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Analysis of p2p platform lending
Rolák, Martin; Radová, Jarmila; Rajl, Jiří
2017 - English
Předmětem diplomové práce je popsat vývoj p2p platforem v USA, které zprostředkovávají p2p půjčky. Nejprve jsou porovnány obchodní modely obchodních bank a platforem. Dále jsou diskutovány jejich role v současném monetárním systému. Druhá část práce analyzuje trh p2p půjček, jeho rozmach a trendy. Třetí část srovnává výnosy p2p půjček s tradičními aktivy jako jsou akcie, dluhopisy či komodity v období 2011-2016. Poslední část práce se zabývá analýzou dat p2p půjček, které jsou zveřejněny platformou Lending Club. The subject of this thesis is to map the development of p2p lending in the US. Firstly, we compare the different business models and roles in the current monetary system of commercial banks and p2p platform lenders. The structure as well as trends of p2p lending industry are described. The returns of p2p loans are compared with traditional assets such as bonds, stocks and commodities in the 2011-2016 period. The last part of the thesis examines the loanbook of the most prominent p2p platform lender, Lending Club.
Keywords:
p2p půjčky; Lending Club; platforma; p2p lending; platform; Lending Club
Available in digital repository of the Library of University of Economics.
Analysis of p2p platform lending
Předmětem diplomové práce je popsat vývoj p2p platforem v USA, které zprostředkovávají p2p půjčky. Nejprve jsou porovnány obchodní modely obchodních bank a platforem. Dále jsou diskutovány jejich role ...
Algorithmic Trading of Pairs
Razumňak, Michal; Stádník, Bohumil; Fučík, Vojtěch
2017 - English
Párové obchodování je velmi dobře známou obchodní strategií založenou na statistické arbitráži. Tato strategie využívá krátkodobé odchýlení střední hodnoty poměru cen dvou vysoce korelovaných akcií ze stejného sektoru jako příležitost k otevření pozice. Následně očekává, že až se poměr cen vrátí ke své původní střední hodnotě, dojde k uzavření pozice. Jedná se o strategii využívanou již mnoho let a cílem této práce bylo otestovat, zda tato strategie dokáže být profitabilní i v aktuálních tržních podmínkách. Byly využity data počínající rokem 2010 až do dubna 2017 na všech akciích, které jsou obsaženy v indexu S&P 500. Nakonec bylo na základě historických dat potvrzeno, že oproti náhodně obchodujícímu agentovi dokázala strategie párového obchodování vygenerovat profit 25x vyšší. Tudíž lze stále považovat párové obchodování za profitabilní strategii. Pair trading is a well-known strategy based on statistical arbitrage. This strategy uses a short-term deviation from the mean value of the price ratio of two highly correlated stocks from the same sector as the opportunity to open a position. When ratio returns to its mean value again, the position closes. This strategy has been used for many years and the main outcome of this thesis was to test whether this strategy can be profitable even in current market conditions. For that purpose, data ranging from 2010 to April 2017 on all stocks included in the S&P 500 index were used. It was subsequently found that a pair trading strategy generated 25x higher absolute profit in comparison to random agent. Thus, it can still be considered as a profitable strategy.
Keywords:
back-testing; kvantitativní obchodování; algoritmické obchodování; párové obchodování; back-testing; algorithmic trading; pair trading; quantitative trading
Available in digital repository of the Library of University of Economics.
Algorithmic Trading of Pairs
Párové obchodování je velmi dobře známou obchodní strategií založenou na statistické arbitráži. Tato strategie využívá krátkodobé odchýlení střední hodnoty poměru cen dvou vysoce korelovaných akcií ze ...
