12 research outputs found
Tax Reform in Slovakia
The paper evaluates recent tax legislation in Slovakia, effected January 2004, according to principles of optimal taxation and optimal tax systems. The author evaluates Slovak tax reform with particular regard to personal income tax and commodity taxes. The adoption of a flat personal-income-tax rate and a uniform VAT rate is viewed as in line with the optimal taxation theory, and the projected lessening of administrative costs and degree of tax evasion is positively evaluated.tax reform; flat tax; Slovakia
Operational Risk Management and Implications for Bankâs Economic Capital â a Case Study
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (âEVTâ). Within the EVT analysis, two estimation methods were applied; the standard maximum likelihood estimation method and the probability weighted method (âPWMâ). Our results proved a heavy-tailed pattern of operational risk data consistent with the results documented by other researchers in this field. Additionally, our research demonstrates that the PWM is quite consistent even when the data is limited since our results provide reasonable and consistent capital estimates. From a policy perspective, it should be noted that banks from emerging markets such as Central Europe are exposed to these operational risk events and that successful estimates of the likely distribution of these risk events can be derived from more mature markets.operational risk, economic capital, Basel II, extreme value theory, probability weighted method
Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study
Loss given default (LGD) is one of key parameters to estimate credit risk in an internal rating based approach considered in The New Basel Capital Accord. The aim of this paper is to find determinants of LGD using a set of firm loan micro-data of an anonymous Czech commercial bank. The authors find that LGD is driven primarily by the period of loan origination, relative value of collateral, loan size and length of business relationship. Different models employed in their analysis provide similar results; in more complex models, log-log models appear to perform better, implying an asymmetric response of the dependent variable.credit risk, loss given default, fractional responses, ordinal regression, quasi-maximum likelihood estimator
Analysis of volatility of energy commodities
TĂĄto prĂĄca analyzuje cenovĂș volatilitu ropy, zemnĂ©ho plynu a elektriny. Testuje hypotĂ©zu, Äi ARCH modely poskytujĂș dobrĂ© predpovede volatility tĂœchto energetickĂœch komodĂt. Po analĂœze ĆĄtatistickĂœch vlastnostĂ komodĂt niekoÄŸko ARCH modelov je aplikovanĂœch na celĂș vzorku Ășdajov. Po vybranĂ najlepĆĄĂch modelov sĂș tieto analyzovanĂ© mimo vzorky. Predpovede sa generujĂș pomocou pohyblivĂ©ho okna a nĂĄsledne sĂș testovanĂ© vzhÄŸadom na realizovanĂș budĂșcu volatilitu. Na zĂĄklade porovnania s historickou volatilitou sa dĂĄ urobiĆ„ zĂĄver, ĆŸe GARCH(1,1) pre ropu a EGARCH(1,1) pre zemnĂœ plyn poskytujĂș dobrĂ© predpovede budĂșcej volatility. Pre elektrinu ĆŸiaden model nepriniesol.Institut ekonomickĂœch studiĂFakulta sociĂĄlnĂch vÄ
Tax and health care challenges in economic policy : three essays
The first paper evaluates tax legislation in Slovakia, effected January 2004 and major changes in the period 2005 - 2010, according to principles of optimal taxation and optimal tax systems. The author evaluates the Slovak system with particular regard to taxes on labour, taxes on capital and taxes on consumption. The adoption of a flat personal-income-tax rate and a uniform VAT rate is viewed as in line with the optimal taxation theory, and the projected lessening of administrative costs and degree of tax evasion is positively evaluated. However, it is concluded that there is still room for improving the system by further shifting the burden away from taxes on labour to higher taxation of consumption and capital. The second paper analyses possible options to improve the risk adjustment of the health insurance system in the Czech Republic. Out of possible options it argues for including Pharmaceutical Cost Groups (PCGs) as additional risk factors since it is an improvement that can be implemented almost instantaneously. On real data from an anonymous sickness fund it confirms that predictive performance of PCGs models is consistently better than the performance of the demographic model that is currently used. The study also describes and examines the Czech health insurance market and implications of..
