The Use of Copula Functions for Predictions of Market Contagion of Liquidity Risk
|Author:||Mgr. Michal Vrábel|
|Year:||2010 - summer|
|Leaders:|| prof. PhDr. Petr Teplý Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||In this diploma thesis we tried to model liquidity risk with the use of copula functions. We presented theoretical background for both areas, theory of copulas and liquidity risk. Empirical work is focusing more on the liquidity in CEE countries and especially in Slovakia and Czech Republic. In this part we created a market liquidity index for Slovak financial market and analyzed affects of liquidity problems during the financial crisis on the overall liquidity in this market. Furthermore, we modelled the possibility of market contagion of liquidity risk in Czech banking sector, based on loan-to-deposit ratios of Komerční banka, Česká spořitelna and GE Money Bank.
|Downloadable:|| Diploma Thesis of Vrábel