National Repository of Grey Literature 97 records found  beginprevious87 - 96next  jump to record: Search took 0.00 seconds. 
Pricing methods and value of the firm
Moleková, Táňa ; Jakubík, Petr (advisor) ; Hájek, Filip (referee)
One of the main features of slowly passing financial and economic crisis has been the substantial drop of the value of assets held in form of stocks. The key issue for investors during this turbulent period was, whether to hold the stocks in the expectations of consequent regain of their value, or whether to look for safer and more profitable targets for allocation of capital. This is the question that is being asked also by the hundreds of professional as well as small investors and households, which are keeping their money in form of stocks of companies tradable at Prague Stock Exchange. Having in hand the information about the potential over- or undervaluation of the market price of these stock in relation to their intrinsic values based on true financial fundamentals can help them make the right decision. Finding the answers on these questions was set as a main goal of this rigorous thesis. The analysis, which of the theoretical concepts and stock valuation methods are the most successful in explaining the development of the actual stock prices for the companies listed in Prague Stock Exchange comes to the forefront. Different valuation models and econometric tools are tested on several companies in order to estimate the potential relationship between the actual and intrinsic value of these stocks as...
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
Prediction of Stock Returns using Financial Statement
Hájková, Petra ; Hollmannová, Monika (referee) ; Jakubík, Petr (advisor)
This thesis should contribute to research in the area of fundamental analysis. Its aim is to study whether financial statement data of Czech non-financial companies capture information that is not reflected in prices. Therefore, the question is whether investment strategy based on financial statement analysis could earn excess returns. In order to test this hypothesis, a three-step estimation procedure based on a logit model is used to identify financial ratios relevant for prediction of future earnings. The final estimated model includes four financial ratios and is then used to set a one-year investment strategy. Although the performance of the estimated model is not too sound, this investment strategy brings positive abnormal returns during the monitored period of time. Despite the fact that results were influenced by several factors, they could indicate that financial statement analysis of companies listed on the Prague Stock Exchange is able to predict stock returns.
New Collective Investment Possibilities in the Czech Republic (Perspective Future of Property Funds?)
Vostrovská, Diana ; Pečená, Magda (advisor) ; Jakubík, Petr (referee)
Collective investment in the Czech Republic has gone through significant development during past decades and currently plays an important role on financial markets. The amendment of the Act on Collective Investment enabled the creation of property funds, which can be set up as special funds of qualified investor funds. The study starts with the general overview of the Czech collective investment market its structure, history and present. Furthermore, legal norms which determine the conception of property funds are specified. The study draws from the experience of foreign states and mostly focuses on Germany and USA. Property funds already have their own history there. Last but not least, the main aspects of property funds business are analyzed in context of international competitive advantages by analyzing the characteristics of indirect real-estate investments, tax system, development of the local realestate market and European legislation
Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank
Geršl, Adam ; Jakubík, Petr ; Konečný, Tomáš ; Seidler, Jakub
This paper describes the current stress-testing framework used at the Czech National Bank to test the resilience of the banking sector. Macroeconomic scenarios and satellite models linking macroeconomic developments with key risk parameters and assumptions for generating dynamic stock-flow consistent behavior of individual bank balance-sheet items are discussed. Examples from past CNB Financial Stability Reports are given and an emphasis is put on conservative calibration of the stress-testing framework so as to ensure that the impact of adverse scenarios on the banking sector is not underestimated.
Fulltext: Download fulltextPDF
Stress Testing the Private Household Sector Using Microdata
Galuščák, Kamil ; Hlaváč, Petr ; Jakubík, Petr
We develop a methodology for identifying financially distressed households and use it for testing the responses to shocks to the unemployment rate, the interest rate and prices of essential expenditure in the Czech Republic. We extend the approach of Johansson and Persson (2006) for Sweden and Albacete and Fessler (2010) for Austria to allow for full labour market transitions between employment and unemployment, and, due to data availability, to account for heads and spouses within households. This improvement may lead to a higher response of household distress incidence due to the unemployment rate shock than in both Sweden and Austria, while the effects due to the interest rate shock are of similar size as in Austria. We illustrate the use of our approach for stress testing households’ ability to pay their debts using macroeconomic scenarios from the CNB’s official forecast and from the CNB’s Financial Stability Report. The results highlight the importance of using micro-level datasets in the analysis of household distress incidence, as the impact of shocks is more pronounced among lower-income households.
Fulltext: Download fulltextPDF
Economic research bulletin (2007, No.1)
Heřmánek, Jaroslav ; Hlaváček, Michal ; Jakubík, Petr ; Geršl, Adam ; Derviz, Alexis ; Podpiera, Jiří ; Šmídková, Kateřina
This issue of the CNB Research Bulletin looks at advances in the area of financial stability. Financial stability issues have attracted the attention of central banks in the last 10 years, mainly due to the rapid development of financial systems, the emergence of new financial products and the increased integration of the financial system across borders. These issues are extremely important for the Czech financial sector as well. One of the most widely used analytical tools for evaluating the stability of the financial sector is stress testing. The first article – by Jaroslav Heřmánek, Petr Jakubík and Michal Hlaváček – describes progress in this area as compared to earlier versions of stress testing. Progress has been made primarily in the areas of modelling credit risk and linking the stress testing to the CNB’s official macroeconomic forecast. The second and third articles – by Adam Geršl and by Alexis Derviz and Jiří Podpiera – are devoted to the issue of cross border-contagion in the Czech Republic. This problem is of great importance for the Czech Republic due to the strong foreign ownership of the Czech banking sector and the increasing crossborder flows of capital. The article by Adam Geršl uses macroeconomic data from BIS and compares the threats of cross-border contagion from other CEECs using a common creditor index. The article by Alexis Derviz and Jiří Podpiera presents the results of a sophisticated microeconomic model of lending contagion within multinational banking groups together with an empirical model of lending contagion using individual bank data from Bankscope.
Fulltext: Download fulltextPDF
Relationship lending in the Czech republic
Geršl, Adam ; Jakubík, Petr
This paper presents the results of an analysis of data on individual bank loans of nonfinancial corporations in the Czech Republic taken from the CNB’s Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast majority of non-financial corporations use the services of just one relationship lender.
Fulltext: Download fulltextPDF
The merton approach to estimating loss given default: application to the Czech republic
Seidler, Jakub ; Jakubík, Petr
This paper focuses on a key credit risk parameter – Loss Given Default (LGD). Writers illustrate how the LGD can be estimated with the help of an adjusted Mertonian structural approach. They present a derivation of the formula for expected LGD and show its sensitivity analysis with respect to other company structural parameters. Finally, we estimate the five-year expected LGDs for companies listed on Prague Stock Exchange and find that the average LGD for the analyzed sample is around 20–50%.
Fulltext: Download fulltextPDF
Stress testing credit risk: Is the Czech republic different from Germany?
Jakubík, Petr ; Schmieder, Christian
This study deals with credit risk modelling and stress testing within the context of a Merton-type one-factor model. Writers analyse the corporate and household sectors of the Czech Republic and Germany to find determining variables of credit risk in both countries. They find that a set of similar variables explains corporate credit risk in both countries despite substantial differences in the default rate pattern.
Fulltext: Download fulltextPDF

National Repository of Grey Literature : 97 records found   beginprevious87 - 96next  jump to record:
See also: similar author names
6 Jakubík, Pavel
Interested in being notified about new results for this query?
Subscribe to the RSS feed.