8th International Scientific Conference Managing and Modelling of Financial Risks 5th - 6th September 2016 Ostrava, Czech Republic
R Conference programme 5th September 2016
Meeting room: CONGRESS HALL
9.00 – 10.00
Registration of participants
10.00 – 10.15
Conference opening
10.15 – 12.00
Plenary session
12.00 – 13.00
Emília Zimková
The Management Efficiency under Market Risk: an Application to the Banking Production Process
Petr Musílek
Investment Crime Risk
Aleš Kresta
Computing Financial Problems in Parallel
Lunch
1
Session 1 5th September 2016 Meeting room: CONGRESS HALL Official language: Czech, Slovak
13.00 – 14.30
Ľubomíra Gertler, Rudolf Sivák
Implications of Rates Maintained Too Low for Too Long
Galina Horáková
Estimation of IBNR Reserves with the Help of a Random Shif
Helena Majdúchová, Bernadeta Siváková
Systematic Risk Determinants
Hussam Musa, Peter Krištofík, Peter Sliacky
Quantification of Credit Risk Models
Anna Polednáková
Alternative Perspectives on Mergers
Jan Krajíček, Bohuslava Doláková
Interest Rates and Risk in the Banking Sector
14.30 – 14.45
Coffee break
14.45 – 16.00
Jozef Fecenko, Martin Pinda
Good-Risk/Bad-Risk Model in Automobile Insurance and its Generalization
Jiří Málek, Bohumil Stádník, Tran van Quang
Bonds Return Modeling Using High Frequency Data
Mária Bilíková, Jana Mihalechová, Katarína Sakálová
Adequacy Test for Longevity Risk Reserves for a Portfolio of Model Annuities from Pillar II of the Slovak Pension System
Miroslav Hronec, Božena Hrvoľová Erika Pastoráková, Zuzana Brokešová
2
16.00 – 16.15
Coffee break
18.00
Social evening
Management of Market Risk by Model Value at Risk (VaR) Risks Covered by Pension Systems and the Possibility of Individual Saving for Old Age
Session 2 5th September 2016 Meeting room: BOHEMIA I Official language: Czech, Slovak
13.00 – 14.30
Valéria Skřivánková
Stochastic Approach to Risk Management
Vladimír Mucha
The Bootstrap Method for Estimating CVaR Using VBA and R
Tomáš Ťoupal, Patrice Marek
Nonparametric Kernel Estimation and Its Practical Application
Petr Seďa, Juan Antonio Jimber del Río
Empirical Modeling the Dynamic Conditional Correlations between Shanghai and Hong Kong Stock Markets
Renáta Pakšiová, Petr Petera, Jaroslav Wagner
Comparative Analysis of the Questionnaire Survey Results on Approach to Corporate Sustainability Management in the Largest Companies in Slovakia and Czech Republic
Sylvie Riederová
How Should the Czech Exporting Companies Behave after the CNB´s Exit
14.30 – 14.45
Coffee break
14.45 – 16.15
Miroslava Szarková, Igor Václav, Ľubomíra Gertler
Janka Grofčíková
Dana Kubíčková, Jitka Mojžíšová
Barbora Chmelíková, Martin Svoboda
The Application Methods, Personnel Audit in the Subsidiaries of Multinational Financial Institutions Operating in Slovakia The Use of Financial Analysis Indicators for the Monitoring of Company Financial Situation and Elimination of Financial Risk The Financial Stability of Agricultural Firms and the Operating Subsidies An Empirical Study: Financial Literacy of Students of Law in the Czech Republic
Gabriela Dubcová, Jana Kissová
Core Topics in the Area of Evaluation Methodology for Work in Process Inventory of an Enterprise
Milada Kuceková
Elimination of Tax Avoidance in EU by Introducing of Interest Limitation Rules
3
16.15 – 16.30
Coffee break
16.30 – 18.00
Lucie Vrbová, Jiří Fotr Erik Šoltés, Mária Vojtková
Lucja Matusiková
Peter Adamko, Lucia Svabova Kateřina Kashi
18.00
4
Social evening
