Detail grantu

GAČR 403/10/P278 (2010-2012) Implikace globální krize na řízení ekonomického kapitálu finančních institucí

Řešitel: doc. PhDr. Petr Teplý Ph.D.
Spolupracovníci:
Popis: Řízení ekonomického kapitálu patří ke klíčovým technikám risk managementu používaného v oblasti financí pro minimalizaci ztrát. Současná ekonomická krize ukázala, že mnoho finančních institucí (např. AIG nebo Lehman Brothers) selhalo pri řízení svých finančních rizik. Hlavním cílem projektu je výzkum modelování ekonomického kapitálu finančních institucí během a po probíhající globální krizi. Projekt se primárně zaměruje na likviditní a operační rizika, která se ukázala jako velmi významná během krize. Pro modelování ekonomického kapitálu a rizik se aplikují standardní metody jako value-at risk (VAR), kopula funkce, koherentní měřítka rizik a stress testy. Výsledkem projektu budou relevantní doporučení pro akademiky, finanční instituce a regulátory finančních trhů v oblasti risk managementu, ekonomického kapitálu a jeho modelování v případě extrémních událostí.
Spolupráce:
Práce v rámci grantu:
WWW odkaz:
Finance: Grantová agentura ČR (GAČR)/Czech Science Foundation
Konec: 31.12.2012
Publikace:

An Alternative Assessment of Entrepreneurs’ Activities in Terms of Financial Stability – A Case Study

2008 MALİ KRİZİNDEN ÇIKARILACAK TEMEL EKONOMİ POLİTİKASI DERSLERİ

Alternative Methods to Operational Risk Management

An Alternative Approach (using the VBA Programme) to Collateralized Debt Obligations´ Valuation

An Analysis of Economic Capital Allocation of Global Banks

An Institutional Analysis of Bank Regulation

Analýza řízení rizik sektoru stavebních spořitelen v České republice

Bank capital regulation: from Bretton Woods to Basel

Black swans and operational risk management

Coherent risk measures

Collateralized debt obligations and credit risk management

Consequences of The 2008-2009 Global Crisis on Financial Stability And Entrepreneurs

Copula functions in theory and practice

Credit default swaps as credit risk mitigant?

Credit losses during the crisis 2007 – 2009: from contagion to recovery

Credit risk and financial crises

Credit risk in European banks mergers and acquisitions

Credit risk management during the 2007 – 2009 global crisis

Credit risk management lessons from Czech banks for the Chinese banking sector

Economic capital and risk management

Economic Capital and Risk Management

Exit Strategies from The Global Crisis

Key Operational Risk Management Techniques

KOMPLEXNÍ POHLED DO SVĚTA FINANCÍ A BANKOVNICTVÍ Z DÍLNY PROF. STANISLAVA POLOUČKA (Recenze knihy)

Liquidity Market Support during the Global Crisis

Liquidity risk and bank runs models

Liquidity risk management in Central Europe during the global crisis

Main Flaws of The Collateralized Debt Obligation‘s Valuation Before And During The 2008/2009 Global Turmoil

Matematické modely chování oligopolů

Methods of Estimating the Equilibrium Real Effective Exchange Rate (REER)

Models of dividend distribution and taxation

Operational Risk - Scenario Analysis

Operational Risk – Scenario Analysis

Operational Risk And Economic Capital Modeling

Perspectives on A New Global Financial Platform

Pojištění jako nástroj řízení operačního rizika – případová studie

Procyclicality in Basel II and Basel III in Central Europe

Sovereign Credit Risk Measures

Sovereign risk – how can we measure it?

Suverénní fondy

The (non)sense of hedge funds´ regulation in the light of a MAC questions regulatory concept

THE (NON)SENSE OF PRIVATE EQUITY REGULATION?

