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Methods of Risk Aggregation on Financial Markets
Pavlovičová, Jana ; Gapko, Petr (advisor) ; Báťa, Karel (referee)
This diploma thesis "Methods of risk aggregation on financial markets" introduces all kinds of risk that are present on the financial markets. In the first part there are explained the ways and methods of measurement of these risks. Next there are shown the methods of aggregation of credit, market and operational risks. One of these methods are copula functions which are constructed in practical part of this thesis.
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Heavy Tails and Market Risk Measures: the Case of the Czech Stock Market
Bulva, Radek ; Zápal, Jan (advisor) ; Bubák, Vít (referee)
One of the stylized facts about the behaviour of financial returns is that they tend to exhibit more probability mass in the tails of the distribution than would be suggested by the normal distribution. This phenomenon is called heavy tails. The first part of this thesis focuses on examining the tails of a distribution of returns on Czech stock market index PX. Parametric and semi-parametric approaches to estimation of the tail index, a measure of heaviness of tails, are applied and compared. The results indicate that the tails behave in a way one would expect from an emerging market stock index. In the second part of the thesis, implications for two quantile-based market risk measures, Value at Risk and Expected Shortfall, are investigated. The main conclusion is that heavy-tailed alternatives should be preferred to the normal distribution in order to avoid serious underestimation of risks embedded in the underlying process. JEL classification: C13, C14, C16, G15; Keywords: Heavy Tails, Parametric and Semi-parametric Estimation, Statistics of Extremes, Extreme Value Theory, Market Risk, Value at Risk, Expected Shortfall.
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Stress Testing of the Banking Sector in Emerging Markets: A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing financial system's resilience to adverse events. This thesis describes the methodology of stress tests and illustrates stress testing for credit and market risks on real bank-by-bank data in two Balkan countries: Croatia and Serbia. Credit risk is captured by macroeconomic credit risk models that estimate default rates of corporate and household sectors. Setting-up the framework for countries that were not much covered in former studies and that face limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to emerging markets that suffer from similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
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Value at Risk Calculation of the Czech Stock Portfolio Using Alternative Distributions
Hédl, Tomáš ; Gapko, Petr (advisor) ; Seidler, Jakub (referee)
The aim of this diploma thesis is to analyze ways of Value at Risk calculation. Its core is to get a suitable model that could most appropriately reflect the probability distribution of returns of the Czech stock portfolio that we have generated. In this thesis we find out that the returns follow unbounded distribution which was first described by Johnson (1949). Since we detect that returns are correlated we have to apply appropriate autoregressive process that removes this dependency. In the empirical part we discover an inability of models based on assumptions of normality, to correctly predict the Value at Risk. Historical simulation methods, which have promising backtesting results, are rejected because of the slow adaptation to the recent changes in the market. However, we find a way how to implement Johnson SU distribution into the GARCH model. This model, which passes all the tests, is thus able to predict Value at Risks of the portfolio most accurately. JEL Classification: C16, C22, G11 Keywords: Market risk, Value at Risk, Risk management, Johnson SU distribution
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Stress Testing of the Banking Sector in Emerging Markets A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing the financial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank-by-bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting-up the framework for the countries that were not much covered in former studies and that face the limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to the emerging markets that suffer from the similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
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Influence of BASEL III regulation on risk management in banking
Havlíček, Radek ; Blahová, Naďa (advisor) ; Pour, Jiří (referee)
The diploma thesis focuses on the regulatory framework of the BASEL III in coherence with risk management and measurement of market and credit risks. The accent is focused upon methodology of calculation and determination of the capital requirements of above mentioned risks. In the introductory part of the thesis are mentioned basic procedures regarding risk management as well as theoretical methodology and development of calculation of the capital requirements in coherence with current standard BASEL III. In the practical part of the thesis are presented capital management policies with regards to BASEL III in Deutsche Bank AG, globally presented institution and Komerční banka, a.s., operating on the Czech market. Accented are mainly the expositions of the institutions and the size of the capital required by the regulatory framework.
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Audit of banking institutions in the Czech Republic
Ognev, Denis ; Brada, Jaroslav (advisor) ; Kubát, Max (referee)
This diploma thesis deals with external audit of banks in Czech Republic. The main objective of this thesis is to describe in detail the techniques, strategy and methods which are used by the external auditor during the engagement and to compare them with those used in internal audit. The main emphasis during the stage of interim audit is put on control of risk management activities. The first part of this diploma thesis is devoted to theoretical issues and legal aspects of audit profession. Specific characteristics of banking institutions audit including major risks and the scope of external auditor's activities are described in the second chapter of the thesis. Third part describes the main stages, used methodology and the process of external audit of banking institutions. Last chapter is devoted to a brief description of the internal auditor's activities in the bank and their comparison with the external audit.
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External audit of commercial banks in the Czech Republic
Ágošton, Peter ; Teplý, Petr (advisor) ; Rybák, Zdeněk (referee)
This master thesis deals with the area of commercial bank's external audit in the Czech Republic. Its main goal is to highlight the different techniques and specific procedures which are used during statutory audit of commercial bank. Another goal of this master thesis is to investigate of a linear dependence between count of changes of auditors and selected commercial bank's performance indicators. In the first part we could find a general framework of the external audit with emphasis on legal aspects. The second part describes differences between bank and non-banking institution. The third part of this master thesis deals with a description of audit phases with emphasis on the interim audit phase at which the author of this master thesis was a part of audit providing team. The final part investigates the linear dependence between count of changes of auditors and selected commercial bank's performance indicators.
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Audit of a bank
Ambros, Lukáš ; Dvořáček, Jiří (advisor) ; Tondlová, Markéta (referee)
The goal of my thesis "Audit of a bank" is to identify and describe the area of external and internal audit in banking and to focus on specifics of bank audit in comparison to external audit of commercial enterprise. The first part is focused on audit of financial statements. In the second part are described the specifics of banking segment. Third part describes internal audit and cooperation between external and internal audit. In the last part there are described methods applied during the audit of the bank.
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Optimal parameters of risk management for electricity trader
Jančová, Lenka ; Paholok, Igor (advisor) ; Kovačovská, Lenka (referee)
The priority of this work is to show the importance of risk management and the proper operation in electricity trading companies. In the theoretical part of the thesis are summarized basic information about the energy market in the Czech Republic and also a brief overview of the risks observed in the electricity trading. In recent years there have been several cases where a company did not observe their risks or even did not monitor these risks at all. This had a negative impact on the entire Czech energy market. In the practical part of this thesis are described the cases of companies Moravia Energo a.s. and Korlea Invest a.s., setting its risk management and also consequences of their falls. Furthermore, this work describes the different tools to support risk management, which are not the cheapest definitely. Also work contains an example of calculating the limits for credit exposure of the two companies that I calculated based on the analysis of the annual reports of these companies and I managed to get a lot of interesting information during writing this work that the reader will definitely appreciate.
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