Integration of Scenarios and Monte Carlo Simulation in Risk Analysis Employment in SR Associated with the Risk of Enterprise Deaths Intergeneration Comparison of the Perception of Communication Media in the Context of the Nature of their Ownership Prediction of the Risk of Bankruptcy of Slovak Companies Using MADM Methods for Human Resources Activities (ENG)
Session 3 5th September 2016 Meeting room: BOHEMIA III Official language: Czech, Slovak
13.00 – 14.30
Katarína Sakálová, Ingrid Ondrejková Krčová
Importance of Interest Rates for Life Insurance Product
Michal Páleš
Underwriting Risk Module in Solvency Capital Requirement Calculation
Tatiana Šoltésová
Valuation of the New Business in the Life Insurance under Solvency II
Miroslava Szarková, Natália Matkovčíková
Analysis and Financial Costs of Occupational Injuries in Slovak Companies
Jiří Souček, Dana Kubíčková
Costs of Ensuring and Recovery of Claims
František Kalouda
The Stability of the Czech Banking Sector Phenomenon in the Company Interest Rate Risk Management
14.30 – 14.45
Coffee break
14.45 – 16.15
Michal Bobek
Agency Theory and the Audit Engagement
Radka Šumanová, Zuzana Juhászová
Financial Risks Related with Business Activity in the Slovak Republic
Renáta Hornická
Accountig Measurement of the Acquired Assets and Assumed Liabilities in the Business Combination
Jana Péliová
How Does the Probability of Tax Audit Effect Tax Compliance – Experimental Approach
Vojtěch Zíka, Petr Koblovský
Behavioral Economics and Customers' Decisions at Energy Market
Petr Čížek
Risk Management in Venture Capital Investment Process within Business Accelerators Owned by Private Corporations
5
16.15 – 16.30
Coffee break
16.30 – 18.00
Anna Baštincová, Miloš Tumpach
Tax Risk in Financial Management of Enterprises in the Slovak Republic
Vladimír Hiadlovský, Petra Gundová, Ivana Rybovičová, Miroslava Vinczeová
Management of the Liquidity Risk in Businesses Operating in the Tourism Industry
František Slaninka, Andrea Kaderová, Zsolt Simonk
Risk Modeling and Analysis in ModelRisk Software
Ondřej Slavíček, Michal Kuběnka
Bankruptcy Prediction Models Based on the Logistic Regression for Companies in the Czech Republic
18.00
6
Viera Bartošová, Pavol Kráľ
Predictive Models from the Point of View of Current Business Accounting Legislation in the Slovak Republic
Bohuslava Doláková, Jan Krajíček
Financial Risks Managing in Context of Financial Crisis
Social evening
Session 4 5th September 2016 Meeting room: HARMONY Official language: English
13.00 – 14.30
Anna Majtánová, Mária Bláhová
Jiřina Bokšová, Josef Horák
Risk Management Linked with Investment Life Insurance Products Reporting of Investments in Commercial Insurance Companies after the Amendment of the Act on Accounting in 2016 in the Czech Republic
Josef Horák, Jiřina Bokšová
Business Risks Connected with Industry 4.0
Tomáš Ondruška, Erika Pastoráková, Zuzana Brokešová
Determinants of the Insurance Consumption: Theoretical Approach
Martin Boďa
The S & P Dimensions in the SCP Paradigm: the Case of Slovak Insurance Companies
Wojciech Sońta
Theoretical and Practical Conditions of Financial Risk Management in Local Government Units
14.30 – 14.45
Coffee break
14.45 – 16.15
Miloš Kopa
Stochastic Dominance Enhanced Portfolios Empirical Evidence
Noureddine Kouaissah, Sergio Ortobelli, Tomáš Tichý
Reward and Risk in the Italian Fixed Income Market
Tommaso Lando, Lucio BertoliBarsotti
Comparing Inequality of Distributions Based on Mixed Lorenz Curves
Malavas, M., Previtali R, Ortobelli,S., Nardelli C.
