Yield Curve Dynamics: Regional Common Factor Model

In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies’ yield curves: CZK, HUF, PLN and SKK. We propose a model to capture regional dynamics purely based on state space formulation. The contribution of this paper is twofold: we examine regional yield curve dynamics and we quantify regional interdependencies amongst considered currencies’ yield curves. We conclude that the CZK yield curve possesses its own dynamics corresponding to country specific features, whereas other currencies’ yield curves are strongly influenced by the regional level, the regional slope factor or both.Dynamic Factor Model, Kalman Filter, Nelson-Siegel, State Space, Regional Yield Curve, Principal Component Analysis

Conservative Stress Testing: The Role of Regular Verification

This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, a verification, i.e. comparison of the actual values of key banking sector variables – in particular the capital adequacy ratio – with predictions generated by the stress-testing models should become a standard part of the stress-testing framework.stress testing; credit risk; bank capital

Credit Growth and Capital Buffers: Empirical Evidence from Central and Eastern European Countries

Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the “countercyclical capital bufferâ€, a macroprudential tool proposed in the new regulatory framework of Basel III by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and Eastern European countries, including the Czech Republic, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel Committee is not necessarily a suitable indicator of excessive credit growth for converging countries.Basel regulation, credit growth, financial crisis countercyclical buffer.

Credit growth and financial stability in the Czech Republic

The Czech Republic had experienced a credit boom similar to those in other converging economies in the pre-crisis years. Nevertheless, the consequences of this credit boom were limited as was the impact of the global crisis on domestic financial institutions. This paper describes the developments in the Czech banking sector and explains how the tough macroeconomic environment in the Czech Republic acted as a strong tool of macroprudential policy. It concludes that although it is difficult to tame credit booms in small converging economies, a concerted set of microprudential and macroprudential measures, including monetary and fiscal ones, may ensure some success.Banks&Banking Reform,Debt Markets,Currencies and Exchange Rates,Access to Finance,Emerging Markets

Exponential integrability of stochastic convolutions

Sucient conditions are found for stochastic convolution integrals driven by a Wiener process in a Hilbert space to belong to the Orlicz space expL2; standard exponential tail estimates follow from these results. Proofs are based on the extrapolation theory and are rather simple.</p

Implied market loss given default: Structural-model approach

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable information with help of the adjusted Mertonian structural approach. We present a derivation of the formula for expected LGD and show its sensitivity analysis with respect to other structural parameters of the company. Finally, we estimate the 5-year expected LGDs for companies listed on Prague Stock Exchange and find out, that the average LGD for this analyzed sample is around 20%. To the author's best knowledge, those are the first implied market estimates of LGD in the Czech Republic

Barrier free apartment house

Import 29/09/2010Předmětem této bakalářské práce bylo navrhnout bytový dům s bezbariérovým užíváním v Petřvaldě u Karviné. Toto město se v současné době zařadilo k rychle se rozrůstajícím celkům regionu. Prudký rozvoj zaznamenává především výstavba rodinných domů. Hlavní ideou tohoto projektu bylo vytvořit komfortní bydlení, s úsporou stavební plochy a možností bezbariérového využití některých bytů. Bytový soubor byl situován do klidové zóny města, jež je v docházkové vzdálenosti centra a je napojena na dopravní infrastrukturu. Tato práce má rozsah 190 stran, o formátu velikosti A4.The subject of this thesis was to design a residential building with wheelchair use in Petřvald in Karviná. This city is currently ranked among the fast-growing units of the region. A rapid development can be seen especially in the construction of houses. The main idea of this project was to create a comfortable way of living, space-saving construction with the possibility of barrier-free use of some flats. The flat-complex was located in a quiet area of town, which is within the walking distance of the towncentre and is connected to the transport infrastructure. This thessis contains 190 pages.Prezenční226 - Katedra architekturyvýborn