FFA Working Papers, 2021 (vol. 3)

Original contributions

IFRS 9 AND IT´S BEHAVIOUR IN THE CYCLE: THE EVIDENCE ON THE EU COUNTRIES

Oľga Pastiranová, Jiří Witzany

FFA Working Papers 3:003 (2021)967  

The purpose of this paper is to empirically analyse the behaviour of expected loan loss provisions during the economic cycle. Provisioning rules under IFRS 9 require creation of the expected credit losses, which have been anticipated to behave countercyclically, and so replaced the rules under IAS 39 widely presumed to have procyclical impact. Observing the dynamics of the economic cycle during the economic downturn resulting from the COVID restrictions, a panel regression has been performed to test the hypothesis that loan loss provisioning rules under IFRS 9 have procyclical impact. The hypothesis was confirmed within the period of 1Q 2015 –...

Variance Gamma process in the option pricing model

Jakub Drahokoupil

FFA Working Papers 3:002 (2021)4108  

Aim of this paper is to use Variance Gamma process in the option pricing model and compare it with the well-known and the most widely used option pricing model, the Black-Scholes model. The Variance Gamma model is, in contrast to the one-parameter Black-Scholes model, a three-parameter model. In addition, these two parameters, which are included in the Variance Gamma model, serve to model the skewness and kurtosis of the empirical distribution of the logarithmic returns of the underlying asset. An important part of this work is also a comparison of suitable valuation algorithms for calculation of the option price using the Variance Gamma model....

Banking Supervision and Risk-Adjusted Performance inthe Host Country Environment

Karel Janda, Oleg Kravtsov

FFA Working Papers 3:001 (2021)924  

In this paper, we examine the impact of the supervision as a monitoring activity and regulatory scrutiny on the performance and riskiness of the financial institutions in countries of Central, Eastern and South-Eastern Europe, whose banking sectors are characterized by foreign-bank dominated systems. For a dataset of 450 banks from 20 economies of the region, we use statistics from the World Bank-Bank Regulation and Supervisory Survey to construct the measures of the supervision activities, capital regulation stringency and supervisory power. We find that a higher intensity of supervision monitoring activities, especially by the centralized form...