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Macroeconomic determinants for non-performing loans dynamic - the case of the Czech Republic
Doutnáčová, Jana ; Seidler, Jakub (advisor) ; Dózsa, Martin (referee)
vi Abstract The thesis investigates the linkages between macroeconomic performance and banks loans portfolio quality represented by the non-performing loans ratio in the Czech banking system in years 2003-2013. The empirical analysis evaluates how banks non-performing loans are influenced by several macroeconomic indicators such as GDP, inflation, interest rate, unemployment rate and exchange rate. First we investigate loans quality on the aggregate level, next we analyze the quality of loans of households and non-financial corporations sector separately as the macroeconomic variables may affect these two sectors of borrowers differently. Finally the analysis of mutual links is done for different loan categories according to the level of failure also. The empirical results from vector autoregression model and impulse response analysis generally suggest that favorable macroeconomic conditions improve banks loans quality by lowering the non-performing loans ratio and vice versa. The thesis also identifies the feedback effect of increasing non- performing loans ratio on economic performance. Keywords: banks loans quality, macrofinancial linkages, non-performing loans, Czech banking system
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The impact of macroeconomic factors on financial institutions credit risk during the global financial crises, case in Czech Republic
Jusufi, Gent ; Pečená, Magda (advisor) ; Rippel, Milan (referee)
This study aims to estimate the ratio of non-performing loans to total loans (NPL ratio), its determinants and its response to different macroeconomic shocks. As the last financial crises had negative impact on the economy of many countries of the world, we have to strive for preventive measures that would help us to fully or at least partly avoid future crises. It should be achieved by sound risk management practices of all financial institutions. Important part of these risk management practices shall be - among others - stress tests that would test the health of the institution under severe conditions and negative shocks. For this study the vector autoregression model (VAR methodology) is used to see the response of credit risk (in terms of NPL ratio) to macroeconomic shocks in the Czech Republic. The variables used for this study are quarterly time series data of the period from 2002 to 2011 (GDP, inflation rate, unemployment rate, koruna exchange rate (CZK/USD), and interest rate). For each of these variables the impulse response function was created, to show the impact of macroeconomic shocks and the speed of adjustment of NPL ratio to these shocks. Keywords: Financial Crises, Credit Risk Management, Non-performing loans, Macroeconomic Shocks, Czech Republic, VARs
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Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
Šimečková, Jana ; Geršl, Adam (advisor) ; Pečená, Magda (referee)
This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.
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The Role of State Ownership in Commercial Banks: Experience of CEE Transition Countries
Wu, Jiao ; Mejstřík, Michal (advisor) ; Mickiewicz, Tomasz (referee)
Central and Eastern Europe(CEE) is the region where the ownership of banks has been through the most fundamental and massive changes during the past two decades. This paper analyses the role of state-ownership in commercial banks, whether and why state ownership imposes negative effects on commercial banks in CEE transition countries, through both theoretical arguments and empirical testings. The thesis summarizes previous literature and analyses the role of banking ownership and performance, particularly though a dynamic view of the banking privatisation process. It investigates the reasons why state-owned banks are harmful in CEE countries from a corporate governance point of view. Followed by empirical tests on this topic, including banking production efficiency measurement using Stochastic Frontier Analysis and second-stage regression analysis about the effects of ownership on banking efficiency and asset quality. This paper finds out that the state ownership of banks imposes negative effects on bank performance and hinders successful privatisation of enterprises. Banking production efficiency has been improving greatly in late 1990s and stayed at a constant high level in 2000s. Through panel data regressions, we find the negative effects of state-ownership on banking production efficiency and asset...
