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Bank credit risk management in the low-interest rate environment
Maivald, Matěj ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
The thesis examines the relation of the low-interest rate environment to the banks' selected credit risk measures with a panel dataset on banks in Eurozone, Denmark, Japan, Sweden, and Switzerland covering the period 2011-2017. It employs a system GMM framework and a combination of bank-related and macroeconomic variables. This study builds on recent literature on effects of low-interest rates on banks' profitability and estimates the following three hypotheses: The potential effects of the low-interest rate on non-performing loans (NPL) ratio, risk-weighted assets (RWA) to total assets ratio, and changes in Tier 1 capital ratio. There are three main results: Firstly, the results suggest that a prolonged period of negative monetary interest rate can affect the NPL ratio and reveal a possible relationship between the 3M-interbank interest rate and NPL ratio. Thus, the thesis does not reject the first hypotheses. However, it rejects these hypotheses in case of the other two ratios. Secondly, the study finds a bank heterogeneity to be a significant determinant of the credit risk. Finally, using recent data, this thesis contributes to the literature focusing on the drivers of the NPL ratio, RWA to total assets ratio and Tier 1 capital ratio, where in case of the latter two the existing research is...
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Analysis of the impact of possible changes in the parameters of the Czech pension system on its balance
Maivald, Matěj ; Cahlík, Tomáš (advisor) ; Ryska, Pavel (referee)
Pension system in the Czech Republic still heavily relies on a model based on current disbursement method (PAYG), which is largely based on intergenerati- onal solidarity. With expected demographic changes, however, the amount of those who contribute will decrease and the oncoming retirement of populous generations of 70s together with prolonging life expectancy on the other hand will cause expenditure to increase. This thesis takes advantage of two different demographic projections and incorporates the latest macroeconomic data and legislative changes to capture the possible future scenarios. The results of this part suggest that the current system is not sustainable without intense external financing. Further it explores the impact of potential changes in various parameters of the pension system on the final account balance of pension insurance and tries to find their ideal setting that would allow for a balanced budget. Changes that would be required to implement in order to attain this objective are not insignificant and could be negatively reflected in the overall development of the Czech economy. It is therefore inevitable to start a discussion about more comprehensive possible reforms of the Czech pension system. JEL Classification E17, J11, H55 Keywords pension system, pay as you go system,...
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