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Importance and development of stress tests of banks in Czech Republic and the EU
Štefančíková, Michaela ; Radová, Jarmila (advisor) ; Rybák, Zdeněk (referee)
This thesis deals with the stress testing of banks in Czech Republic and the EU. The first part discusses the financial stability. Attention is paid mainly to different opinions of financial institutions and other experts. The first part includes the financial stability assessment tools of two major financial institutions that deal with financial stability (IMF and ECB). The second part is devoted to one the specific assessment tool for financial stability - stress testing. Stress testing part targets to include the latest theoretical knowledge that are related to stress testing. The third part deals with the stress testing of the banking sector in the Czech Republic and examines the evolution of stress scenarios and methods of stress tests, which are the responsibility of CNB. The fourth part analyzes in detail the stress scenarios and the results of stress tests of the banking sector in the Czech Republic. The last part of the thesis is devoted to the analysis of stress tests of the EU banking sector.
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The Interaction and Compatibility of Monetary and Macroprudential Policy in the Czech Republic
Pfeifer, Lukáš ; Ježek, Tomáš (advisor) ; Mandel, Martin (referee) ; Czesaný, Slavoj (referee)
The thesis deals with the interaction of monetary and macroprudential policy, or with the compatibility of the objectives of these policies in the Czech Republic. The main attention is given to the use of interest rate instruments for the purpose of achieving financial stability during the accumulation phase of cyclical dimension of systemic risk. For this purpose the crucial item is the relationship of financial and price stability in the economy. On the Czech economy data is therefore tested the relationship between credit activity and asset prices, to be subsequently quantified the relationship between the prices of selected assets and consumer prices. The model results open the door to greater use of industrial producer price index for the coordination of monetary and macroprudential policy. The thesis for the same reason also recommends continuing research into the development of the general price level during the financial cycle.
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Financial analysis of the company Sapeli
Trčková, Ivana ; Boukal, Petr (advisor) ; Machek, Ondřej (referee)
This bachelor's thesis is focused on financial analysis of the company Sapeli and it compares financial health between 2008 and 2012. The thesis is divided into four parts - introduction, theoretical part, practical part and conclusion. Introduction contains basic information about the work. The used methods and practices of financial analysis are summarized in the methodological section. This section is followed by the practical part, which contains calculated and commented ratio indicators and evaluation of value models and bankruptcy models. In conclusion of this bachelor's thesis are summed up results of financial analysis and proposed recommendations.
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Bank Competition and Financial Stability: Much Ado about Nothing?
Havránek, Tomáš ; Žigraiová, Diana
The theoretical literature gives conflicting predictions on how bank competition should affect financial stability, and dozens of researchers have attempted to evaluate the relationship empirically. We collect 598 estimates of the competition-stability nexus reported in 31 studies and analyze the literature using meta-analysis methods. We control for 35 aspects of study design and employ Bayesian model averaging to tackle the resulting model uncertainty. Our findings suggest that the definition of financial stability and bank competition used by researchers influences their results in a systematic way. The choice of data, estimation methodology, and control variables also affects the reported coefficient. We find evidence for moderate publication bias. Taken together, the estimates reported in the literature suggest little interplay between competition and stability, even when corrected for publication bias and potential misspecifications.
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Efficiency of regulation models in financial markets in environment of monetary policy changes.
Stehlík, Jan ; Štekláč, Jiří (advisor) ; Titze, Miroslav (referee)
This paper examines models of supervision and regulation over the financial market and their impact on volatility of interest rates according to monetary policy changes. Its goal is to judge if some of these models aren't less effective and cause higher volatility and if the assumption of market stability is provided. It looks into monetary policy changes and their impact on financial market, interest rates and their development in time of these changes. It analyzes correlation of monetary policy and financial market and gives characteristics of each of regulation models. Using the method of graphical analysis, this paper compares reactions of short- and longterm interest rates (Treasury bills and 10years government yields) in relevant countries during monetary change applications. It examines also official offered rate and real interbank rate and its' spreads. As indicator of financial market stress is used Libor-OIS spread. It evaluates the influence of models used in different countries in each given situation.
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Macroprudential Policy and Its Instruments in a Small EU Economy
Frait, Jan ; Komárková, Zlatuše
This paper focuses on the way the macroprudential policy framework in a small EU economy should be designed. With reference to the experience of the Czech Republic’s financial system and the Czech National Bank it provides definitions of financial stability and macroprudential policy as well as of their objectives. It then explains how systemic risk evolves over the financial cycle and outlines approaches to preventing systemic risk in the accumulation stage of the cycle and subsequently mitigating the materialisation of such risk if prevention fails. The paper argues that for the establishment of a macroprudential policy framework in a bank-based economy with a relatively simple and small financial sector, the phenomenon of procyclical behaviour has to stand centrally. Correspondingly, a macroprudential authority in such an economy has to look primarily at cyclically induced sources of systemic risks. Nevertheless, structural sources of systemic risks and associated instruments are discussed as well. The arguments for the recommended arrangements are supported by empirical investigations into the extent of procyclicality in European banks’ lending behaviour and the contribution of the regulatory and accounting framework to it. JEL
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Models for Stress Testing in the Insurance Sector
Komárková, Zlatuše ; Gronychová, Marcela
The project is focused on top-down stress testing of the Czech insurance sector. The aim of the present paper is to describe the advanced method for macro stress testing of insurance companies used by the CNB. We apply the presented stress test to eleven Czech insurance companies. The shocks applied are designed to replicate a macroeconomic scenario and to impact on both the asset and liability sides of the balance sheet. We consider both investment and insurance risks relating to the Czech insurance sector. An application of the simulated scenario to the Czech insurance sector illustrates that the sector is sufficiently resilient and stable.
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Inter-company comparison
SOCHOROVÁ, Andrea
The main objective of this work is to perform inter-company comparison of five banking institutions using the single - and multi-criterial criterial methods in the period before and after the Global financial krizi.Na main objective ties secondary objective, which is concerned with the financial stability of the financial sector in the Czech Republic on the basis the results of stress tests performed by the Czech national Bank.
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