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Default Risk of Greek Government During the Crisis of 2010
Veselý, Oldřich ; Dědek, Oldřich (advisor) ; Báťa, Karel (referee)
Many people have already questioned whether Greece would default: investors, economists, politicians and general public. The Greek debt crisis has also caused a great turmoil in the EU causing fears of its spreading to other countries with poor fiscal situation in Eurozone through bond markets. Finally the rescue package was prepared for Greece consisting of EUR 110 billion loan facility from both Eurozone and IMF. We study the Greek fiscal crisis in the thesis. We try to find its real causes in the historical chapter and we also show the methodology which can be used to assess the credit risk of Greek government using bond market information and CDS contracts information. In the empirical part we study the evolution of the probability of default of Greek government during the debt crisis using parsimonious model based on the bond market information.
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Credit Derivatives Market during Recent Financial Crisis
Buzková, Petra ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Witzany, Jiří (referee) ; Dědek, Oldřich (referee)
The dissertation is composed of three empirical research papers analyzing the development on credit derivatives markets in recent years characterized by the global financial crisis in 2007- 2009 and subsequent European sovereign debt crisis. The basic motivation of the thesis is to contribute to the clarification of the turbulent development on credit derivatives markets. The first paper addresses main flaws of a collateralized debt obligation (CDO) market during the global financial crisis. The second paper examines the impact of the Greek debt crisis on sovereign credit default swap (CDS) reliability. The third paper analyzes whether a resulting change in CDS terms restored confidence in CDS contracts. An introductory chapter presents a common framework for the three papers. In the first paper, we examine valuation of a Collateralized Debt Obligation (CDO) in 2007- 2009. One Factor Gaussian Copula Model is presented and five hypotheses regarding CDO sensitivity to entry parameters are analyzed. Four main deficiencies of the CDO market are then articulated: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arising from the valuation model based on expected cash-flows and neglecting other factors such as mark-to-market losses; iii)...
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Default Risk of Greek Government During the Crisis of 2010
Veselý, Oldřich ; Dědek, Oldřich (advisor) ; Báťa, Karel (referee)
Many people have already questioned whether Greece would default: investors, economists, politicians and general public. The Greek debt crisis has also caused a great turmoil in the EU causing fears of its spreading to other countries with poor fiscal situation in Eurozone through bond markets. Finally the rescue package was prepared for Greece consisting of EUR 110 billion loan facility from both Eurozone and IMF. We study the Greek fiscal crisis in the thesis. We try to find its real causes in the historical chapter and we also show the methodology which can be used to assess the credit risk of Greek government using bond market information and CDS contracts information. In the empirical part we study the evolution of the probability of default of Greek government during the debt crisis using parsimonious model based on the bond market information.
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Development of credit derivatives trading
Kunovjánek, Robert ; Witzany, Jiří (advisor) ; Málek, Jiří (referee)
The bachelor thesis is focused on the structure and development of credit derivatives market. The thesis provides a basic summary for insight into credit derivatives market. The first part deals with general specifications of derivatives, their structure, functions and relevant categorization. The main chapter is dedicated to the most frequently used variants of credit derivatives, namely, credit default swap, total return swap and credit-linked note. Predominantly traded credit default swap indices and basic valuation of a credit risk are described in the second and third parts. The last part analyses the trend of clearing and standardization of contracts through a centralized counterparty on over-the-counter markets and summarizes the current credit derivatives market development. The main goal is to analyze the trend and regulation of contracts settlements through centralized counterparty and examine the current credit derivatives market activity.
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The analysis of the benefits of the European Rating Agency
Vaňková, Jana ; Titze, Miroslav (advisor) ; Šimíček, Petr (referee)
The main aim of this diploma thesis is to analyze benefits of the establishment of the European Rating Agency. The partial aim is to determine the influence of the credit ratings on economics situation in selected European countries and to analyze problems of current credit rating industry. A slight impact of the credit ratings on the observed countries has been found by way of the analysis of evolution of the yields of ten-year government bonds and the prices of CDS contracts on these bonds. Non-perfect competition, weak transparency of the rating process and conflict of interest are considered as the most important problems of the credit rating agencies. By way of the analysis of the ability of the European Rating Agency to remove or at least to partially eliminate discussed problems has been found that the European Rating Agency would not be able to remove all problems of the credit rating industry. The uncertainty about the independence of the European Rating Agency is the biggest weakness of this agency. For this reason, we can't expect that the European Rating Agency would be able to make the credit rating process more efficient and improve the situation in the credit rating industry.
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