewelry changes at the time of economic crisis. In this work a number of the major factors are identified which influence almost all buyers to get the jewelry. The concept of elasticity of demand has a direct bearing on the pricing policy of the companies. Therefore, considerable attention in this work is given to this economic category. In real life it is very difficult to obtain reliable and stable data on factors of cross elasticity to use it for pricing. The analysis carried out shows that price elasticity of jewels in most cases is low. Demand for luxury goods linearly depends on the personal income. The demand research accepts a special urgency in the conditions of the economic crises aggravating the competitive struggle between suppliers of jewelry. The world economic crisis has brought a rise in prices for gold and falling incomes of the population. It has led...
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Lagrangian dispersion model
Lejdar, Lukáš ; Brechler, Josef (advisor) ; Bednář, Jan (referee)
In a field of environmental protection there is a very important question about the options to determine impact of different pollution sources on air quality in areas more or less distant from those sources. For those predictions we can use physical or computer modelling. In this paper a computer model (Lagrangian Dispersion Model, or LDM) of air pollution propagation is developed and described. The LDM was created in order to work within the CLMM - Charles University Large-Eddy Microscale Model. In this paper we discuss theory of those models as well as technical solutions used to develop the LDM. The model is validated and subsequently applied on several cases with different degree of geometry complexity. Powered by TCPDF (www.tcpdf.org)
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The Impact of the Macroeconomic Environment on Insurance Companies
Čepeláková, Lenka ; Jakubík, Petr (advisor) ; Brechler, Josef (referee)
i Abstract: This thesis assesses the impact of economic, institutional and demographic factors on the life and non-life gross written premiums of insurance companies. A dynamic panel data regression using the system generalized method of mo- ments is applied on data of 29 European countries collected by EIOPA covering the period from 2005 to 2013. The results reveal that economic and institutio- nal factors drive both life and non-life insurance industry. On the other hand, we cannot confirm that demographic factors are significant determinants of the growth in GWPs. Subsequently, the hypothesis that there are substantial cross-countries differences among the importance of different macroeconomic determinants on the insurance sector development is explored and confirmed. This work shines new light on the development of the quantitative macro- prudential framework used to determine different economic scenarios affecting insurance companies' balance sheets. Moreover, a broader set of panel data and more variables explaining the growth in insurance sector bring new contributi- ons to the current discussion in academic literature.
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DES modelling of the turbulent flow
Benešová, Stanislava ; Brechler, Josef (advisor) ; Dolejší, Vít (referee)
This thesis deals with the study of hybrid RANS/LES methods for modeling of turbulent flow with a focus on the DES method and its modifications. The theoretical part focuses on the description of turbulent flow and classical methods for its modeling. The following describes the hybrid RANS/LES methods, their principles and categories. Finally, the DES method is described in detail together with its improvement in form of DDES and IDDES methods. The practical part is devoted to the testing of DES and DDES on benchmark problems. We describe here used software OpenFOAM and numerical methods used to discretize the equations. One part is devoted to grid generation. The DES and the DDES methods are tested on two benchmarks: flat plate with zero pressure gradient and backward facing step. The simulaton results are compared with experimental data, with a focus on good modeling of the velocity profile near wall, turbulent viscosity and skin friction coefficient. Powered by TCPDF (www.tcpdf.org)
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The Impact of Short-term Interest Rate on Stock Prices in the Czech Republic
Michlian, Štefan ; Princ, Michael (advisor) ; Brechler, Josef (referee)
This thesis focuses on the relationship between short-term interest rate and stock prices. The main idea is that if interest-rate increases, it makes holding stocks less attractive relative to fixed income securities. Therefore, investors change the structure of their portfolios and switch capital from stocks to banks, which results in stock prices decrease. In our thesis, we apply GJR-GARCH-t-M model to study the impact of Czech interest rate (14-day PRIBOR) on the Prague Stock Exchange (the PX index). In contrast to the majority of research on this topic, we have found no impact of the PRIBOR rate on the PX index- neither on its mean nor on its volatility. We attribute the absence of a significant relationship to exceptional composition of the PX index. Furthermore, we have found that the recent crisis has significantly changed the behavior of the Czech stock market.
