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Czech household indebtedness and credit risk
Varhoľová, Eva ; Jakubík, Petr (advisor) ; Marková, Katarína (referee)
This thesis deals with an analysis of indebtedness of the Czech households and, as a consequence with the credit risk for banks and financial institutions. It points out the important role of the household sector in consumption and formation of savings. Main indicators of Czech households are discussed - the development of financial assets, liabilities and wealth. The thesis also provides comparison of the household sector in the Czech Republic with the other countries of the EU. Main objective of this thesis is construction of a model, which on the aggregated data for the Czech Republic captures the mutual dependency of non-performing loans provided to the households to the development of macroeconomic indicators. Selected model of vector autoregression enables the analysis of mutual relations between the loans provided for the households, share of the non-performing loans, development of GDP, interest rates, unemployment, consumption expenditures and the house prices. The thesis concludes with the prediction of indebtedness of the Czech households and together with the results of stress tests provided by the Czech National Bank estimates the resistance of the financial system to the household credit risk.
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Informative value of the cost efficiency concept in banking
Marková, Katarína ; Mejstřík, Michal (advisor) ; Pečená, Magda (referee)
The concept of cost efficiency has repeatedly been proven to have some signaling effect for the risk of a bank failure. In this paper we examine the informative value of the efficiency scores of institutions that have been experiencing distress within the current 'subprime' crisis. For this purpose we employ the parametric stochastic cost frontier method and estimate the cost frontier of five European banking sectors using the pre-crisis data of the period 2004-2007. On a sample of 18 bailed-out institutions we then investigate whether abnormal development in terms of relative cost efficiency preceded the distress. We find that in all examined sectors, except of the British one, distressed institutions performed prior to the crisis on average worse than their peers in terms of relative cost efficiency. Besides, we observe that while the high-profile rescue cases of continental Europe (Dexia, Fortis, HRE) were preceded by years of excessively poor performance, the bailed-out British banks were in all concerns best performers within their relevant industries. The paper is concluded by a discussion of the fundamental risks that result from the current reshaping of the European banking industry. Powered by TCPDF (www.tcpdf.org)
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Informative value of the cost efficiency concept in banking
Marková, Katarína ; Mejstřík, Michal (advisor) ; Pečená, Magda (referee)
The concept of cost efficiency has repeatedly been proven to have some signaling effect for the risk of a bank failure. In this paper we examine the informative value of the efficiency scores of institutions that have been experiencing distress within the current 'subprime' crisis. For this purpose we employ the parametric stochastic cost frontier method and estimate the cost frontier of five European banking sectors using the pre-crisis data of the period 2004- 2007. On a sample of 18 bailed-out institutions we then investigate whether abnormal development in terms of relative cost efficiency preceded the distress. We find that in all examined sectors, except of the British one, distressed institutions performed prior to the crisis on average worse than their peers in terms of relative cost efficiency. Besides, we observe that while the high-profile rescue cases of continental Europe (Dexia, Fortis, HRE) were preceded by years of excessively poor performance, the bailed-out British banks were in all concerns best performers within their relevant industries. The paper is concluded by a discussion of the fundamental risks that result from the current reshaping of the European banking industry.
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Informative value of the cost efficiency concept in banking
Marková, Katarína ; Mejstřík, Michal (advisor) ; Pečená, Magda (referee)
The concept of cost efficiency has repeatedly been proven to have some signaling effect for the risk of a bank failure. In this paper we examine the informative value of the efficiency scores of institutions that have been experiencing distress within the current 'subprime' crisis. For this purpose we employ the parametric stochastic cost frontier method and estimate the cost frontier of five European banking sectors using the pre-crisis data of the period 2004- 2007. On a sample of 18 bailed-out institutions we then investigate whether abnormal development in terms of relative cost efficiency preceded the distress. We find that in all examined sectors, except of the British one, distressed institutions performed prior to the crisis on average worse than their peers in terms of relative cost efficiency. Besides, we observe that while the high-profile rescue cases of continental Europe (Dexia, Fortis, HRE) were preceded by years of excessively poor performance, the bailed-out British banks were in all concerns best performers within their relevant industries. The paper is concluded by a discussion of the fundamental risks that result from the current reshaping of the European banking industry.
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The impact of the credit crunch on the cost and profit efficiency of the banks: an international comparison
Babin, Adrian ; Marková, Katarína (advisor) ; Pečená, Magda (referee)
This thesis documents, using an unbalanced panel of Top 1000 World banks with observations for 2005 - 2009, three main aspects related to cost and profit efficiency in banking. First, it established that there is no correlation between a bank's rank in the Top and its rank given by the efficiency scores. However, the size of the banks plays a positive role on the cost efficiency of the institution, big banks having higher cost efficiencies than small banks. Conversely, the profit efficiency is equal across different sizes. Second, it verified that for 2005 - 2009 there is no evidence that banks from the developed countries are more efficient than banks from emerging economies. This finding is further supported by the third aspect, which shows that banks originating in the developed economies, with large exposures to more sophisticated banking products, have been hit the hardest by the financial crisis. However the banks managed to shrink their cost inefficiency while losing efficiency on the revenue side. The post crisis, 2009, proved to be a year in which banks across countries and regions converged in terms of efficiency and plateaued at about 10% and 25% for cost and profit inefficiency respectively.
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Foreign bank participation in transition economies: the effects on access to credit
Krafková, Anna ; Geršl, Adam (advisor) ; Marková, Katarína (referee)
The thesis discusses the topic of foreign bank participation in transition economies. First part presents theoretical considerations about foreign bank entry and their empirical support. The main focus is then on the empirical investigation of the possible relation between the degree of foreign bank participation and the availability of credit across transition countries. Combining responses from a survey of firms operating in 38 transition economies with data on the degree of foreign bank participation, we derived some interesting conclusions. The analysis suggests that conditions for obtaining credit seem to be better in economies having higher share of foreign banks within countries of Central and Eastern Europe. The opposite conclusion was derived for countries of Commonwealth of Independent States; there economies with higher foreign presence tend to perceive conditions of financing as more problematic. Moreover, it was shown that enterprise size, its ownership and sector within which operates also matter when drawing conclusions on the effects on foreign bank on the availability of credit. Additionally, we identified that the share of state-owned banks and the effectiveness of domestic banking sector are other determinants of credit accessibility.
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Czech household indebtedness and credit risk
Varhoľová, Eva ; Jakubík, Petr (advisor) ; Marková, Katarína (referee)
This thesis deals with an analysis of indebtedness of the Czech households and, as a consequence with the credit risk for banks and financial institutions. It points out the important role of the household sector in consumption and formation of savings. Main indicators of Czech households are discussed - the development of financial assets, liabilities and wealth. The thesis also provides comparison of the household sector in the Czech Republic with the other countries of the EU. Main objective of this thesis is construction of a model, which on the aggregated data for the Czech Republic captures the mutual dependency of non-performing loans provided to the households to the development of macroeconomic indicators. Selected model of vector autoregression enables the analysis of mutual relations between the loans provided for the households, share of the non-performing loans, development of GDP, interest rates, unemployment, consumption expenditures and the house prices. The thesis concludes with the prediction of indebtedness of the Czech households and together with the results of stress tests provided by the Czech National Bank estimates the resistance of the financial system to the household credit risk.
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Foreign bank participation in transition economies : the effects on access to credit
Krafková, Anna ; Marková, Katarína (referee) ; Geršl, Adam (advisor)
The thesis discusses the topic of foreign bank participation in transition economies. First part presents theoretical considerations about foreign bank entry and their empirical support. The main focus is then on the empirical investigation of the possible relation between the degree of foreign bank participation and the availability of credit across transition countries. Combining responses from a survey of firms operating in 38 transition economies with data on the degree of foreign bank participation, we derived some interesting conclusions. The analysis suggests that conditions for obtaining credit seem to be better in economies having higher share of foreign banks within countries of Central and Eastern Europe. The opposite conclusion was derived for countries of Commonwealth of Independent States; there economies with higher foreign presence tend to perceive conditions of financing as more problematic. Moreover, it was shown that enterprise size, its ownership and sector within which operates also matter when drawing conclusions on the effects on foreign bank on the availability of credit.
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