|
| |
|
|
Measuring and managing operational risk in the context fo Basel II
Patráková, Zuzana ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
This thesis deals with measuring and managing operational risk in the context of Basel II. The main goal of this work is to analyze different methods for quantification of operational risk and evaluate which method is the most suitable according to its nature. This work outlines the milestones of Basel II, its goals and tools. It defines the operational risk and clarifies its categorization. This paper also concentrates on Basel Committee's requirements concerning the quantification methods and it discusses related problems. This work examines the widespread operational risk measurement approaches. Final part is devoted to operational risk management process. Powered by TCPDF (www.tcpdf.org)
|
|
|
Efficiency of EU merger control
Serdarevič, Goran ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
Main goal of this thesis is to provide analysis of the key regulatory changes of the European merger control and to evaluate their real impact on the efficiency of the merger regulation. Our main contribution is the empirical analysis of the unique representative sample of 161 mergers covering the final regulatory assessments in the period from 1990 to 2008. We use stock market data to identify mergers wrongly assessed by the Commission. PROBIT model is then used to further investigate the sources of these decision errors. Our results suggest that the Commission's decisions are not purely explained by the motive of protecting consumer welfare and that other political and institutional factors do play a role. We did not find evidence that the Commission protect competitors at the expense of consumers and foreign firms. Moreover, according to our results, the regulatory reform in 2004 has significantly enhanced efficiency of the European merger control. To the author's best knowledge, this is the first study using stock market data to evaluate the recent regulatory reform of the European merger control.
|
|
|
Exchange Rates in the Global Crisis: the Role of Fundamentals
Růžičková, Pavla ; Teplý, Petr (advisor) ; Průša, Jan (referee)
This thesis studies the equilibrium real effective exchange rates and the degree of misalignment of currencies. It focuses on the real effective exchange rates of Icelandic króna and Chinese renminbi, with special attention paid to the evolution of these exchange rates in the period of crisis. It identifies key factors influencing the real effective exchange rates of króna and renminbi, calculates their equilibrium level and confirms that these currencies were misaligned in the pre-crisis period. It stresses the impact of real interest rate differential in the case of króna and of sterilization operations applied by the People's Bank of China in the case of renminbi. It further examines whether the relationship between real exchange rates and economic fundamentals was distorted in the crisis. Finally, the thesis provides an insight into whether the crisis led to narrowing the degree of misalignment of renminbi and króna.
|
|
|
Alternative Investment in Fine Wine
Tisoň, Eduard ; Teplý, Petr (advisor) ; Smutná, Šarlota (referee)
The goal of this thesis is to examine diversification opportunities and relative investment performance of fine wine over several different periods. We found that fine wine indices have higher risk-adjusted returns than stocks in the most of ours periods and that cheaper fine wines performed substantially better than expensive ones. However, over the periods of financial crisis, fine wine had a strong correlation to major stock indices and lost a significant part of its value. Finally, since fine wine did not show any evidence of exposure to stock markets over the recent period, we concluded that fine wine can bring substantial diversification benefits, which we illustrated in the case of anti-cyclical and pro-cyclical portfolio.
|
|
|
The role of credit default swaps during the subprime mortgage crisis in 2007-2009
Lazukićová, Andrea ; Teplý, Petr (advisor) ; Vozková, Karolína (referee)
This thesis focuses on the role of credit default swaps during the subprime mortgage crisis 2007-2009 with special focus on mortgage-backed securities. In the empirical part of the thesis, three models are constructed. All of them have the same dependent variable, a mortgage delinquency rate in the 2005-2010 period, and independent variables representing various types of credit default swaps issued. Streamlined in each model, credit default swaps (CDS) were divided based on certain criteria (underlying sectors, maturity and ranking) and subsequently compared and analysed. By using the probit model, the main research question "How the probability of mortgage delinquency depends on the volume of credit default swaps issued?" was inspected. The contribution of this thesis is three-fold. First, we show that a delinquency rate of mortgages was correlated with the maturity of CDS issued (the delinquency rate was higher for short-term loans). Second, we state that the volume of subprime loans increased along with the volume of issued CDS, what contradicts to the insurance nature of a CDS. Finally, a mortgage delinquency rate was lower in the 2006-2008 period than in 2009-2011, what implies the domino effect of failing mortgages had an immense impact even after the global crisis.
|
|
|
Competition versus dominance in the European pharmaceutical industry : Are the patent rights too strong?
Polanská, Eva ; Teplý, Petr (advisor) ; Havel, Jiří (referee)
The thesis is deals with the position of companies operating in the European pharmaceutical industry. Pharmaceutical industry belongs to traditionally highly innovative sectors whose investments into R&D largely outperform other industries on the European as well as on the global scale. A high number of patents is awarded in this branch. The companies get into strong position thanks to them. The key issue which the paper is devoted to is a detailed analysis whether and how the strong legal position is reflected on the economic level. Powered by TCPDF (www.tcpdf.org)
|
|
|
Counterparty credit risk modelling
Volek, Mikoláš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
Counterparty credit risk is an important type of financial risk. The importance of proper counterparty risk management became most apparent in the wake of the 2008 series of failures of several large banks. Correlation of market factors is an important issue in the calculation of CVA. A notable case of correlation is wrong-way risk which occurs whenever the probability of default of the counterparty is positively correlated with exposure. The basic formulas for CVA and basic counterparty credit risk models do not account for wrong-way risk because its modeling is nontrivial. This thesis aims to answer how well can the impact of wrong-way risk on CVA be approximated with an add-on which only depends on correlation between the price of the underlying asset and the credit spread of the counterparty. The thesis is supplemented by a fully documented implementation of the model in the Mathematica software.
|
|
|
Economic vs. regulatory capital of financial institutions
Matuška, Tomáš ; Teplý, Petr (advisor) ; Kocourek, David (referee)
Economic vs. regulatory capital of financial institutions This thesis is focused on Assets and Liability Management connected with economic and regulatory capital. The main aim is to analyze development of these capitals and their influence on bank's output. In the first, theoretical, part of thesis we follow up the division of risk categories, we define an economic capital and its management and quantification methods. Then we focused on development of international bank regulation and its current and future state. The regulatory capital is defined as well as its management. The last chapter of theoretical part is dedicated to ratings. Then the most important, analytical, part follows. We analyze data of top 50 world banks from year 2007 to 2011. We use especially quantitative methods and OLS regression. We investigate development of economic and regulatory capital during and after the crisis and changes in division of risks they cover. We looking for a relationship between these capitals as well as its impact on bank's rating. At the end of the analysis we focused on relationship between capital adequacy and bank's profitability and we consider reasons of bank's lack of transparency about economic capital. Finally we conclude the results of the analysis. The most important discovery is undermining of...
|
|
|
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.
|
guest ::
RSS feed.