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Three Essays on Bank-Sourced Credit Risk Estimates
Štěpánková, Barbora ; Krištoufek, Ladislav (advisor) ; Teplý, Petr (referee) ; Seow, Hsin-Vonn (referee) ; Ansell, Jake (referee)
The aim of the thesis is to bring new insights into banks' internal credit risk estimates and their application in estimation of credit transition matrices, which are an important part of credit risk modelling with limited publicly available sources. The doctoral thesis consists of three essays that jointly analyse features of bank- sourced credit risk data and practicalities of transition matrices estimation. In the first essay, I empirically test two assumptions widely used for estimation of transition matrices: Markovian property and time homogeneity. The results indicate that internal credit risk estimates do not satisfy the two assumptions, showing evidence of both path-dependency and time heterogeneity even within a period of economic expansion. Contradicting previous findings based on data from credit rating agencies, banks tend to revert their past rating actions. The second essay analyses the extent to which transition matrices depend on the characteristics of the underlying overlapping bank-sourced credit risk datasets and the aggregation method. It outlines that the choice of aggregation approach has a substantial effect on credit risk model results. I also show that bank-sourced transition matrices are more dynamic than those produced by credit rating agencies and introduce industry-specific...
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Dopad nových pravidel Basel III na český bankovní sektor
Kříčková, Veronika
Kříčková, V. The Impact of the new Basel III Rules on the Czech Banking Sector. Di-ploma thesis. Brno: Mendel University, 2019. Diploma thesis is aimed at analysis of the new rules of banking regulation Basel III and their impact on the Czech banking sector. It describes the development of the rules issued by the Basel Committee on Banking Supervision, their structure and then compares their differences. The thesis also presents an analysis of expert studies and empirical research on Basel III and its potential impact on the bank-ing sector and economy. It also deals with the impact of new regulation require-ments on selected indicators of banking sector performance and selected banks. The last part of the thesis deals with an outline of possible future development of banking regulation with a focus on the Czech banking sector.
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Vliv regulačních požadavků na bilanční strukturu vybraných skupin bank v zemích V4
Malovaná, Petra
The subject of this diploma thesis is to carry out the analysis of banking regula-tion on minimum requirement for own funds and eligible liabilities (MREL) and based on this analysis to identify possible impacts on the balance structure of se-lected groups of banks in V4 countries. The main reasons for creating the MREL regulation are defined in the thesis. Furthermore, the thesis describes the devel-opment of banking regulations in connection with the events on the world mar-kets and the expected impacts on the banking sectors of the V4 countries. Based on the data from the annual reports of the selected banks, it is assessed whether the selected banks and their groups have the required amount of regulatory capi-tal.
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Credit transactions in corporate banking
Hlúbiková, Helena ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
Credit transactions in corporate banking Abstract Credit transactions in corporate banking are among the significant active transactions of Czech banks. However, there are a number of specific risks related to these transactions. Those risks are the reason why these transactions are being given increased attention not only by banks but also by the legislator. As a result, there is an increasing number of banking and other public law norms that have a significant impact on bank corporate lending. Therefore, the subject of this thesis is to carry out legal analysis of banking corporate credit transactions, especially with regard to their financial regulation. This thesis is divided into four parts. The first one focuses on the financial definition of these transactions, their types, risks, and other related aspects. The second part presents an overview and analysis of banking and other public law norms regulating these transactions, both Czech and those accepted under the European Union law. Therefore, within this part are elaborated in relation to these transactions not only the prudential requirements arising from the Act on Banks, Prudential Decree No. 163/2014 Coll. or the directly applicable CRR regulation, but also the requirements of European laws implemented in the Czech legislation through BRRD, AMLD...
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The Legal Regulation of Banking Activities
Martinů, Katrin ; Kotáb, Petr (advisor) ; Sejkora, Tomáš (referee)
The Legal Regulation of Banking Activities Abstract The subject of this diploma thesis is the legal regulation of the activities of banks. Emphasis is placed on newly regulated areas and topical areas in respect to legislative changes. The primary aim of the thesis is to analyse areas related to the activities of banks and to assess the suitability and sufficiency or redundancy of the legal regulation of the selected areas in terms of the scope and depth of regulation. In this context, the work is complemented by proposals de lege ferenda. The first section is devoted to the subjects of banking regulation. Within this part, the term "bank" is defined, including the assessment of online banks. After that, supervisors, namely the Czech National Bank and the European Banking Authority, are presented together with an outline of their functions. The following section covers the general basis of the regulation of bank activities. The sources of regulation are described, and the objectives and reasons for and against regulation are outlined. A description of processes for entering and exiting the banking sector are included, with a more detailed analysis of procedures for obtaining a banking license. The third section contains an analysis of the selected obligations of banks arising from the legislation regulating...
