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Implied market loss given default
Seidler, Jakub ; Jakubík, Petr (advisor) ; Dědek, Oldřich (referee)
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions, and discuss its role in Basel II framework. Further, we illustrate how the LGD can be extracted from market observable information with help of both the structural and reduced-form models. Finally, by using the adjusted Mertonian approach, we estimate the 5-year expected LGDs for companies listed on Prague Stock Exchange and find out, that the average LGD for this analyzed sample is around 20%. Keywords: loss given default, credit risk, structural models, reduced-form models JEL class: C02, G13, G33
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The effect of exchange rate changes on stock market volatility in new member states
Janhuba, Radek ; Horváth, Roman (advisor) ; Seidler, Jakub (referee)
This thesis examines whether currency exchange rate changes play any role in determination of stock market volatility in the EU's New Member states. Using the daily data of six Central and Eastern European countries, we run a GARCH model including the exchange rate variable into the volatility equation. Using a TARCH model we also examine whether the magnitude of stock market volatility depends on the direction of last innovation. The results suggest that an exchange rate depreciation will boost stock market volatility in Czech Republic, Hungary and Poland, whereas the same applies for currency appreciation in Romania. The various results for various countries are in line with the previous research.
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How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
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The Stock Market Volatility in the Czech Republic: Rises and Falls
Princ, Michael ; Netuka, Martin (advisor) ; Seidler, Jakub (referee)
A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality...
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Advanced Methods of Credit Risk Management within the Framework of Basel II: Implementation of IRB and Specialized Lending
Haškovcová, Eva ; Dědek, Oldřich (advisor) ; Seidler, Jakub (referee)
Adoption of internal rating based approach (IRB) for credit risk is a complex and sophisticated process. It assumes a number of requirements, improving of entire procedures and methods and sufficiency of experiences and data quality. The aim of this thesis is to show that transition to IRB approach in banking practice is not always simple and unambiguously effective. For less quantity exposures as specialized lending some calculation methods are not optimal. Conduction simple simulations of capital requirements for this category, for different rating quality of exposures and approaches within Basel II we show that capital requirements within IRB using regulatory criteria could be higher than in standardized approach. Interesting comparison provides subsequent utilization of credit mitigation techniques which are cornerstones of IRB. Overall effectiveness of the implementation depends also on its financial demands, national discretions, structure of cross-border groups for supervision and imperfections of Basel II on its own. For these reasons and present-day situation on financial markets the revision of the methodology will be necessary along with farther development of risk management methods, models and tools and strengthening national and cross-border supervision.
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Volatilita akciového trhu v ČR:Vzestupy a pády
Princ, Michael ; Netuka, Martin (advisor) ; Seidler, Jakub (referee)
A stock market came through a significant development in the Czech Republic; from its artificial beginning, through a fierce decline in listed companies, to a gradual rise in the market capitalization, which was suddenly turned off by a global financial crisis in 2008. The diploma thesis concentrate on a volatility analysis of a stock market in the Czech Republic in years 1994- 2009 including a comparison with a data available from world developed stock markets - namely European region, USA and Japan. The most important and influential events concerning world markets and also a development of Prague Stock Exchange are included in the analysis. Econometric tools includes GARCH model and its most popular derivatives and generalisations i.e. IGARCH, EGARCH and APARCH processes. The thesis is split into two main parts. The first part is devoted to a PSE volatility analysis based only on domestic data series involving GARCH class models estimations, a forecasting abilities comparison and also a structural-break analysis based on the ICSS algorithm including the Inclan-Tiao test and its successors. Next part involves a dynamic analysis based on the DCC MVGARCH model, which describes a change in a volatility spillover effect during the time. It is furthermore supported by the Granger causality...
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Global systemically important banks: Assessment methodology and the additional loss absorbency requirement
Tanasković, Dušan ; Seidler, Jakub (advisor) ; Hausenblas, Václav (referee)
1. Abstract This bachelor thesis deals with Global systematically important banks (G-SIBs) and how to identify them through various assessment. The crises in 2007 and failure of global financial institutions spread fast and sent shocks trough financial system which harmed the real economy worldwide. So it means that this is not a uniquely national authority's problem, therefore requiring a global minimum agreement. The aim of these additional policy measures is to deal with cross-border and "too big to fail" negative externalities together with moral hazard costs. Thesis explains the indicator-based measurement approach and bucketing approach introduced by BCBS. It illustrates how G-SIBs are allocated into different categories with different additional loss absorbency requirements and elaborates on how important is each particular indicator in calculating the final score.
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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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How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
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