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Two-stage backtesting of Value-at-Risk models
Matyáš, Jan ; Seidler, Jakub (advisor) ; Brechler, Josef (referee)
Bachelor Thesis Two-stage backtesting of Value-at-Risk models Jan Matyáš Abstract This paper deals with a comparative evaluation of various Value-at-Risk models in terms of their prediction accuracy. We use two-stage backtesting procedure to find the most robust methodology in several aspects. Backtesting framework comprises of testing properties of independence, unconditional coverage, and conditional coverage and successive stage, that uses loss function allowing us to compare the two selected models from the previous part. Four European indices are taken to represent both well developed countries (DAX, ATX) and developing countries (PX, WIG). Models are examined over the period from January 1997 to February 2014. The best performing model in our selection appears to be the historical method with a 99% confidence interval. The use of stable distribution or lower confidence interval do not produce satisfactory results. Powered by TCPDF (www.tcpdf.org)
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Wind-tunnel Modelling of Turbulent Flow Inside the Street Canyon
Kellnerová, Radka ; Jaňour, Zbyněk (advisor) ; Brechler, Josef (referee) ; Jonáš, Pavel (referee)
Turbulent flow inside a street canyon was investigated in an open circuit wind tunnel and in a blow-down wind channel. Two geometries were used for comparison purposes: buildings with pitched roofs and with flat roofs. Both generate the flow of a different category, so the induced ventilation regimes are fundamentally different. Quadrant, Fourier and Wavelet analysis, Proper Orthogonal Decomposition (POD) and vortex detection methods are used to identify coherent structures in the flow and establish their impact on the ventilation of pollution. Two types of the organised motions are detected: the compact areas of sweep and ejection with the scale comparable to the size of building and the small vortices generated in the shear layer behind the building roof. POD identifies the most dominant modes with high coherency in the flow and evaluates the relative contributions of each mode to the overall kinetic energy of turbulence. Rigorous analysis of the correctness of the physical interpretation for such a decomposition is carried out. Wavelet analysis is applied to the time-series of the POD expansion coefficients in order to reveal control mechanism of the dynamics of the modes. Vorticity, calculated from the original velocity data, is decomposed by POD as well. Finally, the correlation between the vorticity...
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Analysis of the determinants of the entrepreneurship in a country
Palas, Michal ; Bobková, Božena (advisor) ; Brechler, Josef (referee)
This paper aims at explaining the impact of macroeconomic and institutional conditions on cross- country variation in nascent entrepreneurship. Some authors have found significant effects of macroeconomic and institutional variables in their papers. We use data from 56 countries involved in the Global Entrepreneurship Monitor project. We analyse these data from 2006-2012 period using econometric panel data methods. Our results do not confirm the impact of most of the included variables. The results show that the established entrepreneurship rate seems to influence the nascent entrepreneurship rate positively. We also find weak negative effect of amount of paid-in minimum capital associated with starting business. We test the hypothesis of U-shape relation between economic development and nascent entrepreneurship rate. Our results support this hypothesis only in the model without any control variable. The influence of economic development on nascent entrepreneurship rate is insignificant in our full model. Powered by TCPDF (www.tcpdf.org)
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Mathematical modelling of air-flow in geometrically complicated areas
Fuka, Vladimír ; Brechler, Josef (advisor) ; Fürst, Jiří (referee) ; Jaňour, Zbyněk (referee)
The Charles University Large-eddy Microscale Model (CLMM) and its application are presented. It is a numerical model for simulation of turbulent flow and dispersion in the planetary boundary layer. CLMM solves the incompressible Navier-Stokes equations in the Boussinesq approximation and describes turbulence using the large eddy simulation. Three applications of the model are presented. In the first case, the model is applied to the stable boundary layer over a flat terrain. The second case presents the simulations of stably stratified flows over obstacles. The last case deals with the dispersion of a hazardous material within an urban canopy. It was performed in the frame of the COST Action ES1006 and uses the Michelstadt flow and dispersion dataset for model validation.
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