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1

THE APPLICATION OF EXTREME VALUE THEORY IN OPERATIONAL RISK MANAGEMENT

100%
Teplý P.
Ekonomický časopis (Journal of Economics)
|
2012
|
vol. 60
|
issue 7
698 – 716
EN
This paper focuses on modelling the real operational data of an anonymous Central European bank. We have applied the Extreme Value Theory, in which we have used two estimation methods – the standard maximum likelihood estimation method and the probability weighted moments (PWM). Our results proved a heavy-tailed pattern of operational risk data as documented by many researchers. Additionally, we showed that the PWM is quite consistent when the data is limited as it was able to provide reasonable and consistent capital estimates. Our findings show that when using the Advanced Measurement Approach rather than the Basic Indicator Approach used in Basel II, the researched bank might save approx. 6 – 8% of its capital requirement on operational risk.
2

TT INDEX AS AN INDICATOR OF MACROECONOMIC VULNERABILITY OF EU NEW MEMBER STATES

63%
Teplý P., Tripe D.
Ekonomický časopis (Journal of Economics)
|
2015
|
vol. 63
|
issue 1
19 – 33
EN
This paper reviews some of the factors that potentially contribute to macro-prudential weakness, and thus concerns about macroeconomic and financial system health in the new EU member states of Central and Eastern Europe. In general, the consequences of the global 2008 – 2009 crisis were more severe in some of the new EU countries, and it is useful therefore to look at the experiences in the different countries to try and understand the reasons for the different outcomes and look to see what lessons may be learned. One of the factors having an impact on recovery from the crisis is in currency relationships, with Estonia, Latvia, Slovenia and Slovakia being members of the Eurozone, and some other countries in fixed exchange rate relationships. In this paper we present the construction of a new indicator (named the TT index) evaluating macroeconomic vulnerability of the new EU countries, which is based on seven macro prudential indicators and calculated for the years 2008 and 2013.
3

THE VT INDEX AS AN INDICATOR OF MARKET LIQUIDITY RISK IN SLOVAKIA

51%
Teplý P., Vrábel M., Černohorská L.
Ekonomický časopis (Journal of Economics)
|
2012
|
vol. 60
|
issue 3
223 – 238
EN
In this paper we construct a new market liquidity index for Slovakia (called the VT index) based on the calculation of using traditional indicators of market depth, resiliency, tightness, volatility and liquidity for four markets (money, foreign exchange, bond and stock market) and back-tested the index for the years 2001 – 2008. The VT index began decreasing in the first half of the year 2008 and continued to fall after Lehman Brothers’ collapse in September 2008. Although market liquidity deteriorated globally, major liquidity problems were avoided by individual financial institutions in Slovakia, due to relatively strong macroeconomic fundamentals of the Slovak economy in the pre-crisis period.
4

VALUE CREATION OF EUROPEAN BANK MERGERS AND ACQUISITIONS IN THE 1998 - 2007 PERIOD

51%
Teplý P., Stárová H., Černohorský J.
Ekonomický časopis (Journal of Economics)
|
2010
|
vol. 58
|
issue 5
457-470
EN
The European banking industry has experienced profound change in regulation, technology and market structure over the last two decades. Since the late 1990s, a strong wave of mergers and acquisitions (M&A) and market consolidation process have been induced by the changing external environment. The aim of this paper is to find out whether M&A transactions in the European banking sector can be justified by creating value for involved banks' shareholders. For this purpose the authors conduct an event study examining value implications of 59 M&A transactions of listed European banks carried out between 1998 and 2007. Their findings suggest large value creation for the targets' shareholders. On contrary, significant value destruction is found for shareholders of the bidding banks. The net wealth effect for combined entities of targets and bidders is still significantly positive; therefore, they conclude that banking M&A have been successful in the observed period. Moreover, they present results for several sub-samples analysing differences in terms of value creation between domestic and cross-border deals, cash and equity-financed deals and transactions of different sizes.
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