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Regulatory Approaches to Credit Risk Quantification
Stará, Pavla ; Pečená, Magda (advisor) ; Hausenblas, Václav (referee)
Credit risk represents one of the most significant risks which a bank must face, and therefore, its intention is effectively manage and measure this risk. However, management and measurement methods are supervised and influenced by national regulators. Banking regulatory supervision plays a significant role among others in determining minimum capital requirements that serve as buffer against losses stemming from credit risk. This thesis provides theoretical foundation of regulatory approaches - standardized and internal rating based (IRB) approach - used for quantification of regulatory capital to credit risk as well as empirical application of such approaches on created portfolio of corporate loans. As a part of IRB method I suggested a model composed of financial ratios estimating probability of default using logistic regression. I founded out that rather the use of combination of financial ratios from different groups of ratios with slight dominance of profitability ratios forms final model. Therefore, superiority of solvency ratios in modelling cannot be proved on my portfolio. After estimating and determining necessary parameters I quantified the minimum regulatory capital requirements to credit risk under standardized and IRB approaches prescribed by Basel III. In the end, the results are...
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Interest rate risk measurement and management in theory and practise
Stará, Pavla ; Pečená, Magda (advisor) ; Patáková, Magdalena (referee)
The bachelor thesis is focused on the risk management in a bank, notably, on the interest rate risk measurement and management. For banks it is important to know the level of risk exposure and according to that to select appropriate management strategy that will minimize adverse fluctuations in bank's profitability. The thesis summarizes the basic models used for measurement, whereas we find out that none of them is perfect and their functionality is conditional upon various assumptions. Furthermore, it deals with analyzing selected basic instruments used for interest rate risk management, which implies that the management process is complex. The usage of various instruments may expose the bank to additional risks. Therefore, it is not possible under the effort to successful management to focus exclusively on the interest rate risk, however, it is necessary to analyze the other risks at the same time. The case study is aimed at the estimation of interest rate risk exposure on the basis of provided GAP analysis. There are three calculation methods presented, although the third one was not possible to apply due to lack of data. Regarding that the obtained results contain just estimates, the final calculations might be affected.
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