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The role of rating in terms of FDI
Bohuslavová, Petra ; Taušer, Josef (advisor) ; Vinš, Petr (referee)
The world crisis that countries were facing since 2008 strongly affected the international capital flows. Beside other factors, the cause was found in inaccurate ratings hence the rating agencies were criticized very harshly. The mail goal of this diploma thesis is to study the interconnection between sovereign rating and FDI inflow from 2011 until 2015. The first chapter describes FDI and main factors which play a key role in FDIs setting. The second chapter concentrates on rating and rating agencies. The third part of the thesis works with representative countries data in 2006 and 2015 and its aim is to compare FDI inflow and sovereign rating of each country using static data. Last chapter consists of three case studies: Slovenia, Portugal and Ireland and tries to find out if there is a correlation between FDI inflows and ratings from 2011 until 2015.
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Using Rating in Regulation Practice
Řehořová, Monika ; Blahová, Naďa (advisor) ; Metrah, Samy (referee)
This master thesis deals with the issue of using rating in the context of determining capital requirements. The focus is on using the Standardised Approach and the Internal Rating-Based Approach to calculate credit risk capital requirements. Different approaches to managing the risk and evaluating the capital adequacy. Criticism of rating agencies as well as the complexity of Internal Rating-Based Approach is taken into account. Furthermore, the thesis discusses the issue of responsibility of external rating agencies for their evaluations, and together with the issue of lacking competition. Various alternatives to external rating are discussed. The internal rating process is discussed in more detail along with the factors which affect rating evaluations of exposures to various entities. Subsequently, the thesis focuses on determining the rate of provision for impairment expected losses on receivables, and a possible impact of accepting IFRS 9 on capital adequacy.
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Relationship between government debt and sovereign rating
Antonyová, Kristýna ; Blahová, Naďa (advisor) ; Brada, Jaroslav (referee)
A main focus of this thesis is a relationship between government debt and rating of a respective country. The first chapter forms a theoretical basis and deals with a general characteristics of rating for all economic subjects, introduction of the three most important rating agencies and last but not least with government debt. The theoretical part is followed by a description of government debt's development and rating of the Czech Republic. An application part of the thesis conducts a basic analysis of relationship between government debt and rating and subsequently the core analysis using a specific framework from a rating agency.
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The Role of Rating Agencies in the Worldwide Crise
Kratochvíl, Jan ; Očko, Petr (advisor) ; Ivánek, Jiří (referee)
The thesis focuses on the role of rating agencies in the financial crisis. The aim of the thesis is to judge a rate how much rating agencies contributed to give rise to last financial crisis, began by fall of Lehman Brothers in 2008. A main question is whether rating agencies acted inadvertently or on purpose and which all factors contributed most to result in financial crisis and as well how the rating agencies could influence and cope with these factors. The thesis deals with regulation of rating agencies and their appropriateness too. Rating and its aspects in theoretical way are described in the first part of the work. The real situation of rating industry prior to and in financial crisis is described in the second practical part of the thesis.
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Topical legal issues of banking regulation
Kadlic, Alexander ; Kotáb, Petr (advisor) ; Dřevínek, Karel (referee)
Current Legal Issues of Bank Regulation - Resume This thesis paper deals with issues that can be found in relation with bank regulation. At present, globalized world, banks as important financial intermediaries play a major role. Banks are present in our daily lives and whether or not we want to, they facilitate our everyday operations with the money, investment of free monetary resources, and also borrowing of money. We got accustomed to the convenience that the use of various banking services provides. Equally important are the services of banks for businesses enterprises, various investment companies and funds, and also the countries themselves (the governments). Failure of this system, now that so many subjects are dependent on it, could have far-reaching negative consequences. The bank regulation and its instruments serve as a protection against the rise of adverse consequences. With the growing importance of banks in our society, the importance of their regulation grows as well. But even this may not represent perfect protection and bank regulation may conceal other unforeseen problems. This thesis on "Current legal issues of bank regulation" reflects the legal status of May 31 2012 and is trying to highlight the problems that occur in specific instruments of banking regulation. The aim of this work...
