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Bankruptcy prediction modelling in the environment of V4 countries
Suchánek, Aleš ; Režňáková, Mária (referee) ; Karas, Michal (advisor)
This diploma thesis is focused on the construction of a new bankruptcy model designed for small and medium-sized enterprises in the construction industry in the environment of the Visegrad Four countries. The first part of the thesis is focused on defining the concepts of bankruptcy, bankruptcy model and their placement in the historical context, followed by a description of selected bankruptcy models, a brief description of the construction industry and an analysis of constuction sector. In the practical part, the reliability of selected bankruptcy models is tested and then a new bankruptcy model is constructed.
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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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Bankruptcy prediction modelling in the environment of V4 countries
Suchánek, Aleš ; Režňáková, Mária (referee) ; Karas, Michal (advisor)
This diploma thesis is focused on the construction of a new bankruptcy model designed for small and medium-sized enterprises in the construction industry in the environment of the Visegrad Four countries. The first part of the thesis is focused on defining the concepts of bankruptcy, bankruptcy model and their placement in the historical context, followed by a description of selected bankruptcy models, a brief description of the construction industry and an analysis of constuction sector. In the practical part, the reliability of selected bankruptcy models is tested and then a new bankruptcy model is constructed.
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Default of time in business transactions and its consequences
Kucejová, Zuzana ; Patěk, Daniel (advisor) ; Eichlerová, Kateřina (referee)
Default in commercial obligations and its consequences Summary I chose the topic default in commercial obligations and its consequences because I would like to be devoted primarily in private law in my future career and I consider the deal with this topic in detail very useful. Default in commercial obligations is very common phenomenon. It can cause huge problems in the economic situation of the subjects that are within the applicability of the Commercial Code. It is necessary to govern the consequences of default to mitigate the impact of a breach of an obligation on parties of the commercial obligations and to punish the party that breaches an obligation. Also the legislation compel the parties to a contract to fulfil their obligations. The purpose of my thesis is to analyze the topic default in commercial obligations and its consequences, draw attention to some deficiency of the legal regulation and to suggest an amendment of legislation. The thesis is composed of two chapters. Chapter One deals with concept and nature of default in commercial obligations, it consists of two parts. First describes the conception of debtor in default and second conception of creditor in default. Chapter Two is concerned with the consequences of the default and it is subdivided into seven parts. Each part focuses on...
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Portfolio diversification on P2P loan markets
Polák, Petr ; Skuhrovec, Jiří (advisor) ; Džmuráňová, Hana (referee)
This thesis presents ways how investors can construct optimal portfolios on on-line peer-to-peer lending platforms. Thesis uses standard portfolio theory and unique dataset from Lending Club platform of over 886 thousand loans issued since 2008 till the end of 2015. Firstly, this thesis shows that there is a non- zero covariance between loans from different credit grades and it is necessary to include it in portfolio management optimization. Secondly, the thesis with the help of a logistic regression identifies loan default determinants. Using the default predictions, the portfolio performance can be improved significantly. Thirdly, the thesis simulates diversification benefits stemming from investing into multiple loans. Powered by TCPDF (www.tcpdf.org)
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Using Rating in Regulation Practice
Řehořová, Monika ; Blahová, Naďa (advisor) ; Metrah, Samy (referee)
This master thesis deals with the issue of using rating in the context of determining capital requirements. The focus is on using the Standardised Approach and the Internal Rating-Based Approach to calculate credit risk capital requirements. Different approaches to managing the risk and evaluating the capital adequacy. Criticism of rating agencies as well as the complexity of Internal Rating-Based Approach is taken into account. Furthermore, the thesis discusses the issue of responsibility of external rating agencies for their evaluations, and together with the issue of lacking competition. Various alternatives to external rating are discussed. The internal rating process is discussed in more detail along with the factors which affect rating evaluations of exposures to various entities. Subsequently, the thesis focuses on determining the rate of provision for impairment expected losses on receivables, and a possible impact of accepting IFRS 9 on capital adequacy.
