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Energy Performance Certificate as One of Mortgage Default Determinants in the Czech Republic
Strašlipka, Jakub ; Pečená, Magda (advisor) ; Švéda, Josef (referee)
This thesis examines effects of buildings' energy efficiency, approximated by energy performance certificates, on default probabilities of mortgages in the Czech Republic. Data for the analysis is provided by a large Czech bank - cleaned sample contains information on 125 641 loans and is split into three groups based on collateral energy performance. Logit regression is employed for calculation of default probabilities and variations in conventional default predic- tors are controlled for. It is shown that mortgages on properties with certificate classes A, B have lower probabilities of default than those with certificate classes C, D by 7.1 bp (about 40%), ceteris paribus, whereas no statistical difference is found between default probabilities of mortgages on properties with classes C, D and those with classes E, F, G. The results can be considered by local banks in creation of climate risk management frameworks or in assessments of policies' impacts, or by other stakeholders in managing their expectations from banks. Due to partial use of the bank's internally estimated certificate proxies in the analysis and inconclusive results in a subsample of official certificates, follow-up research to confirm this thesis' findings is recommended.
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ETFs: Analysis of Timing and Length of Investment
Polanka, Martin ; Čech, František (advisor) ; Švéda, Josef (referee)
This bachelor's thesis provides an analysis of the effect of timing and length of investment on return with the use of ETF data. The results show evidence that both variables are affecting returns. The author found a positive relationship between the length of an investment horizon and the probability of a positive return, as well as significant differences in return among different starts of investments. Further, the author describes ETF in the context of similar investment instruments such as other types of funds and exchange-traded products with their main benefits and drawbacks.
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Credit risk stress testing of the Czech banking sector
Vachušková, Karolína ; Pečená, Magda (advisor) ; Švéda, Josef (referee)
This thesis aims to describe stress testing in the Czech banking sector focusing on the most significant banking risk, which is credit risk. The thesis examines the difference between regulatory and internal stress testing, compares their assumptions, outcome quality and usability. It deals with the regulation of stress tests, which banks must fulfil. Further, it uses the current Covid-19 crisis as a test of whether the adverse scenarios used are sufficiently severe to cover the risks for and impacts on the actual negative development of the economy. This analysis assesses the Czech banking sector's readiness and resilience and includes the reactions of banks and the Czech authorities to increasing risks.
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Do markets believe in austerity? Did they ever believe?
Švéda, Josef ; Baxa, Jaromír (advisor) ; Hlaváček, Michal (referee)
We assess the effects of austerity announcements on investors' perception of the government's solvency across the financial cycle. To do so, we construct a unique news dataset utilizing a newswire database which consists of governmental and parliamentary approvals of austerity measures for 11 European countries. We also follow more regular statements of governmental representatives towards austerity measures. The effects are studied on 10-year sovereign bond yield spreads vis-à-vis Germany during the period 01:2000-12:2019. Implementing pooled OLS regressions, we find significant decreasing effects in the pre-crisis period especially for the GIIPSH group (Greece, Ireland, Italy, Portugal, Spain, and Hungary) and decreasing although not significant effects in the post-crisis period. The crisis period manifests itself with increased surprise effects of announcements. The markets adopted announcements of the GIIPSH group as signals of deteriorating solvency which led to further increases of yield spreads. On the other hand, prudent countries (Czechia, France, Netherlands, Poland, and Slovakia) enjoyed a low sensitivity to their announcements across the cycle. Finally, we find that markets react rather on final announcements of austerity measures than to comments expressed by national representatives....
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The Mašín Myth. Ideologies in Czech Literature and Culture since the Second Half of the 20th century until the Present Day
Švéda, Josef ; Janoušek, Pavel (advisor) ; Bílek, Petr (referee) ; Bauer, Michal (referee)
This dissertation analyses narratives of the Mašín brothers and their father, Josef Mašín senior. The Mašín brothers established what they called 'a resistance group' against the Communist regime in Czechoslovakia, which between 1951 and 1952 killed three people. The brothers, alongside the other member of the group, Milan Paumer, escaped from the country in 1953, heading for the Western sectors of Berlin. Despite more than 20,000 East German and Soviet troops hunting them, the group reached West Berlin safely. Later, the brothers went to the USA where they joined the U.S. army. The dissertation analyzes a whole range of discourses including newspaper articles, historical papers, books, detective stories, novels, memoirs and also one episode of the Czechoslovak television series, Třicet případů majora Zemana ('Major Zeman's Thirty Cases'), entitled Strach ('Fear'), from 1975. The dissertation is conceptually embedded in cultural studies and critical theory. Drawing on Roland Barthesʼs work on mythologies, Hayden Whiteʼs theory of history and Slavoj Žižekʼs theory of ideology, the dissertation considers the relationship of the Mašín brothersʼ narrative representations with respect to the dominant ideology of the time. The first chapter of the dissertation deals with narratives produced in Communist...
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