The Application of Extreme Value Theory in Operational Risk Management

The Application of Regulatory Impact Assessment (RIA) on the Czech Financial Market

The Dark Side of Collateralized Debt Obligation´s Valuation during The 2008/2009 Financial Crisis

The Efficiency of EU Merger Control during the Period from 1990-2008

The future regulatory challenges of liquidity risk management

The Global Crisis: A Hard Lesson for Theory and Praxis

The Challenges of Basel III for the Czech Banking Sector

The Impact of the Global Crisis in Central European Countries and Lessons for and from New Zealand

The Importance of Emergency Liquidity Risk Management during The 2007-2009 Global Financial Turmoil

The JT Index as An Indicator of Financial Stability of Corporate Sector

The Key Challenges of The New Bank Regulations

The pending global crisis: a dark future ahead of us?

The Role of Private Equity during Global Crises

The VT index as an indicator of market liquidity risk in Slovakia

THEORETICAL BACKGROUND FOR COMPETITIVE MERGER

Theoretical Background of Dividend Taxation

Value Creation of European Bank Mergers and Acquisitions in the 1998 – 2007 Period

Základy financí

Konference:

13th International Conference on Finance and Banking (Basel III in Czech Republic), Czech Republic

13th International Conference on Finance and Banking (CEE lessons for New Zealand), Czech Republic

13th International Conference on Finance and Banking (Procyclicality in CEE), Czech Republic

6. bienální konference České Společnosti Ekonomické

AITEC Banking & Mobile Money COMESA, Kenya

Certifikovaný finanční manager

Changing Perspective of Management: Revisit the Existing and Explore the Novel Ideas (Global crisis), Nepal

Changing Perspective of Management: Revisit the Existing and Explore the Novel Ideas (Liquidity risk in CEE), Nepal

Eurobanking 2012, Slovenia

Finanční ekonomie v jedné lekci

Frontier Economics workshop

Fúze & Akvizice: Strategie - Transakční Proces - Integrace

GCR Conference - The New Regime for Horizontal Co-operation Agreements

Guest lecture at Auckland University of Technology, New Zealand

Guest lecture at Massey University in Albany, New Zealand

Guest lecture at Massey University in Palmerston North, New Zealand

Guest lecture at The Economic Development Agencies NZ in Wellington, New Zealand

Guest lecture at The Reserve Bank of New Zealand in Wellington, New Zealand

Guest lecture at University of Auckland, New Zealand

Guest lecture at University of Otago in Dunedin, New Zealand

IJAS conference at Harvard University (Global crisis), USA

IJAS conference at Harvard University (Perspectives of regulation), USA

International Conference on Business and Economic Sciences (Dividend taxation), Dubai

International Conference on Business and Economic Sciences (Liquidity risk), Dubai

International Conference on Business and Economic Sciences (Sovereign risk), Dubai

International Conference on Business, Economics and Tourism Management (CBETM 2010), Singapur

International Conference on Economics, Business Management and Marketing (Basel III), Francie

International Conference on Economics, Business Management and Marketing (Exit Strategies), Francie

International Conference on Economics, Business Management and Marketing (Scenario Analysis), Francie

International Conference on Finance, Banking and Insurance (Economic capital), Japan

International Conference on Finance, Banking and Insurance (Private equity), Japan

International Conference on Finance, Banking and Insurance (REER), Japan

International Conference on Finance, Banking and Insurance (RIA), Japan

International Conference on Information and Finance (ICIF 2012), Thailand

International Conference on Mathematics and Mathematical Sciences, Indonesia

Je nový svět možný?

Joint Conference of EMTAP (International Conference on Emergency Technology, Application and Practice) and ICCEM (International Conference on Crisis and Emergency Management), China

K čemu je ekonomie dobrá?

Navigátor bezpečného úvěru 2013

Rozpad Eurozóny – realita nebo fikce?

The 2010 International Conference on Education and Management Technology, Egypt

The International Workshop, Turkey

The World Congress of the Bachelier Finance Society, Australia

VÝCHODISKA Z KRIZE – EXIT STRATEGIES

Partneři

Deloitte
McKinsey & Company
Moneta Money Bank

Sponzoři

CRIF
ČSOB