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Výhody a nevýhody snižování nákladů na financování skrze společenskou odpovědnost
Bandžak, Richard ; Klosová, Anna (advisor) ; Tong Clark, Junie (referee)
The dissertation thesis investigates the relationship between corporate social responsibility (CSR) and financial performance (FP) on the sample of 51 Eurozone banks over the period from 2008 to 2014. The investigation is based on a panel data regression analysing the financial data from Bankscope and the social performance data from CSRHub. Return on assets and the ratio of non-performing loans to total loans represent the measures of financial performance and are used as dependent variables. The results of this model have shown a positive and statistically significant CSR-FP relationship. It is argued that even though the results show statistical significance, they do not necessarily include such a strong informational value. This is caused by methodological limitations, such as potentially biased data on CSR, as well as by the theoretical ones. The main theoretical concern, detected in the dissertation thesis, is a need for redefinition of the banks' driving motives of engaging in CSR activities. Banks engaging in CSR activities for merely strategic reasons should be analysed separately on a firm-level as they may otherwise bias the empirical results. Another important aspect of the work was an argument that banks benefit from CSR mainly through the product differentiation. This could not have been tested empirically, but it is assumed that the product differentiation, for example through reputation enhancement, may play a significant role in boosting bank's profits.
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Metrics used in credit risk
Kožár, Ondrej ; Luc, Ladislav (advisor) ; Franěk, Petr (referee)
This thesis focuses on the issue of metrics used in credit risk. Specifically, the capital requirement, the NPL share and risk costs. The first section describes the credit risk and with what metrics can be measured. In this section you can also find out what parameters are required for their intended use, these parameters are the Probability of default, Amortization, Exposure, NPL and the Loss given default . The practical part of this work is devoted to the analysis of the situation in the Česká spořitelna and design solutions to identified problems. From this analysis crystallize two fundamental problems arising from lack of employee familiarity with metrics used in credit risk .For their solution is to use the first part of this paper an overview of metrics with clarifying some key features. The aim of this work was to create a comprehensive list of metrics used in credit risk, an explanation of their interaction and the use of tools to solve the problem situation in the Česká spořitelna.
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Bad luck or bad management?: emerging banking market experience
Podpiera, Jiří ; Weill, Laurent
This paper addresses the question of the causality between non-performing loans and cost efficiency in order to examine whether either of these factors is the deep determinant of bank failures. Writers extend the Granger causality model developed by Berger and DeYoung (1997) by applying GMM dynamic panel estimators on a panel of Czech banks between 1994 and 2005.
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Effects of macroeconomic shocks to the quality of the aggregate loan portfolio
Babouček, Ivan ; Jančar, Martin
The paper concerns macro-prudential analysis. It uses an unrestricted VAR model to empirically investigate transmission involving a set of macroeconomic variables describing the development of the Czech economy and the functioning of its credit channel in the past eleven years. Its novelty lies in the fact that it provides the first systematic assessment of the links between loan quality and macroeconomic shocks in the Czech context.
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The analysis of quality development of selected bank's credit portfolio
Řehořová, Magdaléna ; Dvořák, Petr (advisor) ; Kolman, Marek (referee)
The aim of this bachelor thesis is to analyze the quality of credit portfolio of selected Czech banks. The analysis is divided according to particular articles: categorized debts to customers, provisions for receivables and reserves for credit risk, capital requirements for credit risk and it is supplemented with indicators of credit risk and the relationship among the considered articles. The analysis of individual articles for the selected banks is followed by analysis of articles for the whole banking sector. The chapter on regulatory requirements within the study area, the concept of banks and their evolution over time precedes the analytical part of the thesis.
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Default of households as the indicator of the financial stability
Michlová, Veronika ; Blahová, Naděžda (advisor) ; Brada, Jaroslav (referee)
This thesis deals with the default of households as one of the indicators of financial stability in the Czech Republic. Specifically, it studies increasing indeptedness of households and risks which endanger financial system. The aim is to analyze the main macroeconomic and microeconomic factors that affect households default and to determine their dependence on the non-performing loans. The conclusion summarizes the results of the thesis and suggests recommendations for central and commercial banks.
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