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Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
Marković, Jelena ; Pečená, Magda (advisor) ; Adam, Tomáš (referee)
MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.
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Credit default swaps
Veselý, Vladimír ; Pečená, Magda (advisor) ; Benčík, Daniel (referee)
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products. The next section deals with the historical development of credit default swaps, regulatory actions taking place in recent years and market changes. Finally, the study points out the possibilities of the credit default swap pricing either by Hull-White model, par asset swap or linear regression. The thesis should help the reader to understand basic issues concerning credit default swaps. Keywords Credit default swap, credit risk, credit event, central counterparty, asset swap spread Length of the thesis 65 231
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The Interest Rate Pass Through during the Crisis: Evidence from Slovakia
Ševcech, Marián ; Havránek, Tomáš (advisor) ; Pečená, Magda (referee)
The effectiveness of interest rate pass-through is crucial when shaping monetary policy. In this paper we use error correction framework in order to estimate the speed and the completeness of pass through in Slovakia. Our thesis brings a unique research on how the financial crisis and Euro adoption affect the pass-through. In Slovakia those events occur at the same time; we attempt to distinguish between what phenomenon has greater impact. We also distinguish between what bank characteristics have impact on individual bank's spread during financial crisis. Our results suggest that the interest rate pass-through completeness increases in long term. We however found evidence of decreasing pass-through in case of deposit rates during crisis. Banks are unwiling to lower them and hence harm their competitve position. The pass-through in Slovakia is found to be relatively fast and consistent throughout periods. With the crisis, the speed for mortgages rates however decreases. We conclude that the impact of financial crisis outweights the impact of Euro adoption. Concerning the banks' characteristics, we conclude that higher portion of loans on assets, higher costs over income and better liquidity position decrease the spread. This is explained by the size of Slovakian banking market; banks lower their spread to...
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Interest rate risk measurement and management in theory and practise
Stará, Pavla ; Pečená, Magda (advisor) ; Patáková, Magdalena (referee)
The bachelor thesis is focused on the risk management in a bank, notably, on the interest rate risk measurement and management. For banks it is important to know the level of risk exposure and according to that to select appropriate management strategy that will minimize adverse fluctuations in bank's profitability. The thesis summarizes the basic models used for measurement, whereas we find out that none of them is perfect and their functionality is conditional upon various assumptions. Furthermore, it deals with analyzing selected basic instruments used for interest rate risk management, which implies that the management process is complex. The usage of various instruments may expose the bank to additional risks. Therefore, it is not possible under the effort to successful management to focus exclusively on the interest rate risk, however, it is necessary to analyze the other risks at the same time. The case study is aimed at the estimation of interest rate risk exposure on the basis of provided GAP analysis. There are three calculation methods presented, although the third one was not possible to apply due to lack of data. Regarding that the obtained results contain just estimates, the final calculations might be affected.
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The impact of the credit crunch on the cost and profit efficiency of the banks: an international comparison
Babin, Adrian ; Marková, Katarína (advisor) ; Pečená, Magda (referee)
This thesis documents, using an unbalanced panel of Top 1000 World banks with observations for 2005 - 2009, three main aspects related to cost and profit efficiency in banking. First, it established that there is no correlation between a bank's rank in the Top and its rank given by the efficiency scores. However, the size of the banks plays a positive role on the cost efficiency of the institution, big banks having higher cost efficiencies than small banks. Conversely, the profit efficiency is equal across different sizes. Second, it verified that for 2005 - 2009 there is no evidence that banks from the developed countries are more efficient than banks from emerging economies. This finding is further supported by the third aspect, which shows that banks originating in the developed economies, with large exposures to more sophisticated banking products, have been hit the hardest by the financial crisis. However the banks managed to shrink their cost inefficiency while losing efficiency on the revenue side. The post crisis, 2009, proved to be a year in which banks across countries and regions converged in terms of efficiency and plateaued at about 10% and 25% for cost and profit inefficiency respectively.
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Do changes in the Interest Rate impact the Housing Prices?