Dynamics of Exchange Rates in Selected Emerging Markets in Risk-on/Risk-off Periods
Ivanov, David; Brůna, Karel; Šíma, Ondřej
2017 - English
This thesis focuses on exchange rates dynamics in Mexico, Turkey and South Korea. We examine the capital flow development in mentioned countries and currency dynamics of the Mexican Peso, Turkish Lira and Korean Won. The main goal of the paper is to evaluate the performance of these currencies in risk-on and risk-off episodes on a sample period from 1997 until 2016. We use analysis and comparison as a methodology for this paper, emphasizing on the relationship and causality between capital flow and exchange rates. We shall reveal that the examined currencies depreciate in risk-off periods and only the Korean Won appreciates in risk-on periods. This thesis focuses on exchange rates dynamics in Mexico, Turkey and South Korea. We examine the capital flow development in mentioned countries and currency dynamics of the Mexican Peso, Turkish Lira and Korean Won. The main goal of the paper is to evaluate the performance of these currencies in risk-on and risk-off episodes on a sample period from 1997 until 2016. We use analysis and comparison as a methodology for this paper, emphasizing on the relationship and causality between capital flow and exchange rates. We shall reveal that the examined currencies depreciate in risk-off periods and only the Korean Won appreciates in risk-on periods.
Keywords:
Emerging Markets; Balance of Payments; Risk-On/Risk-Off; Exchange Rates; Capital Flow; Emerging Markets; Capital Flow; Balance of Payments; Risk-On/Risk-Off; Exchange Rates
Available in digital repository of the Library of University of Economics.
Dynamics of Exchange Rates in Selected Emerging Markets in Risk-on/Risk-off Periods
This thesis focuses on exchange rates dynamics in Mexico, Turkey and South Korea. We examine the capital flow development in mentioned countries and currency dynamics of the Mexican Peso, Turkish Lira ...
Does risk management influence performance of E-commerce SME’s?
Goncalves, António; Brůna, Karel; Šíma, Ondřej
2017 - English
Global Savings Group - Rocket Internet SE venture currency risk management exposure. This thesis covers the theory around currency risk management, putting it into practice with the real case of GSG currency risk exposure. In the end I aim to verify if currency risk affects the performance of SMEs, and if such type of companies (in this case the GSG) are aware of such exposure and if they adopt any strategies in order to reduce such exposure. Global Savings Group - Rocket Internet SE venture currency risk management exposure. This thesis covers the theory around currency risk management, putting it into practice with the real case of GSG currency risk exposure. In the end I aim to verify if currency risk affects the performance of SMEs, and if such type of companies (in this case the GSG) are aware of such exposure and if they adopt any strategies in order to reduce such exposure.
Keywords:
Hedging; Currency risk management; Global Savings Group; Currency risk exposure; Global Savings Group; Hedging
Available in digital repository of the Library of University of Economics.
Does risk management influence performance of E-commerce SME’s?
Global Savings Group - Rocket Internet SE venture currency risk management exposure. This thesis covers the theory around currency risk management, putting it into practice with the real case of GSG ...
Changes of financial system in the context of financial crisis
Karan, Boris; Šíma, Ondřej; Pour, Jiří
2017 - English
In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial crises and, on the other hand, how the occurrence of financial crises shape the core elements of the financial system. We start by defining the financial crisis from three different perspectives. After it, we present the comprehensive history of financial crises that will allow us to continue by drawing some common patterns that are universal. Universal patterns in crises give us the ground for contemplating on some universal policy responses where we again follow different approaches. Taking into account the specifics of modern times and using the young and promising economy based on the blockchain, we are asking the question is this time different?. Analysis of initial development steps in the digital, trustless world gives us the basis for drawing parallels with the reality and the history. Our results suggest that there are many similarities throughout history and between the real and digital world. Instead of providing an exact answer on the question is this time different we conclude that there is a present strong feeling of Deja vu. In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial crises and, on the other hand, how the occurrence of financial crises shape the core elements of the financial system. We start by defining the financial crisis from three different perspectives. After it, we present the comprehensive history of financial crises that will allow us to continue by drawing some common patterns that are universal. Universal patterns in crises give us the ground for contemplating on some universal policy responses where we again follow different approaches. Taking into account the specifics of modern times and using the young and promising economy based on the blockchain, we are asking the question is this time different?. Analysis of initial development steps in the digital, trustless world gives us the basis for drawing parallels with the reality and the history. Our results suggest that there are many similarities throughout history and between the real and digital world. Instead of providing an exact answer on the question is this time different we conclude that there is a present strong feeling of Deja vu.
