G01 - Financial CrisesNávrat zpět

Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the post-crisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant. Furthermore we proved that the determinants are dependent on the prevailing market circumstances.

The yield curve - specifically the spread between long term and short term interest rates is a valuable forecasting tool. It is simple to use and significantly outperform other financial and macroeconomic indicators in predicting recessions two to six quarters ahead. The steepness of the yield curve should be an excellent indicator of a possible future economic activity. A rise in the short rate tends to flatten the yield curve as well as to slow down real growth the near term. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of selected EU countries and the USA between the years 2000 and 2014. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 3-month bonds. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. The results showed that the best predictive lags are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to real GDP growth after financial crisis. These findings can be beneficial for investors and provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.

The aim of this paper was to compare the strategy of liquidity risk management of banks belonging to Erste Group and Societe Generale Group in the region of Central and Eastern Europe. We have used three liquidity ratios and compared values of these ratios of subsidiary banks, parent banks and corresponding banking sectors. The results confirmed that each bank has own strategy which combines defensive and offensive approaches to liquidity. In terms of sources of funding, subsidiaries are much safer than both parents bank. Concerning the buffer of liquid assets, Societe Generale as a parent bank is much more liquid than its subsidiaries and also than Erste Group Bank and its subsidiaries. Differences between values of all ratios for parent banks, subsidiaries and corresponding banking sectors are statistically significant which is proved by the analysis of variance for a single factor.

This article investigates the efficiency and potential effects of establishing European banking union. We build on recapitalizing banks model introduced by Freixas (2003) and Schoenmaker and Siegmann (2013) to capture the efficiency improvement of resolution over banks in distress. Our data contains Europe's Top 27 banks by their level of equity. Mathematical evidence suggests efficiency improvement of resolution mechanism in all of analyzed economies in referenced years (2005, 2007, 2009 and 2012). The results also confirmed initial hypothesis that the positive effects of moving from home to supranational regulation framework are much more significant in years of good economic performance.

The tolling method can be considered as an effective tool to deal with critical situations of a company in the area of cash flow. Tolling can be characterized as a non-traditional tool of working capital financing that can be used in a project dealing with a critical situation of the company, primarily in order to finance production. Financing by means of the tolling method in the Czech Republic is primarily carried out on the basis of a private investor in small or medium-sized enterprises whose business activities are in the areas of civil engineering and light engineering. The article shows the potential utilization of tolling in construction industry and it points to the risks associated with inappropriate or poorly prepared application of the tolling method.

As liquidity problems of some banks during global financial crisis showed, liquidity is very important for functioning of financial markets and the banking sector. This paper therefore aims to identify determinants of liquidity of Hungarian commercial banks. The data cover the period from 2001 to 2010. Results of panel data regression analysis show that bank liquidity is positively related to capital adequacy of banks, interest rate on loans and bank profitability and negatively related to the size of the bank, interest margin, monetary policy interest rate and interest rate on interbank transaction. The relation between the growth rate of gross domestic product and bank liquidity is ambiguous.

Hlavním cílem nové regulace pojišťovnictví, implementované pod názvem Solvency II, je ochrana pojistníků, pojištěných a oprávněných osob propojená s finanční stabilitou dohlížených pojišťovacích subjektů. Stabilizující role odvětví pojišťovnictví v tržní ekonomice bude podpořena většími požadavky na kvalitní a funkční systémy řízení rizik a na robustní systémy interní kontroly v komerčních pojišťovacích společnostech. Stěžejním záměrem tohoto příspěvku je analýza specifických cílů realizace a struktury regulatorního režimu Solvency II v rámci jeho druhého pilíře. Tento zásadní záměr je podpořen dílčí komparativní analýzou, která se zabývá srovnáním původního a nového režimu regulace pojišťovnictví, tj. Solvency I a Solvency II, v podmínkách jednotného pojistného trhu Evropské unie.
V příspěvku jsou publikovány dílčí výsledky dosažené v rámci výzkumného záměru MSM 6215648904/výzkumný směr 02 s názvem "Hlavní tendence ve vývoji konkurenčního prostředí v podmínkách integračních a globalizačních procesů a adaptace podnikatelských subjektů na nové podmínky integrovaného trhu", v návaznosti na cíle a metodiku řešení daného výzkumného záměru.

Příspěvek rozšiřuje diskusi k problematice opravných položek k úvěrovým pohledávkám bank. V posledních letech se diskuse orientuje na objektivitu účetního zachycení opravných položek a na negativní makroekonomické efekty současně používaného modelu.
Jedním z pracovních cílů Výboru pro mezinárodní účetní standardy (IASB) v roce 2012 je rozhodnout o modelu účetního zachycení opravných položek. Předmětem řešení jsou tři modely, které umožňují zachytit snížení hodnoty finančních nástrojů - model vzniklých ztrát, model očekávaných ztrát a model dynamických opravných položek.
Záměrem příspěvku je na základě popisu základních atributů modelu dynamických opravných položek rozebrat dopady případného zavedení dynamického modelu opravných položek na ziskovost bank a na požadovanou výši bankovního kapitálu.