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Risk management and internal capital adequacy assessment process
Býčková, Iveta ; Kalínská, Emílie (advisor) ; Čajka, Radek (referee)
This bachelor thesis is focused on the New Basel Capital Accord, so-called Basel II and Internal capital adequacy assessment process. This thesis is devided into four parts. The first section defines every single risk in the bank. The second part attend to Basel I a Basel II. The thesis addresses the development of rules for the calculation of capital adequacy, describes tree pilars of Basel II and regulatory capital. The third part of the thesis is focused on common problems of risk management and banks can choose from qualitative and quantitative analysis. The final part contains with the calculation of capital requirements for credit, market and operational risk. This part deals with unexpected and expected loss as well as the various methods for calculation of capital requirements within each risk is involved, i.e., the basic and advanced methods. Advanced approaches within each risk, i.e. approach based on internal ratings (IRB), the method of value at risk (VaR) and the approach AMA can be used by banks after previous agreement of the Czech National Bank.
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New regulatory and supervisory rules in banking
Csörgö, Tomáš ; Zetek, Pavel (advisor)
The bachelor thesis aims to clarify the new rules of regulation in banking. It explains step by step the need of regulation and supervision by different arguments, which are undoubtedly important for the banking sector. In addition to regulation, it explains principles of supervision, so not only the importance of rules, but also their fulfilling. In the next part, it describes Basel II accord, focusing on internal methods of measuring of credit and operational risk. By De Larosiére report the paper explains the need of new regulatory rules. The main part of the work is the last one, where the new rules are explained. It contains the explanation of remuneration, capital adequacy, liquidity and leverage ratio. The possible impact on economy is mentioned at the end of the work.
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Banking risk management in the Czech banking example
Kousalová, Klára ; Půlpánová, Stanislava (advisor)
The goal is to evaluate the methods, procedures and ways of managing risk Czech banking entities. The first part focuses on the nature of the risk of credit, market, liquidity and operational. The second chapter is the analysis of the Czech banking sector itself, given the risk management, capital adequacy and compliance with regulatory rules. The last part is focused on the development of Basel II. The resulting information provides a summary in conclusion.
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Development of the concept of the capital adequacy in the Slovak banking sector
Cipková, Dagmara ; Půlpánová, Stanislava (advisor)
This bachelor thesis deals with the analysis of the development of the capital adequacy in the Slovak republic. It describes the adaptation of the calculation of the capital adequacy on the basis of the Basel I treatment, which gradually transforms into the Basel II methods, and briefly describes the new upcoming adaptation. The main body of this work consists of the methods for calculating the credit, the market and the operational risk, and the determination of capital requirements. Particular methods are described according to the individual adaptations in attention of the sequence exploitation. An attention is also paid to the short description of the three pillars of the Basel II. Global trend is supplemented by the information from the banking sector.
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The analysis of the trend of capital adequacy in chosen banks in Slovakia
Drahoš, Marián ; Dvořák, Petr (advisor)
This thesis deals with trend of capital adequacy ratio in four chosen banks in Slovakia- in Slovenská sporiteľňa, Dexia banka Slovensko, Privatbanka and Tatra banka in years from 2005 to 2009. The core of thesis is divided into 3 chapters. The first part provides basic information's about keystone, significance and development of capital adequacy principles. Next chapter is dedicated to characterization of Slovak bank sector, concerning legal regulations and short analysis of the trend of capital adequacy for whole bank sector. The most important part of the thesis is analysis of capital adequacy in four chosen banks, where I put emphasis on analysis of factors influencing value of capital adequacy- capital and risk weighted assets. I also evaluate other impacts, for example the implementation of the new regulation rules Basel II.
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Capital adequacy and its calculation based on the principles of Basel II
Petrák, Lukáš ; Dobrovolný, Marek (advisor)
This bachelor thesis deals with the New Basel Capital Accord, so-called Basel II, with a focus on the calculation of capital requirements for credit, market and operational risk. The work briefly examines the reasons for the regulation of the banking sector and the various instruments of regulation. The thesis addresses the development of rules for the calculation of capital adequacy as well as the various methods for calculation of capital requirements -- i.e., the basic and advanced methods. Furthermore the comparison of basic and advanced approaches for calculation of capital requirements within each risk is involved. Advanced approaches within each risk, i.e. approach based on internal ratings (IRB), the method of value at risk (VaR) and the approach AMA can be used by banks after previous agreement of the Czech National Bank provided many quantitative and qualitative requirements have been met. As a matter of fact, the Czech banks have not much employed the advanced approaches yet, but their utilisation is expected to increase year by year.
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The Effect of Introduction of Basel II on Capital Adequacy of Selected Czech Banks
Kubíček, Antonín ; Dvořák, Petr (advisor)
The aim of this bachelor thesis is to evaluate the impact of new rules for calculating capital adequacy in the Czech banking sector in general and then in the selected sample of four banks. The subject of my analysis is the relative amount of capital adequacy before and after implementation of Basel II across the Czech banking sector and the capital requirements before and after implementation of Basel II which showed the selected four banks. The question I want to answer is the extent to which new practices that Basel II allows banks to use for calculating the capital requirements for credit and operational risk change the relative level of capital adequacy and the total amount of capital requirements in banks selected by me.
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Corporate governance and its legal framework
Březina, Václav ; Taušer, Josef (advisor) ; Zadražilová, Dana (referee)
The master's thesis analyses the contemporary corporate governance standards and their legal framework. The paper describes the development of different corporate governance principles and the key legal pieces that regulate the corporate governance area (eg. Sarbanes-Oxley, Basel II, EC regulation). The core of the paper focuses on corporate governance failures that led to the current financial crisis, analyses their link to the corporate governance principles and describes the trends for development in the corporate governance regulation.
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Credit Rating Market and the Current Situation in this Market (Frequent Criticism)
Kolcunová, Martina ; Štěpánek, Pavel (advisor) ; Drahotský, Daniel (referee)
Importance of rating/credit rating agencies' role has recently significantly increased. Rating has become an integral part of the financial, capital markets. Yet this market (i.e. credit rating market) is not subject to regulation (the market works on the basis of a self-regulation principle) which is the fact widely used as a basis for the criticism of this industry in the light of recent events in the financial markets (the collapse of Enron, Parmalat, and other companies, lately followed by a collapse of the subprime mortgage market). The paper outlines the (monopoly) structure of the rating industry in the U.S. and the EU, discusses the new roles of rating in the regulation (e.g. regulation of the banking sector, BASEL II) as well as potential barriers for the market entry. The paper also addresses potential conflicts of interest and lack of regulation which can be observed in the industry.
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Evaluation of the bank in term of credibility, stability and profitability
Hercíková, Alena ; Půlpánová, Stanislava (advisor)
The main purpose of this paper is evaluation of the bank. It is based on three pillars, namely credibility, stability and profitability. The first pillar is derived from the regulatory framework in the form of Basel II, and the evaluation is primarily devoted to credit and operational risk. The second pillar is liquidity of the bank, which is linked to its stability and credibility. The last part of this paper contains the analysis of profitability, where the bank is evaluated on the basis of certain indicators of financial analysis. For the practical part of the analysis, I have chosen the Československá obchodní banka, a.s. and Česká spořitelna, a.s..
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