Keywords:
Smart contracts; Ethereum; Blockchain; Financial system; Financial crisis; Smart contracts; Ethereum; Financial system; Blockchain; Financial crises
Available in digital repository of the Library of University of Economics.
Changes of financial system in the context of financial crisis
In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial ...
Tax avoidance and Credit Rating association
Orlova, Daria; Watrin, Christoph; Molín, Jan
2017 - English
In this research, I present the analysis of the relationship between credit rating and tax avoidance. I found out that the lower the cash effective tax rate the stronger the association with credit rating. Sensitivity analysis showed that the probability of falling into more favorable credit rating category is increases and the probability of falling into less favorable category decreases if cash effective tax rate increases at least by 1%. Also, the negative association between book-tax differences and credit rating found. In this research, I present the analysis of the relationship between credit rating and tax avoidance. I found out that the lower the cash effective tax rate the stronger the association with credit rating. Sensitivity analysis showed that the probability of falling into more favorable credit rating category is increases and the probability of falling into less favorable category decreases if cash effective tax rate increases at least by 1%. Also, the negative association between book-tax differences and credit rating found.
Keywords:
Tax avoidance; Credit rating; Book-tax differences; Cash effective tax rate; Book-tax differences; Ta avoidance; Credit rating; Cash effective tax rate
Available in digital repository of the Library of University of Economics.
Tax avoidance and Credit Rating association
In this research, I present the analysis of the relationship between credit rating and tax avoidance. I found out that the lower the cash effective tax rate the stronger the association with credit ...
International Organizations and Their National Branches: The Case of UNICEF and the Slovak National Committee for UNICEF
Halabrínová, Michaela; Dvořáková, Vladimíra; Vymětal, Petr
2017 - English
Since its establishment, UNICEF has been providing development and humanitarian aid in various regions of the world. Firstly, the aid was given to regions damaged by the Second World War. Nowadays, the aid is given to regions hit by natural disasters, wars, famine or diseases. In 2016, UNICEF celebrated 70th anniversary of its existence. In order to maintain its worldwide scope of performance for such a long time, it created a top-bottom organizational structure, from which a top is represented by the headquarter composed of the Executive Board with member states, the Bureau and the Office of the Secretary of the Executive Board. The bottom is represented by field offices and the National Committees for UNICEF, which directly implement the programs and initiatives of UNICEF, and ensure fundraising activities. On the other hand, they provide the top with feedbacks about carried projects and actual situations from their countries. The linking part between the top and the bottom of the organizational structure are regional offices and external committees across UNICEF, such as the Division of Private Fundraising and Partnership (PFP). PFP also manages relationships between UNICEF and the National Committees for UNICEF, which are autonomous nongovernmental organizations. The relation between UNICEF and the National Committees for UNICEF offers a unique example of how an international organization can manage its work. The case-study of the Slovak Committee for UNICEF portrayed more specifically how UNICEF coordinates its work within its structures and why it is a unique example. Furthermore, the case-study focused on answering if and to what extend are the activities of the Slovak Committee for UNICEF influenced by the national environment with its specifics and conditions. From another perspective, it focused on answering if the Slovak Committee can apply its own approaches toward its activities or it must follow general approaches settled by UNICEF. Since its establishment, UNICEF has been providing development and humanitarian aid in various regions of the world. Firstly, the aid was given to regions damaged by the Second World War. Nowadays, the aid is given to regions hit by natural disasters, wars, famine or diseases. In 2016, UNICEF celebrated 70th anniversary of its existence. In order to maintain its worldwide scope of performance for such a long time, it created a top-bottom organizational structure, from which a top is represented by the headquarter composed of the Executive Board with member states, the Bureau and the Office of the Secretary of the Executive Board. The bottom is represented by field offices and the National Committees for UNICEF, which directly implement the programs and initiatives of UNICEF, and ensure fundraising activities. On the other hand, they provide the top with feedbacks about carried projects and actual situations from their countries. The linking part between the top and the bottom of the organizational structure are regional offices and external committees across UNICEF, such as the Division of Private Fundraising and Partnership (PFP). PFP also manages relationships between UNICEF and the National Committees for UNICEF, which are autonomous nongovernmental organizations. The relation between UNICEF and the National Committees for UNICEF offers a unique example of how an international organization can manage its work. The case-study of the Slovak Committee for UNICEF portrayed more specifically how UNICEF coordinates its work within its structures and why it is a unique example. Furthermore, the case-study focused on answering if and to what extend are the activities of the Slovak Committee for UNICEF influenced by the national environment with its specifics and conditions. From another perspective, it focused on answering if the Slovak Committee can apply its own approaches toward its activities or it must follow general approaches settled by UNICEF.
Keywords:
Non-governmental Organizations; National Committees for UNICEF; International Organizations; Slovak Committee for UNICEF; United Nations International Children's Fund; National Committees for UNICEF; United Nations International Children's Fund; Non-governmental Organizations; Slovak Committee for UNICEF; International Organizations
Available in digital repository of the Library of University of Economics.
International Organizations and Their National Branches: The Case of UNICEF and the Slovak National Committee for UNICEF
Since its establishment, UNICEF has been providing development and humanitarian aid in various regions of the world. Firstly, the aid was given to regions damaged by the Second World War. Nowadays, ...
Urban planning - Metropolitan plan of the capital city of Prague
Volfová, Adéla; Vymětal, Petr; Lisa, Aleš
2017 - English
Územní plánování přímo formuje prostor, ve kterém lidé žijí, ale míra jejich angažovanosti je nízká. Přestože se mohou spolupodílet na utváření města například zapojením se do zájmových skupin, které mají vliv na územní plánování. Diplomová práce se zabývá otázkou, ovlivnění procesu pořizování územního plánu hlavního města Prahy (Metropolitní plán) jednotlivými aktéry. Teoretická část práce se věnuje podrobnému vysvětlení průběhu tvorby územního plánu a představení návrhu zadání Metropolitního plánu, který slouží k vymezení pojmů. V praktické části je uvedena charakteristika jednotlivých aktérů a jejich zájmů v kontextu územního plánování. Proces pořizování územního plánu je nejvíce ovlivněn třemi obligatorními aktéry - veřejnost, zájmové skupiny a politická reprezentace. Závěrem práce je stanovení způsobu ovlivňování a jejich klasifikace. Urban planning form the space occupied by people, but their participation ratio is low. In spite of the fact that they can be concerned in city planning for example to be engaged in interest group, that could affect it. The thesis aim the question of the affect on the process of making Prague Land Use Plan (Metropolitan plan). The theoretical part defines the detailed explanation of the city planning and presents project submission of Metropolitan plan, and also set the context. In the practical part of the thesis the urban agents and their interests are charactised. The process of urban planning is influenced by three obligatory urban agents - the public, the interest groups and the political representation. The conclusion of this work is setting the way of affecting and their classification.
Keywords:
Metropolitní plán; územní plánování; participace veřejnosti; lobbing; zájmové skupiny; lobbing; public participation; interest group; Metropolitan plan; urban planning
Available in digital repository of the Library of University of Economics.
Urban planning - Metropolitan plan of the capital city of Prague
Územní plánování přímo formuje prostor, ve kterém lidé žijí, ale míra jejich angažovanosti je nízká. Přestože se mohou spolupodílet na utváření města například zapojením se do zájmových skupin, které ...
