Analysis of impact of the credit derivatives market on current financial crisis and capital adequacy of the american banking holdings
Thesis title: | Analýza vlivu trhu úvěrových derivátů na soudobou globální finanční krizi a kapitálovou přiměřenost amerických bankovních holdingů |
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Author: | Baigarin, Nadir |
Thesis type: | Disertační práce |
Supervisor: | Musílek, Petr |
Opponents: | Revenda, Zbyněk; Sosík, Petr |
Thesis language: | Česky |
Abstract: | Cílem disertační práce je poskytnout širší odborné veřejnosti ucelený pohled na problematiku úvěrových derivátů. Práce se detailně zaměřuje na analyzování současného stavu trhu s důrazem na globální finanční krizi, snaží se podat informace o jednotlivých produktech a obchodech nejen v obecné popisné rovině, nýbrž se pokouší zohlednit praktické aspekty uzavírání a vypořádání obchodů. Práce se primárně věnuje aktivitám bankovních institucí na trhu úvěrových derivátů. Jednak z důvodu významu bankovních institucí v procesu formování a fungování trhu, jednak z důvodu dostupnosti finančních údajů. |
Keywords: | Credit derivatives; Subprive mortgage; Financial crisis; Credit Default Swap |
Thesis title: | Analysis of impact of the credit derivatives market on current financial crisis and capital adequacy of the american banking holdings |
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Author: | Baigarin, Nadir |
Thesis type: | Dissertation thesis |
Supervisor: | Musílek, Petr |
Opponents: | Revenda, Zbyněk; Sosík, Petr |
Thesis language: | Česky |
Abstract: | This dissertation analyzes key features of credit derivatives market, basic risks of the products and trends the market has experienced for several years since its inception, discusses regulatory issues of the market with regard to the Basel II treatment and key reasons for investors using credit derivatives. Dissertation also examines whether and how credit derivatives affected current financial turmoil, analyzes credit derivatives losses of selected institutions on the financial markets and compares them with total losses of these institutions. The main result of the work is that there was no substantial effect of the credit derivatives market on the current financial crisis. Dissertation also examines whether there is any connection between U.S. banks credit derivatives trades and their capital adequacy ratio. According to the analysis, there is no evidence for credit derivatives to essentially affect capital adequacy ratio of U.S. banks. A potential explanation for the higher values of U.S. banks' capital adequacy ratio may be that there are sophisticated risk management strategies banks have been implicating for many years. |
Keywords: | Subprime mortgage; Financial Crisis; Credit Default Swap; Credit derivatives |
Information about study
Study programme: | Finance a účetnictví/Finance |
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Type of study programme: | Doktorský studijní program |
Assigned degree: | Ph.D. |
Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
Faculty: | Faculty of Finance and Accounting |
Department: | Department of Banking and Insurance |
Information on submission and defense
Date of assignment: | 10. 10. 2004 |
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Date of submission: | 7. 7. 2009 |
Date of defense: | 30. 9. 2009 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/21235/podrobnosti |