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Modern way of calculation of CAPM coefficient: Beta hedging application
Šopov, Daniel ; Andrlíková, Petra (advisor) ; Gapko, Petr (referee)
Model CAPM je považován za základní model při oceňování systematického risku aktiv a jeho provázanosti s výnosností trhu. Tato práce využívá této struktury a použitím různých metod, mezi které patří OLS, DCC MGARCH a SSF modelovaní, se snaží najít nejvhodnější metodu z výše zmíněných, která dokáže nejlépe odhadnout koeficienty systematického risku. Tyto koeficienty jsou dále použity pro zajištění rizika portfolií, které jsou vytvořeny z akcií obchodovaných na různých burzách- NYSE Composite a NASDAQ Composite. Na základě obdržených výsledků o výkonu zajištění rizika v každém portfoliu budeme schopni vyhodnotit, která z metod je nejvhodnější pro odhad systematické risku v modelu CAPM. Klíčová slova: CAPM, Systematický risk, Portfolio risk hedge, OLS, DCC MGARCH, SSF model JEL Classification: C22, C58, G11, G12, G15 Author's e-mail: danielsopov@email.cz Supervisor's e-mail: andrlikova@gmail.com
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The role of credit rating agencies in 2008/2009 global financial crisis
Andrlíková, Petra ; Teplý, Petr (advisor) ; Půlpán, Karel (referee)
This bachelor thesis aims at the role of rating agencies in the pending economic turmoil. It explains main functions of credit rating agencies (CRAs) with the relation to the 2008/2009 global financial crisis. Furthermore, it describes the proposals and solutions to the current situation on financial markets adopted by regulatory institution in the European Union and the United States, as well as the responses of CRAs on the proposed and adopted regulation. In particular, the work suggests the level of coverage of current amendments in order to prevent such failure in the future. Moreover, the thesis discusses possible solutions and improvements of the CRA business model.
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Does the Role of the Rating Prior to the Announcement Explain Different Influence of Credit Rating Downgrades and Upgrades on Stock Prices?
Sedlář, Jan ; Andrlíková, Petra (advisor) ; Lelovská, Adriána (referee)
The thesis examines whether the role of credit rating prior to the announcement of credit rating change is the neglected factor explaining in large extent the paradox investigated in prior papers that downgrades influence the stock prices of company but upgrades not. It is motivated by the notion that credit rating changes from low credit rating classes influence the stock price of company more distinctively than changes from higher credit rating classes and there is proportionally more downgrades from low credit rating classes than upgrades. The large sample of credit rating changes including proportionally more upgrades from low credit rating classes than downgrades is collected and the results suggesting the influence of downgrades on stock prices of company and any influence of upgrades persist. Furthermore when controlled for credit rating prior to the announcement of credit rating change, magnitude of credit rating change, crossing the investment-speculative barrier, credit rating changes within and across credit rating categories, consecutive credit rating changes in the same direction and industry sector of issuer all the results are consistent with the original conclusions proposing significant stock price reaction to announcements of credit rating downgrades and no stock price response to...
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Manipulation of basel risk weights: revising the Czech banking sector
Nováčková, Tereza ; Andrlíková, Petra (advisor) ; Jakubík, Petr (referee)
This thesis provides the empirical analysis of the second Basel regulatory framework implementation in Czech banks together with the economic performance inspection of the Czech banking sector. With Basel II, banks face the possibility to implement internal models to calculate capital adequacy related to bank's risk exposure. This possibility opens a discussion of its economic effect, transparency and potential misuse of the internal models. The empirical part of this thesis examines how the profitability and the reported riskiness change with internal models implementation. Furthermore, the role of cost efficiency to bank's profitability and risk adequacy ratio is evaluated. The panel data analysis of all Czech banks over a period 2006 to 2012 demonstrates that internal models for capital adequacy calculation increase bank's profitability together with a decrease of the reported riskiness measured by risk weighted assets. Moreover, the cost efficiency has proven to be a significant indicator of both profitability and capital adequacy ratio.