Human rights protection and national interest: the case of border fences in the European Union
Ferrario, Ljuba; Novotná, Markéta; Burešová, Jana
2017 - English
Ever since the beginning of the refugee crisis, the efficiency of the Common European Asylum System has been questioned by MSs and European institutions. Recently, physical barriers have been built by an increasing number of countries in the European Union for the purpose of border controls. Simultaneously, several human rights organization have expressed their concerns on the violation of the right to asylum and of the prohibition of inhuman and degrading treatment resulting from the adoption of this method. This research will analyze this phenomenon through the perspective of international relations theory. The analysis will consider the realist approach in opposition to the liberal one, trying to assess whether border fences can be defined as an expression of national interest which compromises international cooperation in the field of human rights. Ever since the beginning of the refugee crisis, the efficiency of the Common European Asylum System has been questioned by MSs and European institutions. Recently, physical barriers have been built by an increasing number of countries in the European Union for the purpose of border controls. Simultaneously, several human rights organization have expressed their concerns on the violation of the right to asylum and of the prohibition of inhuman and degrading treatment resulting from the adoption of this method. This research will analyze this phenomenon through the perspective of international relations theory. The analysis will consider the realist approach in opposition to the liberal one, trying to assess whether border fences can be defined as an expression of national interest which compromises international cooperation in the field of human rights.
Keywords:
Human Rights; Schengen Area; Border fences; Human Rights; Schengen Area; Border fences
Available in digital repository of the Library of University of Economics.
Human rights protection and national interest: the case of border fences in the European Union
Ever since the beginning of the refugee crisis, the efficiency of the Common European Asylum System has been questioned by MSs and European institutions. Recently, physical barriers have been built by ...
THE VALUE OF STATISTICAL LIFE IN THE CZECH LABOR MARKET
Albrechtová, Aneta; Dušek, Libor; Janíčko, Martin
2017 - English
Tato diplomová práce počítá hodnotu statistického života (VSL) v České republice na základě odhadů smrtelného rizika. Smrtelné riziko jsem spočítala v jednotlivých profesích napříč odvětvími. Za pomoci regresní analýzy jsem odhadla dopad smrtelného rizika na velikost mzdy a z tohoto odhadu jsem spočítala VSL pomocí modelu hedonické mzdy. Celý výpočet jsem provedla na randomizovaném mzdovém vzorku o 150 000 pozorováních z roku 2013, který jsem spojila s daty shromažďující všechny úrazy v zaměstnání za roky 2013-2015. VSL spočítána na základě statisticky signifikantních odhadů smrtelného rizika vyšla v rozmezí od 6 965 277CZK (260 092EUR) do 37 355 674CZK (1. 394mil.EUR). Pro porovnání dopadu úrovně výpočtu rizika na velikost hodnoty statistického života jsem znovu odhadla model se smrtelným rizikem spočítaným pouze přes odvětví. Na základě tohoto výpočtu rizika dochází k nadhodnocení odhadů VSL. Výsledky této regrese odhalily, že metoda výpočtu je zásadním faktorem ovlivňující VSL. This thesis calculates the value of statistical life (VSL) in the Czech Republic based on estimation of fatal risk computed across occupation within industries. Using the regression analysis, I estimate the impact of the fatal risk on wage. From this I calculate the VSL using the hedonic wage model. I use randomized wage data sample with 150 000 observations from the year 2013 combined with injury data from the years 2013-2015. Based on this data I estimated the VSL to be in a range between 6 965 277CZK (260 092EURO) and 37 355 674CZK (1. 394mil.EURO) based on statistically significant estimates of fatal risk. Furthermore, I estimate my model of fatal risk calculated across industries to compare the impact of the level of risk in the computation. This regression indicates that estimates based on risk in industries are overestimated. My results show that the method of risk computation is a key factor affecting the VSL.
Keywords:
smrtelné riziko; model hedonické mzdy; hodnota statistického života; trh práce; labor market; Value of statistical life; hedonic wage model; fatal risk
Available in digital repository of the Library of University of Economics.
THE VALUE OF STATISTICAL LIFE IN THE CZECH LABOR MARKET
Tato diplomová práce počítá hodnotu statistického života (VSL) v České republice na základě odhadů smrtelného rizika. Smrtelné riziko jsem spočítala v jednotlivých profesích napříč odvětvími. Za ...
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