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Loan book credit risk stress testing : survey on practice in the Czech Republic
Argayová, Šárka ; Pečená, Magda (advisor) ; Kubíček, Martin (referee)
Stress testing is a general term for framework that can assess possible impact of an adverse shock on the financial health and a capital adequacy of a financial institution or whole financial system. Because credit risk is typically the most important risk for a bank and many international surveys describe the credit risk stress testing as one of the least developed, it is be the main topic of this thesis. The thesis concentrates on the micro level stress tests that are run by each individual bank. It describes the whole credit risk stress testing procedure, Basel II regulatory requirements, the importance for an institution and offers examples of stress tests. The first significant contribution to the topic is a survey of the practice in the mayor Czech banks that analyze whether they are influenced in their credit risk stress testing framework by their parents or the supervisory institution, whether the stress techniques and scenarios vary across the Czech banks considerably and whether the scenarios changed in some way before or during the current crisis. The other contributive part contains a model of stress test on a real corporate credit portfolio of one Czech bank, which uses data on PD for different level of segmentation of this portfolio. The scenarios used are the most actual forecasts of the...
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The Interest Rate Pass Through during the Crisis: Evidence from Slovakia
Ševcech, Marián ; Havránek, Tomáš (advisor) ; Pečená, Magda (referee)
The effectiveness of interest rate pass-through is crucial when shaping monetary policy. In this paper we use error correction framework in order to estimate the speed and the completeness of pass through in Slovakia. Our thesis brings a unique research on how the financial crisis and Euro adoption affect the pass-through. In Slovakia those events occur at the same time; we attempt to distinguish between what phenomenon has greater impact. We also distinguish between what bank characteristics have impact on individual bank's spread during financial crisis. Our results suggest that the interest rate pass-through completeness increases in long term. We however found evidence of decreasing pass-through in case of deposit rates during crisis. Banks are unwiling to lower them and hence harm their competitve position. The pass-through in Slovakia is found to be relatively fast and consistent throughout periods. With the crisis, the speed for mortgages rates however decreases. We conclude that the impact of financial crisis outweights the impact of Euro adoption. Concerning the banks' characteristics, we conclude that higher portion of loans on assets, higher costs over income and better liquidity position decrease the spread. This is explained by the size of Slovakian banking market; banks lower their spread to...
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Do changes in the Interest Rate impact the Housing Prices?
Vorobey, Nataliia ; Horváth, Roman (advisor) ; Pečená, Magda (referee)
The aim of this thesis is to examine the impact of the interest rate change on the housing market. We are using the quarterly data for GDP, consumption, investment, housing prices, short-term interest rate and unemployment to estimate two VAR models. The extended model contains all the variables just mentioned and for the estimation of the base model consumption and the unemployment rate is excluded. Our sample consists of Belgium, France, the Netherlands, Portugal, Sweden and the United Kingdom. We present the impulse responses of the housing price and GDP to a shock in the interest rate and variance decompositions of the housing price index. The results show that the changes in the interest rate can explain the evolution of the housing price index. However, the impact differs from country to country. Keywords: housing price index, short-term interest rate, overvaluation, VAR model, impulse response, variance decomposition.
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Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
Marković, Jelena ; Pečená, Magda (advisor) ; Adam, Tomáš (referee)
MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.
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Performance of Private Equity Backed IPOs: Evidence from European Market
Říha, Jakub ; Fencl, Tomáš (advisor) ; Pečená, Magda (referee)
This thesis investigates the performance of private equity backed IPOs. We have examined the European market in the period between 2000 and 2017 when the IPO activity experienced enormous growth. The main task was to assess whether the PE-backed IPOs evince superior performance when compared to their non-sponsored peers and the market. Further, we have examined the effect of the so-called valuation drivers on the IPOs' performance. To assess the IPOs' performance, we used the buy-and-hold abnormal returns with bootstrapped skewness adjusted t-statistics. In case of the valuation drivers' effect, OLS regression was applied. The main findings were that the PE-backed IPOs in Europe overperforme the market, mainly due to IPOs in the UK and Western Europe. The PE-sponsored IPOs also overperforme their non-sponsored peers, mainly due to IPOs in the UK, Western and Northern Europe. In case of the valuation drivers, we observed several significant correlations, however, their explanation power was negligible.
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Development strategy of commercial banks
Zheng, Yuye ; Janda, Karel (advisor) ; Pečená, Magda (referee)
In this article, we analyze the key factors that determine the net interest margin (NIM) of EU commercial banks in the current economic environment. We examine a large number of annual data samples of 252 commercial banks in EU member states from 2015 to 2020. During this period, most countries experienced extremely low or even negative interest rates. In this article we test three hypotheses. First, commercial banks committed to providing financial products and services show the highest net interest margin (NIM). Second, the net interest margin of small commercial banks has dropped significantly under conditions of negative interest rate. Third, the net interest margin of Western European countries has dropped significantly under conditions of negative interest rate. Similar to other studies, we have obtained the positive-concave relationship between interest rates and NIM, and the regression coefficients of other bank-related variables and macroeconomic variables have also achieved similar results. Compared with other studies, we innovatively consider the impact of countries with different economic levels on the net present value of commercial banks. Finally, we comprehensively regress the results and conclude what development strategies commercial banks should use in the current economic...
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Remittances: the service provider perspective
Zika, Jan ; Cahlík, Tomáš (advisor) ; Pečená, Magda (referee)
The thesis examines international remittances (i.e. cross-border pavments sent by migrant workers) front the perspective of existing or potential Service providers. It explains their economic significance and irnpact, characterizes the consumers involved with remittances and their behavior, describes the remittance process. and classifies and compares remittance transfer mechanisms. It also analyzes globál remittance flows and the consumers' cost. Fuithermore. it summarizes the results of remittance provision rnarket research, reviews representative examples of existing Services, and identifies categories of providers. The thesis then evaluates the strategie positions of existing types of Services, and identifies factors that shoukl distinguish successful providers. Finally. it assesses the business opportunity for new technology providers.
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Calculation of capital requirements for secured loans according to the rules of the new basel capital accord
Kališová, Lucia ; Pečená, Magda (advisor) ; Mejstřík, Michal (referee)
This diploma thesis deals with the calculation of capital requirements for secured loans according to the rules of the New Basel Capital Accord. Within this context we ask a question in the introduction whether more sophisticated approach leads to lower capital requirements. In the next chapter we describe credit risk and different types of collateral used for credit risk mitigation. Then we provide detailed explanation of different approaches of the Basel Accord, concretely simple and comprehensive approach of Standardized Approach and foundation and advanced approaches of Internal Rating Based Approach. The main part of the thesis is application of these approaches on a simulatedportfolio. By comparison of results we get a positive answer to our question.
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Modeling default probability and Individual loan price construction for small and medium companies
Semianová, Kateřina ; Pečená, Magda (advisor) ; Derviz, Alexis (referee)
This thesis is focused on modelling credit risk linked with granting smáli business credits. Research on corporate credit risk modeling for privately held companies is rather limited due to lack of publicaly available data. Main topič of this study is individual loan pricing related to the risk profile of those subjects. First part is concentrated on theoretical background of individual rate construction. This rate is based on risk prémium and a Capital requirement related with clienťs individual risk profile and námely with his probability of default. The remainder is devoted to the extensive empirical study supported with representative dataset of US smáli business companies. Middle part introduce several alternativě PD scoring methodologies. Finál partition is dedicated to individual interest rate construction and simulation of interest income. The main objective is to demonstrate doubtless advantages of individual rate construction against charging regular rates.
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