Managing Risk With Simulated Copula
Michał Bernard Pietrzak, Marcin Fałdziński, Adam P. Balcerzak, Tomáš Meluzín, Marek Zinecker
Estimation of Value-at-Risk with Application of DCC-GARCH Model with Interdependence in Conditional Variance Equations
Grzegorz Michalski
Risk-Based Determinants of Nonprofit Organization Capital Structure
7
16.15 – 16.30
Coffee break
16.30 – 18.00
Adam P. Balcerzak, Marcin Fałdziński, Tomáš Meluzín, Michał Bernard Pietrzak, Marek Zinecker
18.00
8
Interdependence among Capital Markets of Germany, Poland and Baltic States. Application of DCC-GARCH Model
Martin Svoboda
Market Efficiency: Correlation between Returns and Searches on Google before a Change in Coach
Monika Hadaś-Dyduch
Edge Effect in Wavelet Analysis - Author's Approach
Jiří Hozman, Tomáš Tichý
DG Solver for One-factor and Two-factor BlackScholes Models
Dana Černá
Wavelet Methods for Pricing European Options
Michal Holčapek
FT Method for Option Pricing
Social evening
Session 5 5th September 2016 Meeting room: MORAVIA Official language: English
13.00 – 14.30
Mikuláš Pýcha, Jiří Šimůnek, Monika Randáková, Jiřina Bokšová
Disharmony in Credit Rationing of Banking and NonBanking Institutions amongst Defaulted Debtors in Bohemia
Lucie Chytilová
Banking efficiency in the Visegrad Group according to Data Envelopment Analysis with the Risk Component
Piotr Tworek
Risk Management in Public Sector Organisations – Principles, Methods and Tools
Aldona Frączkiewicz-Wronka
Stakeholders as a Source of Risk in Public Hospitals in Poland – Selected Problems
Igor Perechuda
Market Value, Book Value and Intellectual Capital Value in Case of Football Clubs Listed on Stock Exchange
Magdalena Ligus, Piotr Peternek
Urban Environmental Externalities and Location Effect – Hedonic Analysis of Residential Housing Market in Warsaw (Poland)
14.30 – 14.45
Coffee break
14.45 – 16.15
Miloš Tumpach
Misapplications of Rules for the Exchange Rate Differences by Slovak IFRS Adopters
Miloš Kráľ, Malgorzata Rówińska, Jiří Strouhal
Impact of „Covered Call“ Hedging Strategy on Financial Statements
Ján Gogola
Fitting Standard Claims by Generalized Linear Models
David Anthony Procházka
Return on Investments in Solar and Wind Power Plants - A Case Study
Mária Mišanková, Jana Majerová
Critical Assessment of the Applicability of Selected Bankruptcy Prediction Models in Specific Conditions of the Slovak Republic
Aleš Melecký, Martin Hodula
Monetary Policy, Indebtedness and Debt Service Costs
9
16.15 – 16.30 16.30 – 18.00
18.00
10
Coffee break
Martin Boďa, Vladimír Úradníček
Financial Risk and Financial Condition of Slovak Forestry and Logging Enterprises
Branislav Parajka
Pros and Cons of Financial Reporting by a Micro Accounting Entity in The Slovak Republic
Hussam Musa, Zdenka Musová, Zuzana Stroková
Financing of Small and Medium Sized Enterprises in Selected EU Countries
Lidia Kwiecińska-Bożek
Risk Management in Public Hospitals in Poland – Selected Issues
Hana Jakubíková
The Profit or Loss Reported in the Consolidated Financial Statements of Public Administration Accounting Entities of the Slovak Republic
Kateřina Zelinková
Determination of Portfolio by Assuming Student-t Distribution
Social evening
Session 1 6th September 2016 Meeting room: CONGRESS HALL Official language: Czech, Slovak
9.00 – 10.30
Viera Pacáková, Pavla Jindrová, Tomáš Musil
Quantification of Risks of Natural Catastrophes
Zsolt Simonka, Lea Škrovánková
New Approaches to Risk Assessment of Critical Illness
Monika Randáková, Jiřina Bokšová
Tax Risks of Transfer Pricing in the Czech Republic
Jiřina Bokšová, Josef Horák
Reporting of Investments in Commercial Insurance Companies after the Amendment of the Act on Accounting in 2016 in the Czech Republic