DaĆovĂ© a zdravotnickĂ© vĂœzvy hospodĂĄĆskĂ© politiky : tĆi eseje
PrvnĂ ÄlĂĄnek vyhodnocuje daĆovou legislativu na Slovensku ĂșÄinnou od ledna 2004 a hlavnĂ zmÄny za obdobĂ 2005 - 2010 podle principĆŻ optimĂĄlnĂho zdanÄnĂ a optimĂĄlnĂch daĆovĂœch systĂ©mĆŻ. Autor hodnotĂ slovenskĂœ systĂ©m se zvlĂĄĆĄtnĂm ohledem na danÄ z prĂĄce, danÄ z kapitĂĄlu a danÄ ze spotĆeby. ZavedenĂ rovnĂ© danÄ z pĆĂjmu fyzickĂœch osob a jednotnĂ© sazby DPH je v souladu z teoriĂ optimĂĄlnĂho zdanÄnĂ a rovnÄĆŸ je za pozitivnĂ povaĆŸovĂĄno pĆedpoklĂĄdanĂ© snĂĆŸenĂ administrativnĂch nĂĄkladĆŻ a mĂry daĆovĂœch ĂșnikĆŻ. SystĂ©m je vĆĄak moĆŸnĂ© jeĆĄtÄ zlepĆĄit, zejmĂ©na pĆesunem daĆovĂ© zĂĄtÄĆŸe ze zdanÄnĂ prĂĄce na zdanÄnĂ spotĆeby a kapitĂĄlu. DruhĂœ ÄlĂĄnek analyzuje moĆŸnosti zlepĆĄenĂ kompenzace rizika v zdravotnĂm pojiĆĄtÄnĂ v ÄeskĂ© republice. Z dostupnĂœch moĆŸnostĂ argumentuje v prospÄch farmaceutickĂœch nĂĄkladovĂœch skupin (PCG) jako dalĆĄĂho rizikovĂ©ho faktoru, protoĆŸe toto zlepĆĄenĂ je moĆŸnĂ© zavĂ©st tĂ©mÄĆ okamĆŸitÄ. Na skuteÄnĂœch datech z anonymnĂ zdravotnĂ pojiĆĄĆ„ovny potvrzuje, ĆŸe prediktivnĂ schopnost PCG modelĆŻ je konzistentnÄ lepĆĄĂ neĆŸ v souÄasnosti pouĆŸĂvanĂ©ho demografickĂ©ho modelu. ÄlĂĄnek rovnÄĆŸ popisuje a analyzuje ÄeskĂœ trh zdravotnĂho pojiĆĄtÄnĂ a implikace navrhovanĂœch zmÄn tvĆŻrcĆŻ zdravotnĂ politiky. Na zĂĄkladÄ zkuĆĄenostĂ z jinĂœch zemĂ upozorĆuje na problĂ©m selekce rizika v pĆĂpadÄ, ĆŸe navrhovanĂ© zmÄny nebudou doprovĂĄzeny pĆĂsnÄjĆĄĂ...The first paper evaluates tax legislation in Slovakia, effected January 2004 and major changes in the period 2005 - 2010, according to principles of optimal taxation and optimal tax systems. The author evaluates the Slovak system with particular regard to taxes on labour, taxes on capital and taxes on consumption. The adoption of a flat personal-income-tax rate and a uniform VAT rate is viewed as in line with the optimal taxation theory, and the projected lessening of administrative costs and degree of tax evasion is positively evaluated. However, it is concluded that there is still room for improving the system by further shifting the burden away from taxes on labour to higher taxation of consumption and capital. The second paper analyses possible options to improve the risk adjustment of the health insurance system in the Czech Republic. Out of possible options it argues for including Pharmaceutical Cost Groups (PCGs) as additional risk factors since it is an improvement that can be implemented almost instantaneously. On real data from an anonymous sickness fund it confirms that predictive performance of PCGs models is consistently better than the performance of the demographic model that is currently used. The study also describes and examines the Czech health insurance market and implications of...Institut ekonomickĂœch studiĂInstitute of Economic StudiesFaculty of Social SciencesFakulta sociĂĄlnĂch vÄ
Improving Risk Adjustment in the Czech Republic
This paper analyses possible options how to improve the risk adjustment of the health insurance system in the Czech Republic. From the possible options it argues for including pharmaceutical cost groups (PCGs) as additional risk factors since it is an improvement that can be implemented almost instantaneously. On real data from an anonymous sickness fund it confirms that predictive performance of PCGs models is consistently better than the performance of the demographic model that is currently used. The study also describes and examines the Czech health insurance market and implications of proposed changes of policy makers. Based on experience from other countries we point to a problem of risk selection if the changes are not accompanied by a tighter regulation, specifically in the form of improved risk adjustment formula.risk adjustment, pharmaceutical cost groups, health insurance, Czech Republic
Modelling Bank Loan LGD of Corporate and SME Segments: A Case Study
The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery rate dynamically over time and identify the efficient recovery period of a workout department. Moreover, we focus on the appropriate choice of a discount factor by introducing risk premium based on a risk level of collaterals. We apply statistical methods to estimate LGD and test empirically its determinants. Particularly, we analyse generalised linear models using symmetric logit and asymmetric log-log link functions for ordinal responses as well as for fractional responses. For fractional responses we employ two alternatives, a beta inflated distribution and a quasi-maximum likelihood estimator. We find out that the main drivers of LGD are a relative value of collateral, a loan size as well as a year of the loan origination. Different models provided similar results. As for the different links in more complex models, log-log models in some cases perform better, implying an asymmetric response of the dependent variable.credit risk, bank loan, loss given default, LGD, recovery rate, fractional responses, ordinal regression, quasi-maximum likelihood estimator