National Repository of Grey Literature 97 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Buybacks to Bailouts: Firm Behavior and Implications for Financial Instability
Curran, Kevin ; Baxa, Jaromír (advisor) ; Dědek, Oldřich (referee)
Share repurchases reached a decade-high level in 2019, just as US equity indices reached a historical zenith, a move in tandem that supports more than merely a correlative relation. However, this relationship moves beyond that of just a close tandem move in indices alongside share repurchases, but to the behavior of firms which began to leverage themselves in order to promote the evermore profitable strategy of large buyback programs. Those repurchases indicate an idiosyncratic and procyclical leveraging that, while much smaller in scope and less combustible by lack of derivative amplification, led to the gorging on unsustainable debt described by Hyman Minsky and experienced in the Great Financial Crisis in the banking industry. In this case, the 'Minsky moment' that may have inevitably popped the self-promotion bubble came in the form of the 'black swan' event of the coronavirus outbreak. This paper aims to historically frame the issues, with delimitation of the effect of buybacks from 2009 to early 2020 with scant reference to historical factors influencing the increased usage of share repurchase programs. The analysis within this historical scope will reflect empirical measures on the market-wide level of share buybacks and debt levels alongside the concurrent equity index acceleration....
The impact of third-party payment on the profitability of commercial banks
Lu, Yilin ; Dědek, Oldřich (advisor) ; Semerák, Vilém (referee)
This thesis selects data from the financial annual report of 15 different kinds of commercial banks in China from 2016 to 2019. Meanwhile, the bank's return on total assets (ROA) and non-interest income ratio (NIIR) are considered as dependent variables and other variables are considered as the independent variables. The aim of this thesis is to examine the effect of third-party payment developments on the profitability of commercial banks and whether the effect is different due to different types of banks. At the end of the thesis, suggestions are proposed for banks to withstand risks and improve supervision. JEL Classification F12 Keywords third-party payment , commercial bank profitability, bank supervision , regression Title The impact of third-party payment on the profitability of commercial banks.
Pricing of interest rate derivatives and calibration issues in a multi-factor LIBOR market model framework
Doubrava, Jan ; Dědek, Oldřich (advisor)
Financial derivatives are financial instruments which enable investor or a debtor to optimize his/her asset/debt portfolios according to individual needs and acceptable scale of risk. Their importance in financial markets rose enormously n past ten years as well as did their traded volumes. Interest rate derivatives form a large sub-group of financial derivatives, their valuation is a large self-contained chapter within financial mathematics thanks to the unique characteristics of yield- and discount-curve dynamics. In the first part of my thesis I derive the fundamental pricing principles stemming from no- arbitrage pricing theory and introduce the most common approaches in yield curve modeling. In the second part I discuss issues of calibration in a "LIBOR Market Model" with one to three risk factors. These models are used to price swaptions with Monte Carlo simulation within the no-arbitrage framework introduced in the first part. The result of the thesis is that one factor model performs the best in pricing swaptions. Powered by TCPDF (www.tcpdf.org)
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.
The development and impact of internet finance
Wang, Jia ; Dědek, Oldřich (advisor) ; Kotlán, Viktor (referee)
In recent years, the rapid development of Internet finance has seized the financial market with a variety of business modes, which has had a strong impact on traditional financial institutions. This thesis analyzes the characteristics and main modes of Internet finance to explore the impact and future development of Internet finance. Due to the variety of Internet financial modes, this thesis uses a representative model of third-party payment to study the impact on residents, governments, and commercial banks. The main models used are OLS, panel data models, and VAR models. In order to explore the future development of Internet finance, this thesis not only compares the development of Internet finance in the United States, Europe, and China, but also analyzes the differences in the development of various regions. In addition, the thesis uses SWOT analysis to analyze the current environment of Internet finance, and speculates on future development trends and development measures that can be taken. Keywords: Internet finance, third-party payment, regional differences, future development
Integration of European Stock Markets
Bartůňková, Hana ; Mejstřík, Michal (advisor) ; Dědek, Oldřich (referee)
This thesis deals with the issue of integration of stock markets in the European Union. Theoretical background explaining the importance of developed stock market for the economy and the benefits of stock market integration is followed by the analyses of integration barriers: legislative framework of European stock markets, high costs of cross-border trading and currency risk. It is shown that the current legislative process is able to create integrated European stock market, even if the problems concerning coordination of regulation and enforcement of the directives continue. High costs of cross-border trading remain an important barrier of stock market integration as well as the currency risk. Nevertheless this thesis verifies the hypothesis of forthcoming integration of European stock markets.
Interest rate derivatives offered by Czech banks : types, usage and pricing
Nevrkla, Ladislav ; Dědek, Oldřich (advisor) ; Vošvrda, Miloslav (referee)
This rigorous thesis describes interest rate derivatives in context of Czech banks. The interest rate derivative is defined for the purpose of this thesis as a financial instrument where the interest rate instrument is its underlying asset, which is denominated in a single currency and its payoff is dependent on future interest rate development. First part deals with an analysis of the bank sector and the identified products are described. Range of the offered products serves as an indicator of the interest rate derivative market development. Second part analyzes pricing models and tries to answer a question whether the banks price the derivatives products at fair value. The yield curve construction is described and Black - Scholes and Hull - White models follow. The whole structure of this thesis aims to cover the detailed description of the interest rate derivatives. Powered by TCPDF (www.tcpdf.org)
Economic impact of protectionist measures
Wang, Jinliang ; Jakubík, Petr (advisor) ; Dědek, Oldřich (referee)
Protectionism has become a hot topic in these years. Based on the data of China-U.S. trade war, this thesis explores the economic impact of protectionism on United States. The effect of U.S. protectionist measures on imports value, welfare change and employment has been estimated and the result shows although trade protection could bring benefits to the U.S. in the short term, it will cause substantial welfare losses to U.S. residents. JEL Classification F1 Keywords protectionism, imports, welfare, employment Author's e-mail 98771754@fsv.cuni.cz Supervisor's e-mail petrjakubik@seznam.cz
Collateralized Debt Obligation: Valuation and Sensitivity Analysis
Benešová, Petra ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to credit events of a pool of underlying debt securities. CDO can be understood as an insurance against a credit risk of the pool where its issuer is a protection buyer and its investor is a protection seller. Whereas a CDO issuance has boomed in recent years, by the end of 2008 two thirds of CDOs were in a formal state of default. The aim of this thesis is to clear up the course of events which lead to the suspension of the CDO market and to deduce recommendations for its future development. To do so we develop a valuation program in MS Excel VBA based on a One Factor Gaussian Copula model. Using the program we first apply a sensitivity analysis, than we model value of a CDO tranche before the financial crisis stroke and after it to value a loss of investors based on a change in expected cash- flows. We detect four main deficiencies. First, the market was not properly diversified. Second, the valuation model was often not deeply understood which led to a mispricing of CDO tranches. Third, this resulted in a mispriced base correlation. We also numerically demonstrate the fourth deficiency, i.e. the mark-to-market valuation obligation which can have destructive effects. Recommendations to remove these...

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