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Comparison of economic crises 1998 and 2014 in the Russian Federation
Noskov, Nikolay ; Brada, Jaroslav (advisor) ; Metrah, Samy (referee)
This bachelor thesis deals with the comparison of two crisis events in 1998 and 2014 in Russia. The thesis is designed in such a way that the comparison is carried out considering the evolution of the economy with defining the main problems of the economic model, which were then included in the assumptions of these crises. The work is particularly important in terms of understanding the essence of economic problems in different time periods and their subsequent comparison. It answers the question if Russia has made some progress during its existence and if the government's approach to economic planning and development priorities has changed. The aim of the thesis is to carry out a complex analysis of each case considering the evolution of the economy and their subsequent comparison based on the knowledge gained during the elaboration of the work. The first chapters contain a theoretical view on the crisis issue. Next parts include the analysis of the state economy in pre-crisis periods and detailed research of each crisis. The thesis works extensively with the data for the period 1992-2015 by means of graphic, correlation and regression analysis. In the final parts of my work I present the comparison with the classification of the characteristics of the two events to the same and different ones and provide my own recommendations regarding the future development. The result of the thesis is the conclusion that Russia is still experiencing structural problems in the economy and with the passing of time it has only changed their character. In both cases, the overall economic model, which has been formed for several years in a row, seemed to be the main prerequisite for a breach of stability.
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Too sovereign to fail
Bergerová, Tereza ; Šíma, Ondřej (advisor) ; Pour, Jiří (referee)
This bachelor thesis aims on a comparison of market and government failures. There are many causes of market failure. In this thesis, there are described externalities, monopoly, public goods and asymmetric information. Government failure may be caused by many factors, this work focuses on bureaucracy, lobbyists, rent-seeking and political and economic cycle. All these causes of market and government failures are shown on real instances. One chapter discusses a real case called H-System, which perfectly shows the compatibility of market and government failure. Very important is the comparison of the default of a government and a firm as well. When a firm goes bankrupt, it does not exist anymore. On the contrary, if a state defaults, it still exists. A state is too sovereign to fail - it is too strong, powerful and irreplaceable to fail.
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Credit default swaps
Veselý, Vladimír ; Pečená, Magda (advisor) ; Benčík, Daniel (referee)
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products. The next section deals with the historical development of credit default swaps, regulatory actions taking place in recent years and market changes. Finally, the study points out the possibilities of the credit default swap pricing either by Hull-White model, par asset swap or linear regression. The thesis should help the reader to understand basic issues concerning credit default swaps. Keywords Credit default swap, credit risk, credit event, central counterparty, asset swap spread Length of the thesis 65 231
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Liquidity risk under Basel III in the EU
Mošnová, Alžběta ; Teplý, Petr (advisor) ; Doležel, Pavel (referee)
In order to address the deficiencies in the banking regulation revealed by the recent financial crisis the Basel III introduces two minimum standards for funding liquidity, Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). The goal of this thesis is to analyze whether the NSFR is defined optimally or whether the Basel Committee on Banking Supervision (BCBS) will be forced to relax NSFR conditions similarly as happened by the LCR. Based on the approximation of the NSFR between 2007 and 2012 for a sample of 3 128 European banks we test the ability of banks to satisfy the NSFR. Our results suggest that the European banks have not started to converge to the NSFR yet. Despite this fact they should not have problems with meeting this requirement as 40.3% of banks in our sample would have already satisfied the NSFR in 2011. A Probit model analysis suggests that the NSFR requirement will decrease the probability of bank defaults and therefore increase the stability of the banking sector in the future which proves that the NSFR is correctly specified. Moreover, a simple stress testing shows that the stability of the system would not be improved anymore if the NSFR was defined more strictly. The current version of the NSFR therefore seems to be optimal and in our opinion should be...
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