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Global Games
Fiala, Tomáš ; Gregor, Martin (advisor) ; Janda, Karel (referee)
In this thesis we review literature about the coordination problem under an uncertainty. We set up a continuum player model of collective action, in which part of the population must coordinate on an action in order to achieve a mutual benefit. The complete information version of the model features multiple equilibria. We study the role of various sources of uncertainty in the model and compare them. We also examine the role of private and public information. We discuss particularly the global game, the coordination game of incomplete information in which agents received different but correlated signals about the state. We demonstrate that in the global game an unique equilibrium can be found by iterated elimination of dominated strategies. We compare the global game to related models and examine the consequences of relaxing the assumptions of global game. In addition we show some practical implication of the model for revolutions and currency crises.
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Government Export Support: A Comparative Study of European Post-Communist Countries
Pšenáková, Lucia ; Janda, Karel (advisor) ; Martišková, Monika (referee)
To the best of our knowledge, this bachelor thesis is the first one to analyse official state promotion in all four Visegrad countries. Similar development of those economies in transition period after the fall of Communism is described; their extremely fast and sucessful reorientation towards Western markets is emphasized. Nowadays each government in the region implements its own export strategy. We could observe a mutual understanding of importance of state export support, nevertheless, very different priority territories for export. Further in the thesis we analyse export credit agencies - organisa- tions promoting export projects under more favourable conditions with state guarantees. Firstly we compare theoretical advantages and disadvantages of different forms of export credit agencies. Then we apply data from inter- national trade on gravity equation and we conclude that the most effective type of export credit agency in Visegrad Four region is clearly an organisa- tion operating in the form of an insurance company. Other forms such as a bank and an institution providing both insurance and financing facilities are insufficiently effective. We show that smaller distance and higher GDP also increase the amount of export.
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Debt Contracts and Stochastic Default Barrier
Dózsa, Martin ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on the theory of asset pricing models and their usage in the design of credit contracts. We describe the evolution of structural models start- ing from the basic Mertonian framework through the introduction of a default barrier, and ending with stochastic interest rate environment. Further, with the use of game theory analysis, the parameters of an optimal capital struc- ture and safety covenants are examined. To the author's best knowledge, the first EBIT-based structural model is built up that considers stochastic default barrier. This set-up is able to catch the different optimal capital structures in various business cycle periods, as well as bankruptcy decisions dependent on the state of the economy. The effects of an exogenous change in the risk-free interest rate on the asset value, probability of default, and optimal debt ratio are also explained. JEL Classification C73, G12, G32, G33 Keywords credit contracts, stochastic default barrier, asset pricing, EBIT-based models, struc- tural models Author's e-mail martin@dozsa.cz Supervisor's e-mail Karel-Janda@seznam.cz Abstrakt Tato práce se zabývá teoretickými modely pro oceňování finančních aktiv a je- jich použitím při návrhu optimálních úvěrových smluv mezi dlužníky a věřiteli. V první části je popsán...
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Debt contracts and stochastic default barrier
Dózsa, Martin ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on the theory of asset pricing models and their usage in the design of credit contracts. We describe the evolution of structural models starting from the basic Mertonian framework through the introduction of a default barrier, and ending with stochastic interest rate environment. Further, with the use of game theory analysis, the parameters of an optimal capital structure and safety covenants are examined. To the author's best knowledge, the first EBIT-based structural model is built up that considers stochastic default barrier. This set-up is able to catch the different optimal capital structures in various business cycle periods, as well as bankruptcy decisions dependent on the state of the economy. The effects of an exogenous change in the risk-free interest rate on the asset value, probability of default, and optimal debt ratio are also explained.
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Bailouts in banking industry : Curse or salvation?
Šolc, Jan ; Janda, Karel (advisor) ; Hedbávný, Petr (referee)
One of questions discussed in the light of current financial crisis is the problem bailouts in banking industry. This thesis contributes to this dispute by studying the relationship between the probability to be bailed out and the risk appetite of particular commercial bank. The aim of this paper is to analyze this relationship in both, theoretical and empirical way, which is still missing in current literature. We work with two hypotheses in this paper. The first one is that there is a positive relationship between the above mentioned variables while the second one suggests that large commercial banks tend to have higher risk appetite. Our first hypothesis is studied in both ways, while the second one is analyzed only in a theoretical way. In the theoretical part we derive the relationships between considered variables under the general equilibrium framework. In our model we work with an economy with four different agents (namely households, firms, commercial banks and central bank). These derived relationships are then analyzed empirically. We work with a panel data dataset considering the data about 500 commercial banks from 70 countries over the 2005-2008 period. The results of empirical analysis suggest that there is a negative relationship between the probability to be bailed out and the risk...