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Impact of Sovereign Ratings Changes on European Sovereign Yield Spreads
Vyskočilová, Veronika ; Horváth, Roman (advisor) ; Teplý, Petr (referee)
The spreading sovereign debt crisis in the Euro zone has renewed the debate about impact of credit rating agencies on financial markets. This thesis aims to explore the role played by the leading credit rating agencies by analysing the interaction between changes in sovereign ratings announced and the yield spreads of sovereign bonds, especially the short term impact and the potential contagion effect of rating changes on the highly integrated Euro zone financial market. The conducted event study and panel regression indicate that there is a significant impact of rating downgrades and negative rating outlooks on sovereign bond markets. Moreover, we have found significant contagion effect spreading from downgraded countries to non-event Euro zone members, namely not only to sovereign bond markets, but also to stock markets. JEL Classification: C23, E44, G12, G14 Keywords: credit ratings; sovereign yield spreads; rating agencies; contagion Author's email: veronika.vyskocilova@email.cz Supervisor's email: roman.horvath@gmail.com
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Rating agencies and their importance for financial markets and economic policy
Svačina, Lubomír ; Jílek, Josef (advisor) ; Pícl, Michal (referee)
This paper performs an analysis of rating agencies and evaluates their importance for financial markets and economic policy. The importance of rating agencies and their ratings is assessed based on two criteria -- independence and accuracy of ratings, both criteria are analysed in detail from different views throughout this paper. Independence of rating agencies is considered in terms of historical context and the most important development milestones and trends, in terms of market positioning and demand for services of rating agencies, in terms of ownership structures and financing models. Accuracy of ratings is considered by historical analyses of sovereign ratings from the times of the Asian financial crisis, the European debt crisis and sovereign debt defaults and restructuralisations since 1990. In the issue of independence, the paper has revealed several risk factors, mainly in relation to financing model "issuer pays". In the issue of sovereign rating accuracy, the paper has come to a conclusion that rating agencies were only able to identify the most visible negative trends -- defaults and restructuralisations of debts in countries, where the problems had developed gradually. On the other hand, in surprising and sudden cases such as the Asian financial crisis and the European debt crisis, rating agencies were suprised just like the wider investor's public.
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Co způsobilo vzestupy a pády úrokových měr státních dluhopisů během evropské dluhové krize?
Václavíček, Tomáš ; Chytil, Zdeněk (advisor) ; Kovář, Kamil (referee)
This study examines the determinants of government bond spreads vis-a-vis Germany for eleven EMU member countries in the period 2000Q1 to 2013Q3 with a special focus on the European Debt Crisis. The aim of the thesis is to test whether selected financial, fiscal and macroeconomic variables have an impact on government bond spreads. A novel contribution is testing whether there has been a significant change of government bond spread determinants following the ECB interventions in summer 2012. Variables reflecting the sustainability of public finance, liquidity of government bonds, risk aversion and competitiveness of a particular country were found to be significant determinants of government bond spreads, unlike banking sector indicators. Government bond spreads thus increase in response to rising debts and deficits and the loss of international competitiveness. No significant change in the composition of government bond yield determinants as a whole was found for the period after the ECB interventions, despite changes in several variables. Results of the thesis suggest that it is important to follow a sound fiscal policy and to prevent a deterioration of a country's international competitiveness in order to keep government bond spread of a particular country low.
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The role of credit rating agencies in evaluating risks
Fraňová, Jana ; Witzany, Jiří (advisor) ; Le, Simona (referee)
In this thesis I deal with role of rating agencies in the context of today's financial crisis. In particular, I focus on the segment evaluation of credit rating structured securities, the three largest credit rating agencies. The main part of this work include: financing credit rating agencies and regulation of credit rating agencies in the U.S. and the EU, securitization and the role of rating agencies and analysis of default studies of rating agencies. The last part is the comparison of default rates of structured finance segment by rating notches and comparison of volatility ratings of structured securities by rating notches selected the rating agencies. The time frame I set in the period from 2005 to 2012, which is evident during the financial crisis and its impact on changes in notches and default rates.
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