|
|
Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
Šimečková, Jana ; Geršl, Adam (advisor) ; Pečená, Magda (referee)
This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.
|
|
|
Modern Banking and Preference Channels
Regináč, Jozef ; Ryska, Pavel (advisor) ; Pečená, Magda (referee)
Financial markets are nowadays more important than ever. Financial crisis of the previous decade demonstrated their power to influence stability of the whole economy. Since the consensus blames weak regulation and considers the only solution to be its extension, this thesis tries to provide the proof of existence of other options. The focus is firstly aimed at the weaknesses of the fractional reserve banking, which does not follow the basic legal principles of a deposit contract. This practice results in price fluctuations and favoritism of first takers of newly created money. Moreover, the thesis develops a new method of analysis, which emphasizes the application of preferences in exchanges. Important outcome of this method is the demonstration that the public does not have to always prefer the most evolved form of institution. All institutions within commercial banks are then analyzed with the use of this method and the thesis shows where preference channels are being interfered with. This analysis also reveals another outcome of fractional reserve banking, which is that the newly created money is only used according to the preferences of commercial bankers. We suggest that circumvention of the true nature of a deposit contract leads to a similar outcome in loan banking, where funds gathered by loan...
|
|
|
CreditMetrics - its application in the Czech Republic's business environment
Čermák, Petr ; Pečená, Magda (advisor) ; Serdarevič, Goran (referee)
Credit risk is the most important risk a financial institution has to deal with. The Bank for International Settlements proposed an analytical model which allows banks to calculate capital requirements for credit risk of an investment portfolio. Also several optional models were developed by financial institutions to measure credit risk. This thesis compares two different approaches measuring credit risk: the first one, Basel II, was proposed by the Bank for International Settlements and is used by financial institutions, the other one, CreditMetrics, is an optional framework based on external rating and transition matrix. In the theoretical part, problems related to credit rating agencies are described. Furthermore, four optional models measuring credit risk, based on the Value at Risk approach, and Basel II are introduced; the focus is on their advantages, disadvantages and basic principles. However, the main goal of the thesis is the CreditMetrics framework; its assumptions, limitations, advantages and credit risk measuring procedures are described. Building on the theoretical part, a hypothetical portfolio containing Czech corporate bonds is introduced; using the Basel II approach and the CreditMetrics approach, its capital adequacy is calculated. Finally, the results of our research, in which several...
|
|
|
Bank subordinated debt and market discipline in Europe
Havlínová, Jana ; Pečená, Magda (advisor) ; Mejstřík, Michal (referee)
This paper attempts to analyze bank subordinated debt (i.e. subordinated debt issued by the banks) from the perspective of its ability to increase market discipline in banking. Doing so, we departure from the prevailing literature in this field in two regards. First, we focus on the European banking sector while majority of the research has been devoted to the US banking. Second, the paper concentrates more on direct market discipline (market control of banks' risk-taking) whereas majority of the current research deals with indirect market discipline (market signalling of bank's financial situation). We empirically test wheather the large European banks were subject to direct market discipline during the period 2001-2006. In the final part, we discuss a proposal designed to increase direct market discipline in Europe and possible costs of this policy. Powered by TCPDF (www.tcpdf.org)
|
|
|
External rating and validation
Lapešová, Michaela ; Pečená, Magda (advisor) ; Horváth, Roman (referee)
The growing importance of external rating may draw increased attention to the reliability of credit risk evaluation. The aim of this thesis is to analyze a contemporary external rating position as an instrument for evaluation of a subject's ability to meet its obligations. The study provides theoretical foundations of credit risk modeling as well as empirical application to a collected data set. For the sake of validation of a selected rating system a simple default study is presented on the basis of this data set. Limited information allows just for a brief survey of short rating history in the Czech Republic. The world rating history is comprehensive and it becomes an integral part of clients' creditworthiness assessment within the New Basel Capital Accord. With its growing importance the rating has been recently facing criticism. The thesis focuses mainly on the comments on the cyclical tendencies of rating and provides and empirical analysis using data from Visegrad group countries. Powered by TCPDF (www.tcpdf.org)
|
|
|
Loan book credit risk stress testing : survey on practice in the Czech Republic
Argayová, Šárka ; Kubíček, Martin (referee) ; Pečená, Magda (advisor)
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...
|
|
|
Portfolio investment for individual investors : (portfolio recommendations for three case studies)
Žigraiová, Diana ; Baxa, Jaromír (referee) ; Pečená, Magda (advisor)
The thesis focuses on the portfolio investment area with respect to individual investors. It discusses their investment possibilities and behavioural aspects that may be the cause of deviations in investors' behaviour from rationality and which as well have the impact on forming their investment objectives. On the three investor case studies two qualitatitive methods of asset allocation are studied, eventually dividing the content of their investment portfolios between stocks and bonds. Additionally, the extension to the traditional stock and bond allocation is performed by means of real estate, commodities and art and antiques and its appropriateness is analyzed for each case study investor. At the very end of the thesis a quantitative mean-variance optimization method of asset allocation is mentioned.
|
|
|
Informative value of the cost efficiency concept in banking
Marková, Katarína ; Mejstřík, Michal (advisor) ; Pečená, Magda (referee)
The concept of cost efficiency has repeatedly been proven to have some signaling effect for the risk of a bank failure. In this paper we examine the informative value of the efficiency scores of institutions that have been experiencing distress within the current 'subprime' crisis. For this purpose we employ the parametric stochastic cost frontier method and estimate the cost frontier of five European banking sectors using the pre-crisis data of the period 2004-2007. On a sample of 18 bailed-out institutions we then investigate whether abnormal development in terms of relative cost efficiency preceded the distress. We find that in all examined sectors, except of the British one, distressed institutions performed prior to the crisis on average worse than their peers in terms of relative cost efficiency. Besides, we observe that while the high-profile rescue cases of continental Europe (Dexia, Fortis, HRE) were preceded by years of excessively poor performance, the bailed-out British banks were in all concerns best performers within their relevant industries. The paper is concluded by a discussion of the fundamental risks that result from the current reshaping of the European banking industry. Powered by TCPDF (www.tcpdf.org)
|
|
|
Portfolio selectio : clustering algorithm approach
Jenček, Petr ; Pečená, Magda (referee) ; Baruník, Jozef (advisor)
Prices of assets (stocks, commodities etc.) are dependent on many economic factors. These factors may be explicitly known but most of them are hidden. This dependency causes that price of an asset influences prices of another assets which makes it quite complicated to select optimal portfolio. Portfolio management is usually based on various mathematic models in conjunction with Value-at-Risk model. The aim of this thesis is to provide an alternative approach for optimal portfolio selection with mutual assets' prices correlation consideration using cluster analysis.
|
|
|
New Collective Investment Possibilities in the Czech Republic (Perspective Future of Property Funds?)
Vostrovská, Diana ; Pečená, Magda (advisor) ; Jakubík, Petr (referee)
Collective investment in the Czech Republic has gone through significant development during past decades and currently plays an important role on financial markets. The amendment of the Act on Collective Investment enabled the creation of property funds, which can be set up as special funds of qualified investor funds. The study starts with the general overview of the Czech collective investment market its structure, history and present. Furthermore, legal norms which determine the conception of property funds are specified. The study draws from the experience of foreign states and mostly focuses on Germany and USA. Property funds already have their own history there. Last but not least, the main aspects of property funds business are analyzed in context of international competitive advantages by analyzing the characteristics of indirect real-estate investments, tax system, development of the local realestate market and European legislation
|
guest ::
RSS feed.