Slavka Šagátová, Gabriela Dubcová
Grey Economy as a Risk Factor in Diagnostics of the Business Processes
Lenka Spáčilová
Risk of Deflation in the Euro Area
10.30 – 10.45
Coffee break
10.45 – 12.45
Peter Mokrička
The Characteristics of the Investment through Discount Certificates
Peter Kardoš, Miroslav Uhliar
Transfer of Intellectual Property and Transfer Pricing
Iveta Kufelová
The Price Risk in Business Decision Making of the Company
Daniela Rybárová, Nora Grisáková
Impact of the Sensitivity Analysis on the Risk Assessment of the Project
Michal Vejvoda, Jiřina Bokšová, Monika Randáková, Helena Veselá, Matyáš Heuer
Identification of Violations of Going Concern Assumption in the Automotive in the Czech Republic
Ľudovít Šrenkel, Marián Smorada, Peter Markovič
New Trends in Business Incubation
Vojtěch Paleta
Sustainable Development of Global Automotive Enterprise: The Strategic Path from Defense to Continuous Assurance
11
Session 2 6th September 2016 Meeting room: BOHEMIA I Official language: Czech, Slovak 9.00 – 10.30
Gabriela Dubcová, Slávka Šagátová
Core Topics in the Area of Evaluation Methodology for Inventories Under Applying of the Contribution Approach in an Enterprise
Petra Krišková, Ján Užík
Management of Audit Risk and its Impact on the Audit of Financial Statements
Jiří Pour
Analysis of Selected Factors Supporting Risk of Financial Crises
Martina Paliderová, Alžbeta Bieliková Jakub Kintler Norbert Seneši
The Depreciation Policy in Slovakia and Czech Republic The Sense of Real Options for Valuation Risks in Accounting Associated with Valuation of Transactions between Related Parties
10.30 – 10.45
Coffee break
10.45 – 12.45
Anna Siekelova
The Issue of Credit Risk as a Result of Late Payments in Relation to the Liquidity of Slovak Companies
Lucia Michalková, Katarina Frajtova Michalikova
The Optimal Capital Structure and the Credit Risk Effect
Katarína Hunyady, Denisa Domaracká
The Risk Factors of the Phrase True and Fair View of the Facts in Accounting Versus European Regulation 2013/34/EU and Slovak Accounting Legislation
Lucia Ondrušová, Katarína Máziková
The Revaluation of Assets and Liabilities at the Fair Value in Amalgamation into a Separate Accounting Entity
Jakub Šalaga, Viera Bartošová
Using Economic Value Added to Determine the Value of a Company
12
Barbora Ptáčková
Identification of Financial Performance Generators of the Company using Nonlinear Function Analysis of Variance
Barbora Drugdová
The Issue of the Commercial Insurance Market and Insurance of Non-life Risks
Daša Mokošová
Risks Arising from a Violation of the Obligations Stipulated by the Legislative Accounting Regulation to Entities
Session 3 6th September 2016 Meeting room: BOHEMIA III Official language: Czech, Slovak
9.00 – 10.30
Blanka Šedivá, František Vávra Andrea Kolková
Risk Events for Two Random Processes Back-testing the Effectiveness of Selected Indicators Technical Analysis of the Currency Pair Using Digital Options
Andrea Kaderová, Zsolt Simonka, František Slaninka
Bond Portfolio Immunization
Radko Kříž, Kateřina Seinerová
Forecasting Electricity Prices Using Nonlinear Method
Marie Ligocká, Tomáš Pražák
Relationship Between Stock Prices and Microeconomic Variables: Evidence From Prague Stock Exchange
Petra Daníšek Matušková
The Impact of Changes Market Factors on The Risk Capital in Insurance Company
10.30 – 10.45
Coffee break
10.45 – 12.45
Zuzana Kubaščíková, Renáta Pakšiová
The Application of Benford's Law in Accounting
Helena Ondrúšková
Risks of Tax and Levies Burden for Small and Medium-sized Enterprises
Tomáš Dráb, Hana Florianová
Closet Indexing: the Case of Czechia
Barbora Gondzarova, Viera Bartošová Věra Jančurová