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Financial intermediaries
Frühauf, Ladislav ; Mejstřík, Michal (advisor) ; Janda, Karel (referee)
This diploma thesis deals with the topic of financial intermediaries. These are specialized agents that enter between investors and borrowers on financial markets and facilitate the exchange of financial assets. Their activity increases savings rate and improves effectivity of allocation of resources and thus has a positive effect on economic growth. Financial intermediaries create no real value in the model of complete markets. Classic theories see their role as alleviating market imperfections and center around informational asymmetries, transaction costs and regulatory barriers. These imperfections diminish over time but intermediaries gain on importance. Classic theories seem not to provide sufficient explanation of current development. Several new approaches to the functioning of financial intermediaries are described in this diploma thesis. Powered by TCPDF (www.tcpdf.org)
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Recovery rates and the absolute priority rule
Hádlová, Lenka ; Janda, Karel (advisor) ; Havel, Jiří (referee)
Recovery Rates and the Absolute Priority Rule The paper analyses the relationship between expected recovery rates in bankruptcy and the claim's standing within the capital structure of the debtor. According to the absolute priority rule (APR), the claims in bankruptcy should be always repaid in certain order, i.e. each claim can be satisfied only if all relatively senior claims have been repaid in full. But since the APR is often violated in practice, the actual recoveries may differ significantly from the scenario based on the assumption of adherence to the APR. The extent of the APR violations depends highly on the creditors' position in the bankruptcy proceedings within each particular legal system. The paper investigates the characteristics of bankruptcy codes that allow APR violations as well as both ex-post and ex-ante effect of these violations. In this context, we also analyse the New Czech Insolvency Act which will enter into force on 1st January 2008. The paper aims to provide a step towards understanding the problematic relationship between the recovery rates and the creditors' rights protection within particular legal framework. Powered by TCPDF (www.tcpdf.org)
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Pricing of gas swing options
Pokorná, Andrea ; Janda, Karel (advisor) ; Vošvrda, Miloslav (referee)
Even though contracts for the purchase and sale of natural gas providing an offtake flexibility concerning volume and time (gas sales agreements) have been commonplace in the natural gas industry for many years, the development of techniques for pricing them has not followed at the same pace. This thesis is motivated by the changing nature of the natural gas industry in the European Union, which is asking for a mark-to-market evaluation of these contracts. The flexibility provided by these contracts is then regarded as a financial option, called a "gas swing option". Since the gas swing option is actually a set of several American puts on a spread between prices of two or more energy commodities, we devote one section of the text to the theory on spread option pricing. Due to the specific features of the energy markets the existing analytic approximations for spread option pricing are hardly applicable to our framework. That is why we employ numerical methods and model the spot price dynamics through stochastic processes capturing such features. The price of an arbitrarily chosen gas swing option is then computed in accordance with the concept of risk-neutral expectations, i.e. is considered as an expectation of discounted future cash flows for a probability structure called risk-neutral. Finally, our...
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Weather risk in the natural gas market
Vyležík, Tomáš ; Janda, Karel (advisor) ; Gapko, Petr (referee)
This thesis deals with the impact of weather on the natural gas market. We describe the development of the natural gas market in the recent past and its current structure. Both these contingencies contributed to the growing importance of hedging against weather risk. Weather is unambiguously the primary determinant of demand in the natural gas market. For that reason, we build a model predicting consumption in the Czech natural gas market with respect to its temperature sensitivity. Such an analysis frequently serves as the first indicator of the need for weather risk hedging, which is since the 90's commonly done with weather derivatives. Therefore we go through so called burn analysis that determines the fair price of an option with regard to past temperature measurements.
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Thailand in Regional and Bilateral Free Trade Agreements
Rattanaphan, Chalakorn ; Janda, Karel (advisor) ; Benáček, Vladimír (referee)
The Regional Trade Agreements (RTAs) and the bilateral Free Trade Agreements (FTAs) have increasingly been a new wave of international trade around the world. The countries who seek to establish these agreements, be regionally or bilaterally, realize that the trade agreements are in fact tools to increase trade with their trading partners, to extend and expand their foreign markets, as well as to encourage foreign investments but the overall goal is to strengthen economic tie with the trading partners. Thailand is considered a young and new player in free trade agreements. Given the fact that Thai government's trade policy has been quite ambitious and proactive, Thailand has constantly attempted to establish free trade agreements with its important partners around the world. Regarding Thailand's strong support in export-oriented economy, seeking a greater access to foreign markets through free trade agreements is in fact the country's first priority. Thailand's commitment on regional trade agreement under ASEAN Free Trade Area, and bilateral Free Trade Agreements under TAFTA and JTEPA has provided considerable benefits for Thai economy mainly through an increase in export as well as impor. Moreover, the FTAs have proved to increase competitiveness on Thai products which results in an increase of market...
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