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Manipulation of basel risk weights: revising the Czech banking sector
Nováčková, Tereza ; Andrlíková, Petra (advisor) ; Jakubík, Petr (referee)
This thesis provides the empirical analysis of the second Basel regulatory framework implementation in Czech banks together with the economic performance inspection of the Czech banking sector. With Basel II, banks face the possibility to implement internal models to calculate capital adequacy related to bank's risk exposure. This possibility opens a discussion of its economic effect, transparency and potential misuse of the internal models. The empirical part of this thesis examines how the profitability and the reported riskiness change with internal models implementation. Furthermore, the role of cost efficiency to bank's profitability and risk adequacy ratio is evaluated. The panel data analysis of all Czech banks over a period 2006 to 2012 demonstrates that internal models for capital adequacy calculation increase bank's profitability together with a decrease of the reported riskiness measured by risk weighted assets. Moreover, the cost efficiency has proven to be a significant indicator of both profitability and capital adequacy ratio.
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Does the Role of the Rating Prior to the Announcement Explain Different Influence of Credit Rating Downgrades and Upgrades on Stock Prices?
Sedlář, Jan ; Andrlíková, Petra (advisor) ; Lelovská, Adriána (referee)
The thesis examines whether the role of credit rating prior to the announcement of credit rating change is the neglected factor explaining in large extent the paradox investigated in prior papers that downgrades influence the stock prices of company but upgrades not. It is motivated by the notion that credit rating changes from low credit rating classes influence the stock price of company more distinctively than changes from higher credit rating classes and there is proportionally more downgrades from low credit rating classes than upgrades. The large sample of credit rating changes including proportionally more upgrades from low credit rating classes than downgrades is collected and the results suggesting the influence of downgrades on stock prices of company and any influence of upgrades persist. Furthermore when controlled for credit rating prior to the announcement of credit rating change, magnitude of credit rating change, crossing the investment-speculative barrier, credit rating changes within and across credit rating categories, consecutive credit rating changes in the same direction and industry sector of issuer all the results are consistent with the original conclusions proposing significant stock price reaction to announcements of credit rating downgrades and no stock price response to...
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Strategic Management in the Non-Profit Sector - Suggested Strategy for the Enterprise Leaders Platform
Magyarová, Markéta ; Balcar, Petr (advisor) ; Andrlíková, Petra (referee)
This work presents a case-study of application of the standard strategic framework to a specific non-profit organization in the Czech Republic. This organization is struggling with financial problems and with lack of competitive advantage. In the first part of the work, results of the external and internal audits are used to formulate a medium-term strategy for the organization. The process identified following key areas: strategic financial management, employee training and education and continuous improvement of quality of services. These areas are further developed into strategic goals and initiatives using a strategic management system Balanced Scorecard (BSC). Each perspective of BSC contains an example of the cause-effect relationship of selected initiatives. The output of the model is a matrix of scorecard measures which forms a basis for strategic management in the organization. Finally, early steps for the implementation of the Balanced Scorecard for a period of six months are identified. Title: Strategic Management in the Non-Profit Sector - Suggested Strategy for the Enterprise Leaders Platform Keywords: Strategic Management, Balanced Scorecard, Non-Profit sector, Corporate Social Responsibility JEL Classification: L19, L21, L31, M14, M19 Academic year: 2012/2013 Author: Markéta...
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Modern way of calculation of CAPM coefficient: Beta hedging application
Šopov, Daniel ; Andrlíková, Petra (advisor) ; Gapko, Petr (referee)
Model CAPM je považován za základní model při oceňování systematického risku aktiv a jeho provázanosti s výnosností trhu. Tato práce využívá této struktury a použitím různých metod, mezi které patří OLS, DCC MGARCH a SSF modelovaní, se snaží najít nejvhodnější metodu z výše zmíněných, která dokáže nejlépe odhadnout koeficienty systematického risku. Tyto koeficienty jsou dále použity pro zajištění rizika portfolií, které jsou vytvořeny z akcií obchodovaných na různých burzách- NYSE Composite a NASDAQ Composite. Na základě obdržených výsledků o výkonu zajištění rizika v každém portfoliu budeme schopni vyhodnotit, která z metod je nejvhodnější pro odhad systematické risku v modelu CAPM. Klíčová slova: CAPM, Systematický risk, Portfolio risk hedge, OLS, DCC MGARCH, SSF model JEL Classification: C22, C58, G11, G12, G15 Author's e-mail: danielsopov@email.cz Supervisor's e-mail: andrlikova@gmail.com
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