Selected Methods of Business Diagnostics for Managerial Practice The Behavioral Study: Adjustment and Anchoring & Mental Accounting in General Economic Decisions
Ivana Weissová, Marek Ďurica
The Possibility of Using Prediction Models for Monitoring the Financial Health of Slovak Companies
Ondřej Mikulec
The Influence of Motivation on the Investment Behaviour
Věra Jančurová, Zuzana Rakovská
The Analyzes of Model of Investment Decision
13
Session 4 6th September 2016 Meeting room: HARMONY Official language: English
9.00 – 10.30
Virginia Navajas Romero, Mª Carmen López Martín, Natalia Gomez Requena
Loan Delinquencies on Car Purchases. A Scam Analysis Neural networks
Monika Foltyn-Zarychta
Uncertainty Perception in Evaluation of Long Term Investments
Jiří Mihola, Petr Wawrosz
Modeling Cumulative Investment Activities
Anna Doś
Multi-criteria Decision Methods for Financial Management in SMEs
Neida Coromoto Albornoz Arias, Mª Genoveva Millán Vázquez de la Torre, Virginia Navajas Romero, Ricardo Hernandez Rojas Adriana Stanková, Anton Marci
Weak Market in the US Efficiency Period 2000-2009
The Usage of Neural Networks in the Field of Predicting the Future Financial Situation of Businesses
10.30 – 10.45
Coffee break
10.45 – 12.45
Piotr Tworek, Józef Myrczek
Managing Construction Risks in the Public Sector
Adriana Starostová, Ondřej Machek
Corporate Social Responsibility of Czech Family Firms
14
Nadia Natasha Reus González, Genoveva Millán Vázquez de la Torre, Tania Reus González, José Alejandro Mendoza García, Virginia Navajas Romero, Ricardo Hernández Rojas
Comparative Analysis on the Importance of the Expenses that Is Given to the Students the Economic-Administrative Area, Mexico – Spain
Viera Šukalová, Pavel Ceniga
Current Problems of Customer Protection in Insurance
Katarína Belanová
Firm Investment under Financial Market Imperfections
Pavel Ceniga, Viera Šukalová
Corporate Social Responsibility and Risk Management
Denisa Domaracká, Katarína Hunyady
Financial Statement Audit and Risk of Material Misstatement Formed by Fraud
Adrianna Mastalerz-Kodzis
Risk Analysis of Foreign Currency Bank Loans Offered on the Polish Capital Market
Session 5 6th September 2016 Meeting room: MORAVIA Official language: English (9.00 -10.30), Czech, Slovak (10.45-12.15)
9.00 – 10.30
Markéta Zajarošová
(ENG)
Multiple Criteria Decision Making Usage in the New Product Introduction in Retail
Dmytro Mastiuk, Petr Valouch, Petro Krush
Economic Value Added as a Measurement Tool of Capital Structure Effectiveness at the PowerProducing Enterprises
Tomáš Wroblovský, Ondřej Badura
Effects of Remittances and Moral Hazard in Selected Countries
Joanna Błach
Conflicts of Interest and their Consequences for Financial Management and Risk in a Company
Jiří Franek
Comparison of TOPSIS, COPRAS, ARAS and WASPAS Methods in Performance Evaluation Using Crisp and Interval Data
Haochen Guo
Analyzing Hedging Exchange Rate Risk in Gold Market
10.30 – 10.45
Coffee break
10.45 – 12.45
Vojtěch Spáčil
Identification of Risk Consumer Attitudes to the Introduction of Mobile Banking Application
(CZ, SK)
Jan Vašek
Dealing with Uncertainty: Filters of Weak Signals in Energy Management
Jaroslav Urminský
Collocation of Banking Affiliates from Qualitative Perspective
Michal Butek
Relocation as the Answer to Weakening of Social Structures in the Globalisation
Viera Bartošová, Viera Berzáková
Slovak Accounting Legislation: a Basic Framework for Predictive Financial Models
Marek Ďurica, Iveta Ilavska
Delta and Gamma for Gap Options
Jitka Meluchová
Elimination of the Risk and Its Impact on the Reliability of the Information Presented in Financial Reporting
Martina Mateášová
Risk Impact on the Quality of Accounting Information Provided in the Current Conditions of Globalization
15
Notes
16