Vorobey, Nataliia ; Horváth, Roman (advisor) ; Pečená, Magda (referee)
The aim of this thesis is to examine the impact of the interest rate change on the housing market. We are using the quarterly data for GDP, consumption, investment, housing prices, short-term interest rate and unemployment to estimate two VAR models. The extended model contains all the variables just mentioned and for the estimation of the base model consumption and the unemployment rate is excluded. Our sample consists of Belgium, France, the Netherlands, Portugal, Sweden and the United Kingdom. We present the impulse responses of the housing price and GDP to a shock in the interest rate and variance decompositions of the housing price index. The results show that the changes in the interest rate can explain the evolution of the housing price index. However, the impact differs from country to country. Keywords: housing price index, short-term interest rate, overvaluation, VAR model, impulse response, variance decomposition.
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The impact of macroeconomic factors on financial institutions credit risk during the global financial crises, case in Czech Republic
Jusufi, Gent ; Pečená, Magda (advisor) ; Rippel, Milan (referee)
This study aims to estimate the ratio of non-performing loans to total loans (NPL ratio), its determinants and its response to different macroeconomic shocks. As the last financial crises had negative impact on the economy of many countries of the world, we have to strive for preventive measures that would help us to fully or at least partly avoid future crises. It should be achieved by sound risk management practices of all financial institutions. Important part of these risk management practices shall be - among others - stress tests that would test the health of the institution under severe conditions and negative shocks. For this study the vector autoregression model (VAR methodology) is used to see the response of credit risk (in terms of NPL ratio) to macroeconomic shocks in the Czech Republic. The variables used for this study are quarterly time series data of the period from 2002 to 2011 (GDP, inflation rate, unemployment rate, koruna exchange rate (CZK/USD), and interest rate). For each of these variables the impulse response function was created, to show the impact of macroeconomic shocks and the speed of adjustment of NPL ratio to these shocks. Keywords: Financial Crises, Credit Risk Management, Non-performing loans, Macroeconomic Shocks, Czech Republic, VARs
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Loan Book Credit Risk Stress Testing - Survey on Practice in the Czech Republic
Argayová, Šárka ; Pečená, Magda (advisor) ; Kubíček, Martin (referee)
Stress testing is a general term for framework that assesses possible impact of an adverse shock on the financial health and a capital adequacy of a bank, other financial institution or the whole financial system. Because credit risk is typically the most important risk of a bank and many international surveys describe the credit risk stress testing as one of the least developed, it became the main topic of this thesis. Credit risk stress testing methods developed in the last years very dynamically especially thanks to the requirements on stress testing under the Basel II regulatory framework and a fact that further improvement of these methods is expected to ensure higher financial stability of institutions and financial sector to adverse shocks and enable to withstand severe crisis. The thesis concentrates on the micro level stress tests that are run by each individual bank. It describes the whole credit risk stress testing procedure, Basel II regulatory requirements, the importance of this framework for an institution and offers examples of possible stress testing methods and scenarios. The first significant contribution to the topic is a survey on practice in the mayor Czech banks that analyzes whether they are influenced in their credit risk stress testing framework by their parents or the...
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Bank profitability in Mongolia
Chuluunbaatar, Tumenjargal ; Pečená, Magda (advisor) ; Havránková, Zuzana (referee)
One should judge the performance of banks in developing countries on a different background that is uniformly applied for developed countries. Methods of evaluating bank performances such as Economies Value Added (EVA) or Method of Comparables are of little help as they heavily rely on the stock price of banks on exchange market which is often unavailable for most banks. And when it is available it is hard to assure the "fair market value" given the underdeveloped capital market. Therefore traditional accounting measurements for bank profitability, namely Return on Asset and Return on Equity are natural candidates and are used for assessing the performance of Mongolian banks. Based on the respective analysis, a hypothesis that a bank size is an important factor for higher profitability is tested for a sample of banks which subsequently leads to a conclusion that bank size effect on profitability is rather insignificant.
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Bad loans' development in the Czech Republic
Bachtík, Richard ; Pečená, Magda (advisor) ; Hájek, Filip (referee)
Aim of this paper is to estimate credit losses from lending business of Czech commercial banking sector in upcoming 2 years (2010 and 2011). Uncertainty about future development of credit losses has been the main impetus for such estimation since Czech economy found itself at the bottom of business cycle in mid-2009. Hence I build a system of equations based on CreditPortfolioView which enables me to estimate distribution of credit losses by Monte Carlo and to link macroeconomic development to default rates. In addition, I justify the choice of my model when alternatives do not show up in a better light. The paper forecasts stabilization of default rates between the end of 2010 and third quarter of 2011. It warns about severe repercussions for default rates and thus losses if the economy were not able to get to positive values of changes in quarterly real GDP.
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