National Repository of Grey Literature 20 records found  1 - 10next  jump to record: Search took 0.00 seconds. 
Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic
Džmuráňová, Hana ; Tůma, Zdeněk (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Kotlán, Viktor (referee)
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační práce/ Dissertation title Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Anglický překlad / Title in English Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Autor/ka/ Author Mag. Hana Džmuráňová Rok zpracování/ Year 2021 Školitel / Advisor Doc. Ing. Zdeněk Tůma CSc. Počet stran / No. of pages 197 Abstract in English The thesis Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic deals with the management of interest rate risk and liquidity risk stemming from the core banking system purpose - the maturity transformation. Across five articles, we provide comprehensive theoretical description, regulatory background, and develop models for embedded behavioural options of client products such as non-maturity deposits, with special focus on savings accounts in the Czech Republic in one of our case studies, or loans with prepayment option. We apply our models on the major Czech and Slovak banks and we calculate the exposure of those banks to interest rate risk in terms of regulatory guidelines. We derive that all banks in our analysis are positioned to benefit when interest rates increase as demand deposits like current accounts are...
Effect of Quantitative Easing on the US Stock Market During the COVID-19 Pandemic
Michalík, Ondřej ; Čech, František (advisor) ; Džmuráňová, Hana (referee)
This work examines the effects of quantitative easing on different stock in- dices in the form of S&P 500, NASDAQ-100, DJIA and Russell 2000. The effects are analysed through the implementation of standard statistical methods and ARMA-GJR-GARCH models. Weekly data on total assets held by Fed and announcement dates are employed as variables representing quantitative easing. A strong positive relationship between quantitative easing and the stock market indices was found, with the most significant effect on the Russell 2000. The in- clusion of quantitative easing in our ARMA equation visually seemed to explain some of the market's volatility after the Fed's announcements of quantitative easing, but statistical methods did not confirm this hypothesis.
The Resolution Fund: Is behaviour of the contributing institutions affected by the applied methodology?
Hykl, Daniel ; Pečená, Magda (advisor) ; Džmuráňová, Hana (referee)
Daniel Hykl Bachelor Thesis The Resolution Fund: Is behaviour of the contributing institutions affected by the applied methodology? Abstract The thesis provides theoretical analysis of the Resolution Fund contributions determination policy - the contributions are calculated based on end of year data - and its effects on banks and the financial sector. Several theoretical examples are used to demonstrate the problem of the top-down approach to distribution of the sectoral contributions on the particular institutions. A hypothesis is drawn - do the banks lower their reported liabilities as of end of the year to achieve decreased contributions? Total liabilities of the 7 largest banks in the Czech Republic are analysed and theoretical end of year developments of total liabilities of the banks under no optimisation condition are calculated. Basic annual contributions of the banks are estimated and compared to implied contributions calculated from the theoretical liabilities.
Examining the relationships among cryptocurrencies using Google Trends
Heller, Michael ; Krištoufek, Ladislav (advisor) ; Džmuráňová, Hana (referee)
The topic of our thesis is the examination of the relationships among cryptocur- rencies using Google Trends. In our thesis, we concentrated on four cryptocur- rencies, namely: Bitcoin, Litecoin, Ethereum Classic and Ethereum. We obtained the data of daily opening prices, daily trading volumes and daily Google Trends queries in order to examine the relationships among the four cryptocurrencies. Applying the Vector autoregression model and Vector error correction model, we constructed four models. The first model contains only four time series of daily prices of cryptocurrencies. The second model is the first model enriched by the respective four time series of Google Trends queries. The third model contains the four time series of daily trading volumes of the four cryptocurrencies. The fourth model is the third model enriched by the four time series of Google Trends queries of respective cryptocurrencies. Then we applied the Impulse response analysis and the Forecast error variance decomposition in order to find some relationships among the variables. We found that there is some correlation among prices, volumes and Google Trends queries containing the names of the four cryptocurrencies. According to our results acquired by the Forecast error variance decomposition, in all our models, Bitcoin has the...
Revenue Management around Seasoned Equity Offerings
Habětínek, Jan ; Novák, Jiří (advisor) ; Džmuráňová, Hana (referee)
This bachelor thesis enhances existing research about unusual operating performance of firms that are subject to Seasoned Equity Offerings. It uses modern tools of estimation of earnings management by discretionary revenues measured as portion of account receivables that cannot be explained by revenues and credit policy. Therefore, it helps to discriminate between two existing explanations of the unusual operating performance, market timing and earnings management, with greater precision. Apart of finding evidence in favour of the earnings management theory, the results additionally, in contrast to previous research, suggest downward-oriented adjustment of revenues in the year before SEO and therefore provide evidence in favour of newly proposed "revenue buffer" hypothesis. Implicitly, combined with the past results, also a shift from dominance of expense management before SEO to dominance of revenue management at the time of SEO is suggested.
