Grant detail

GACR 403/10/P278 (2010-2012) The Implications of The Global Crisis on Economic Capital Management of Financial Institutions

Principal investigator: prof. PhDr. Petr Teplý Ph.D.
Collaborators:
Description: Economic capital management ranks as one of the key risk management techniques used in financial institutions to limit exposure to loss. However, as demonstrated by the current global economic turmoil, many financial institutions (such as AIG or Lehman Brothers) failed to either implement or properly monitor risk management procedures. The focus of this project is to investigate the economic capital modelling of financial institutions during and after the latest global financial crisis. This project will primarily concentrate on the significant role of liquidity and operational risks that serve as the pivot point on which the financial crisis rests. In terms of economic capital and risk modelling, standard methodologies such as value-at-risk, copula functions, coherent risk measures and stress testing will be applied. Consequently, this project will present risk management recommendations relevant to academics, financial institutions and financial market regulators in the field of economic capital modelling with primary focus on the impact of extreme events.
Participation:
Work in grant:
Web link:
Finance: Grantová agentura ČR (GAČR)/Czech Science Foundation
End date: 31.12.2012
Publications:

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

A Complex View on Finance and Banking from Prof. Stanislav Poloucek (Book review)

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

Bank capital regulation: from Bretton Woods to Basel

Basics of Finance

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 ECONOMIC POLICY LESSONS FROM THE 2008 FINANCIAL CRISIS

Key Operational Risk Management Techniques

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

Mathematical models of oligopolies’ behaviour

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

Procyclicality in Basel II and Basel III in Central Europe

Risk management of building societies in the Czech Republic

Sovereign Credit Risk Measures

Sovereign risk – how can we measure it?

Sovereign Wealth Funds

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 insurance in operational risk mitigation – a case study

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

Conferences:

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

6th Biannual Conference of the Czech Economic Society

AITEC Banking & Mobile Money COMESA, Kenya

Certified financial manager, Czech Republic

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

Exit strategies from the current crisis, Czech Republic

Financial Economics in One Lesson, Czech Republic

Frontier Economics workshop

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), Singapore

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

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

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

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

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

Mergers and Acquisitions: Strategy - Transaction Process - Integration, Czech Republic

The 2010 International Conference on Education and Management Technology, Egypt

The International Workshop, Turkey

The Navigator of Responsible Lending 2013, Czech Republic

The potential breakdown of the Eurozone, Czech Republic

The Rise And Fall of Banks during The Global Crisis, Czech Republic

The World Congress of the Bachelier Finance Society, Australia

What is Economics used for?, Czech Republic

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance