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Challenges of IFRS 9 under COVID-19 crisis
Stefanov, Adam ; Pečená, Magda (advisor) ; Teplý, Petr (referee)
The purpose of this thesis is to analyse provisioning in banks according to the new accounting standard IFRS 9 under COVID-19 crisis, and the difference between provisioning under IFRS 9 and the previous IAS 39 standard in the Czech Republic. We examine the procyclicality of provisioning and income smoothing practices in Czech banks on individual banking groups data and on aggregated total banking sector. We use panel regression and Ordinary Least Squares on quarterly aggregated real data for the period 1Q2008-4Q2021. The provisioning under IAS 39 incurred loss model was procyclical, and therefore IASB introduced IFRS 9 - a new three-stages ECL model to calculate impairment and provisions in a forward-looking manner, which it believed to be countercyclical. First, we find that the provisioning in Czech banks under IFRS 9 still behave procyclically, even though the banks create provisions immediately when the macroeconomic environment deteriorates compared to the delayed provisioning under IAS 39. We discuss a possible solution to the procyclicality problem that could lie in the US GAAP CECL model. Second, we provide evidence that the introduction of IFRS 9 discouraged banks from income smoothing practices via provisions, thus removing some inefficiency of the previous standard.
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Exploring the Relationship between Customer Experience and Bank Profitability
Veselá, Tereza ; Teplý, Petr (advisor) ; Pavlíček, Jaroslav (referee)
The thesis empirically examines the relationship between customer experience and bank profitability in Central Europe. It combines customer experience and financial data on 50 banks in the Czech Republic, Austria, Germany, Slovakia, and Poland for the 2017-2020 time period. Panel data estimation methods (first differencing, fixed effects, and random effects) combined with pooled OLS estimation and other robustness checks were employed. Followingly, it was possible to identify a positive significant effect of customer experience in the form of the Six Pillars metrics on net interest margin. This finding is in contradiction with the ones of rather scarce literature on this topic, and thus offers a new understanding of the relationship. No evidence was found for associations between customer experience and return on equity or return on assets, a result supported by some researchers but negated by others. The conclusions of this study may be of interest to bank managers by guiding customer experience related investment optimalisation or prospective investors who consider using customer experience to evaluate a firm's profitability potential. JEL Classification C12, C33, G21, L25, M31 Keywords banks, profitability, customer experience, financial analysis, net interest margin, return on equity, return on...
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The Czech banking sector: Determinants of Profitability
Hykl, Daniel ; Pečená, Magda (advisor) ; Teplý, Petr (referee)
This thesis is concerned with Czech banking sector in 2015 - 2020 and its profitability. A set of bank-specific and macroeconomic variables is tested for profitability determination effects by a general profitability model estimated with system GMM, FE, and OLS methods, yearly and quarterly data are used. The results indicate negative effects on bank profitability of the following on both yearly and quarterly bases: capitalization, operational efficiency, and inflation change, and positive effects on bank profitability of the following on both yearly and quarterly bases: bank size and GDP growth. The thesis also analyzes quarterly changes in bank assets, liabilities, and equity. The results indicate systematic drops of liabilities and assets reported as of year-ends. Potential explanations are discussed along with suggestions for further research as this study presents a complex set of insights, results, and experience ready to be augmented with further efforts.
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Influence of economical crises on weak efficiency of capital markets
Minařík, Štěpán ; Teplý, Petr (advisor) ; Vošvrda, Miloslav (referee)
In first part of my research a describe different ways of measuring weak efficiency of capital markets. In second part I explore economical crises in five various countries (Argentina, Malaysia, Mexico and Czech Republic) and I enounce hypothesis of effect of economical crises on weak capital market efficiency. In the end by using some tests (variance ratio test, run test, break event test) and discussion of results according to hypothesis I verify an availability of statement if crises has any influence on capital market weak efficiency. Powered by TCPDF (www.tcpdf.org)
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Profitabilty and costs of banking products in the Czech market
Šútorová, Barbora ; Teplý, Petr (advisor) ; Janský, Petr (referee)
This bachelor thesis is aimed to be an accurate and detailed analysis of profitability and costs of bank deposits and loans for individual clients in the Czech market with possibility to make a comparison of the advantages of the Czech banks' products. Moreover, in general, the thesis tries to refute or confirm the criticism about the magnitude of bank fees in the Czech Republic. The principle of the analysis is based on a comparative tool designed in MS Excel containing defined parameters in the form of actual fees and interest rates and the appropriate formulas of financial mathematics, thanks to which, it is able to calculate the return on the deposit or total costs of loan products. The final amount is calculated for specific flexibly entered inputs such as the amount of the deposit or loan repayment period. This tool is an electronic attachment to this work.
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Development of investment opportunities for individual investor in the Czech Republic since 1990
Souček, Martin ; Mejstřík, Michal (advisor) ; Teplý, Petr (referee)
Purpose of this thesis is to describe historical development of the Czech capital market and collective investment market, to be able to analyse further investment opportunities of individual investor within these markets from the year 1990. In the first part of thesis we are describing institutional development of financial market from transition period through privatization until presence. In the second part we set up limiting conditions and theoretical presumptions for our analysis of investment opportunities of individual investor. We define also separate investment strategies and predictive models. In the third part of thesis we compare profitability of separate investment strategies in combination with various predictive models. Purpose of this analysis is to find out within our observed period optimal investment strategy based on historical data and econometric methods and verify usefulness of various investment rules.
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Operattional risk : scenario analysis
Rippel, Milan ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
Operational risk management and measurement has been paid an increasing attention in recent years - namely due to the Basel II requirements that were to be complied with by all international active financial institutions by January 2008 and also due to recent severe operational risk loss events. This diploma thesis focuses on operational risk measurement techniques and on regulatory capital estimation methods. A data sample of operational losses provided by a Central European bank is analyzed using several approaches. Multiple statistical concepts for the Loss Distribution Approach are considered. One of the methods used for operational risk management is a scenario analysis. Under this method custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main problems are assessed in this diploma thesis - what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling because its results are consistent even while using scenario analysis method. The...
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European Bank Mergers and Acquisitions:do they Create Value for Shareholders?
Stárová, Hana ; Teplý, Petr (advisor) ; Havel, Jiří (referee)
The European banking industry has experienced profound change in regulation, technology and market structure over the last two decades. Since the late 1990s, a strong wave of mergers and acquisitions (M&A) and market consolidation process have been induced by changing external environment. The aim of this thesis is to find out whether M&A transactions in the European banking sector can be justified by creating value for involved banks' shareholders. For this purpose we first discuss theoretical motives, which indicate the potential sources of value creation. Furthermore, we conduct an event study examining value implications of 59 M&A transactions of listed European banks carried out between 1998 and 2007. Our findings suggest large value creation for the targets' shareholders. On contrary, significant value destruction is found for shareholders of the bidding banks. The net wealth effect for combined entities of targets and bidders is still significantly positive; therefore, we conclude that banking M&As have been successful. Moreover, we present results for several sub-samples analysing differences in terms of value creation between domestic and cross-border deals, cash and equity-financed deals and transactions of different sizes.
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