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Capital Asset Price Modelling: Concept VAPM
Kuklik, Robert G. ; Janda, Karel (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research.
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Credit analysis
Plachý, Daniel ; Coufal, Libor (advisor) ; Kuklik, Robert G. (referee)
The topic of this thesis is credit analysis, whose importance is currently increasing due to instability of financial markets. The main aim is to determine how perform credit analysis of various subjects, and then to use specific methods to analyze the situation of the selected retail business company. In theoretical part, the credit process is described with a focus on credit analysis, as explained in available literature. Then the credit analysis is performed as a subject of the application part. The results are explained in detail and justified in the conclusion.
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Regulatorní arbitráž pod úmluvami Basel
Chroustovský, Jiří ; Teplý, Petr (advisor) ; Kuklik, Robert G. (referee)
Bachelor thesis deals with the phenomenon of regulatory arbitrage. The work seeks to identify opportunities for regulatory arbitrage under Basel I and Basel II accords. The aim of the thesis is to determine whether banks engaged in regulatory arbitrage, and how it affected the financial system. In examining regulatory arbitrage, it was found that the Basel I and Basel II provided a potential for regulatory arbitrage, and banks did not hesitate to engage in it. The thesis identifies that the main problem of banking regulation is the change in incentives of players in the financial markets leading to regulatory arbitrage, and consequently to a greater concentration of risk in financial markets. The work suggests a creation of the fourth pillar of the Basel accords, which would provide rules for bank resolution mechanisms. Thus, it tries to alleviate the problem of moral hazard currently present in the banking system.
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Fundamental Analysis on example of company Morgan Sindall
Martínek, Stanislav ; Musílek, Petr (advisor) ; Kuklik, Robert G. (referee)
The objective of this diploma thesis is to demonstrate the theory of fundamental analysis, summarising the theory and using British construction company Morgan Sindall as an example; satisfy the theory by applying methods to inputs and subsequently analysing the outputs. The first two sections of the diploma thesis are focused on the analysis of the company. The first section analyses the individual elements of the company. The second section applies the methods of fundamental analysis to determine the intrinsic value of the company. The third and fourth section discusses construction sector influences and global factors which impact on the value of Morgan Sindall shares. Regression analysis is applied to determine the impact of these global factors on the company's share price. This diploma thesis concludes with investment recommendations for Morgan Sindall based on the partial results of the fundamental analysis.
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Revitalization of the financial markets from the perspective of government anti-crisis interventions
Pešková, Zdenka ; Křížek, Tomáš (advisor) ; Kuklik, Robert G. (referee)
The thesis dwells on the state interventions that governments and central banks had to implement in relation to the recent financial crisis and that were focused on stabilization and revitalization of the financial sector. The most attention is dedicated to anti-crisis interventions and the subsequent development in the United States. The first part explains the principles of banking regulation, the main causes of the crisis and the way it spread. The second part illustrates the concrete anti-crisis measures - extraordinary liquidity facilities, bailouts of leading financial institutions, distressed assets buyout, quantitative easing, etc. The third part then, with the aid of market indicators, analyzes the restoration of the standard functions of financial markets and presents an overall assessment of the effectivity and the risks of the realized interventions.
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Analysis of Insurance Market in Czech Republic and Forecast of Its Development
Janeček, Martin ; Daňhel, Jaroslav (advisor) ; Kuklik, Robert G. (referee)
The main purpose of this thesis is to analyze the development of insurance market in Czech Republic between years 2000 and 2008 and make forecast of the market's development. The first chapter differs social and commercial insurance based on the way of financing and describes the basic characteristics of the commercial insurance market. The goal of the second chapter is to describe the macroeconomic conditions which where essential for the development of Czech insurance market in 90's. The scope of the third chapter is the commercial insurance market and analysis of the premium, insurance claims, insured events and number of insurance companies in the market. The goal of the final chapter is to forecast the development of Czech insurance market till 2012 based on time series analysis (premium, GDP).
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Analysis of the impact of financial crisis
Harbaľ, Daniel ; Dvořák, Petr (advisor) ; Kuklik, Robert G. (referee)
The aim of this paper is to provide an overview of the new upcoming changes in regulation and supervision of financial systems and present author's own view of the success, effectiveness and necessity of these measures in the context of the recent economic crisis. It begins with the part, which contains a description of the factors that influenced the crisis the most and discusses the means of Central Banks to intervene effectively even before the emergence of the crisis from the perspective of regulation and supervision. The second part describes newly discussed and some already adopted changes and actions in the regulation and supervision of the financial system, particularly changes in bank capital, the removal of pro-cyclicality, accounting views and the liquidity risk management. In conclusion, the author presents his views on the direction of regulation and supervision, the effectiveness of the measures taken, their ability to prevent crises in the future and at what price did they achieve the objectives in focus.
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Fundamental analysis of Komercni banka, a.s.
Havránek, Michal ; Musílek, Petr (advisor) ; Kuklik, Robert G. (referee)
My diploma thesis deals with fundamental analysis of a significant bank in Czech Republic. Fundamental analysis is focused on factors that influence the value of particular stock. The main target of fundamental analysis is to find intrinsic value which reflects the actual state and perspectives of a company. The main goal of this paper was to come with the complex valuation approach to banks and apply this approach to Komercni banka, a.s. The next goal was to deal with the specifics of the bank valuation and with the valuation during the financial crisis. I used following methods for valuation. The most recommended one is the value estimation by income approach - Discounted Cashflow Valuation, Dividend Discount Models. For usage of this method is necessary to make financial and strategic analysis of the company. The next method I used is the application of market multiples, such as Price-to-Earnings or Market-to-Book Value ratios. The last method in this paper is based on financial statements. The book value of equity is more reliable for financial institutions than for nonfinancial companies. Diploma thesis gives the complex view of the bank valuation and includes all important steps leading to high-quality valuation.
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