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Subordinated bonds as a Tier 2 capital instrument
Fiala, Martin ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
Subordinated bonds as a Tier 2 capital instrument Abstract This rigorous thesis the topic of which is "Subordinated bonds as a Tier 2 capital instrument" elaborates on bank regulation and possible ways of how to comply with it. Specifically, whether it is possible (and how) to meet Tier 2 capital requirement as one of the requirements of capital adequacy. Following the introduction to this rigorous thesis and setting forth the scientific methods of work the author follows a development of capital adequacy as one of the core requirements of the current bank regulation. This historical development has been put into conjunction with the leading feature of this development - whether it was a globalisation of banking services or specificities of 2008 financial crisis. The Tier 2 capital requirement is explained on this background. This topic is completed with the purely economic chapter that elaborates and explains reasons of financial regulation and goals that the financial regulation tends to accomplish. To be specific, it concerns the theoretical model of perfect competition and particular market failures. The understanding of market failures is a key to the well-drafted financial regulation. While banks tend to complain about the amount of regulation they need to comply with on a daily basis, the goal of...
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Banking Regulation in the Czech Republic
Hanel, David ; Dupáková, Lenka (advisor) ; Seknička, Pavel (referee)
This thesis deals with the current legislation of banking regulation in the Czech Republic. It analyzes both Czech and relevant European regulation that has increasing importance in the area. Moreover, the most significant amendments enacted as a result of the Basel III implementation are pointed out. The issue is viewed from an interdisciplinary perspective therefore, in addition to the analysis of current legislation, its economic impact on the Czech banking sector is also evaluated. Due to the enormous breadth of the banking regulation field, this thesis focuses on examining the areas considered most essential by the author. The first introductory chapter lays down the theoretical foundations of banking and banking regulation and thoroughly defines the term "bank", both legally and economically. The second chapter deals with banking licensure, which plays a crucial role in the regulation of accessing the activity of banks. It analyzes the requirements that have to be met in order to be authorized, as well as the issue of the single EU passport and the withdrawal of the authorization. The third chapter deals with the wide and significant area of banking risks. The discussion assesses the nature of each risk, as well as methods for their measurement and management, and capital requirements. The predominant...
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Legal regulation of the activities of banks
Dudrová, Kateřina ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
This diploma thesis deals with the regulation of the activities of banks, which has already been relatively extensive but as a result of the most recent financial crisis, it has been extended by new rules and requirements. The aim of this thesis is to clarify the essence of the basic obligations of the banks related to the entry into the banking sector and to working in the sector, and last but not least to leaving the sector and to the termination of the banking activity. All these obligations are then amended by new requirements for crisis management and the insurance of deposits, which are also based on prudential and precautionary principles and aim at maintaining the security and stability of the banking sector. This thesis is divided into six individual chapters but they are connected with each other. The initial chapter defines the key concept of this thesis, namely the concept of the bank from the legal perspective because the legal definition of the bank is slightly different than the economic definition. This thesis as well enumerates the forms of legal regulation that can be used in this area of law, whether it concerns directly applicable European legislation, primary or delegated legislation or non-binding statements and recommendations of regulators. Then the following chapters deal...
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An alternative view on Czech banking sector's riskiness
Kubeš, Jan ; Teplý, Petr (advisor) ; Troch, Tomáš (referee)
Riskiness of Czech banking sector is subject of interest of this thesis. Since the beginning of 21st century, there is moderately growing number of banks and their overall profitability expressed in absolute values is increasing. Ratio of non-performing loans to total loans is also displaying optimistic values. Four indicators of riskiness are studied through data about Czech banks from 2008 to 2015. These indicators are: z-score, leverage ratio, RWA density and ratio of non- performing loans to total loans. Rather low correlations among these indicators are found, the highest correlation (0,670) is between leverage ratio and RWA density, on the other hand the lowest one (0,093) is between z-score and NPL ratio. In aggregate form are three of the indicators displaying stable trend to lower riskiness in 2008-2015 period, the same can be stated about NPL ratio in 2010-2015 period. Then is regression analysis employing fixed effects estimation and random effects estimation used, with the aim to identify determinants of the four indicators. Size of banks expressed in logarithm of total assets is significant in only one model with RWA density on the place of dependent variable. This significance is at 10 per cent level and corresponding coefficient is negative. In contrary, growth of assets and dummy...
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The relationship between central banks and commercial banks
Růžek, Lukáš ; Bakeš, Milan (advisor) ; Kohajda, Michael (referee)
This diploma thesis deals with the relationship of the central bank with commercial banks. A central bank perform important functions, and thus it has its own set of competencies needed to achieve its objectives. To those functions belong, above all, participation in creation of binding legal acts and supervision over banking institutions. The Czech National Bank is the central bank of the Czech Republic, and its activities and status are governed, especially, by Act. No. 6/1993 Coll., on the Czech National Bank, as amended. This diploma thesis is divided into three sections. The first section is devoted to the theoretical framework of central banking. The second section is focused on the Czech National Bank and its powers and functions. The last section deals with the development of banking regulation on the international level. The main goal of this diploma thesis is to identify individual interactions between the Czech National Bank and commercial banks.
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