Building Societies in Low Interest Rate Environment
Hanzlík, Petr ; Džmuráňová, Hana (advisor) ; Baniar, Matúš (referee)
The aim of this thesis is to analyse the impact of low interest rate environment in the Czech Republic in recent years on the sector of building societies as a specific segment of the financial market. First part of the thesis consists of description of main characteristics of building savings and building societies, e.g. their historical development, with special focus on main types of risk the building societies face. In the second part the impact of changing market interest rate on outstanding volumes of deposits in building societies is analysed. The analysis is conducted through simple time series models estimated by OLS. Final part includes comparison of demand for building savings loans with demand for mortgages as well as consideration of the development of profitability of the sector of building societies in recent years. Powered by TCPDF (www.tcpdf.org)
Impact of the Basel III Liquidity Rules on EU Banks
Klímová, Dana ; Šopov, Boril (advisor) ; Džmuráňová, Hana (referee)
New liquidity rules introduced under the Basel III framework define the Net Stable Funding Ratio (NSFR) that requires banks to possess an adequate long-term liquidity. The NSFR will enter into force on January 1, 2018 and banks are concerned that this regulation will lower their profitability. In this thesis the Basel III liquidity rules are analysed. The research seeks to define characteristics and triggers of the NSFR, using a sample of 500 EU banks. We find that smaller banks (by asset size) are more likely to fulfil the NSFR requirements, so are the banks with higher non-interest share of income and lower capital ratio, among other characteristics. Further, the NSFR's impact on the banks' performance is assessed. It is found that a higher NSFR negatively impacts the return on average equity, although it does not seem to translate into lower returns on average assets nor net interest margin. JEL Classification E58, G21, G28, G32 Keywords NSFR, Basel III, liquidity, banks, EU, profitability, capital rules, regulation Author's e-mail 45724231@fsv.cuni.cz Supervisor's e-mail boril.sopov@gmail.com
The Impact of Macroeconomic News on the Price of Financial Assets
Říha, Jakub ; Moravcová, Michala (advisor) ; Džmuráňová, Hana (referee)
This thesis investigates the effect of Czech macroeconomic news announcements and Czech National Bank (CNB) communication on the price of financial assets and its volatility. As the financial assets we selected the EUR/CZK and USD/CZK exchange rates and also the Prague stock PX Index. To analyze the aforesaid effect we employed the GARCH (1,1) and EGARCH (1,1) models, each with Normal and Student's t error distribution. The main results were that the CNB's communication indeed have significant effect on the price of all three examined assets and surprisingly also tend to increase their volatility. Also the macroeconomic announcements significantly influence examined assets however significant macroeconomic indicators differ for each asset. The most influencing ones are: CPI, 1YPRIBOR and the unemployment rate. Another finding of our research was that volatility of examined time series data shows the characteristics of leverage effect, volatility clustering and persistence. Powered by TCPDF (www.tcpdf.org)
Non-interest income management of banks in a global low interest rate environment
Bečvaříková, Vendula ; Teplý, Petr (advisor) ; Džmuráňová, Hana (referee)
The significant change of the banking business models is easily observable in the current banking industry. Banks are forced to find additional source of income besides the one from traditional activities and thus the non-interest income is growing in importance. One of the reasons behind is that the banks need to recover from severe impacts of financial crisis in 2008-2010 and they want to adapt to the environment of low interest rates which has been occurring in the market since 2011. In this thesis, we analyze the presence of direct effect of non-interest income (proxied by fee income) on banks' performance using data of 220 commercial and investment banks from U.S. and EU-28 countries over the period of 2007-2014. Using System Generalized Methods of Moment, the direct effect was not detected. However, we conclude that economy with low inflation rate and growing gross domestic product improves the banks' profitability, as well as high capitalization and operating and credit quality efficiency. Furthermore, we found out that the volatility of the non-interest income has increased earlier than the crisis in 2008-2010 and it has been achieving almost continuous level till 2011 when it started decreasing again. Thus the hypothesis about relationship between volatility and financial crisis was rejected.

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