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Interbank contagion under the Basel III regulatory framework
Chleboun, Jakub ; Jakubík, Petr (advisor) ; Lešanovská, Jitka (referee)
This study assesses the impact of the Basel III regulatory framework on interbank contagion. It focuses on the direct interbank contagion that spreads via interbank foreign claims among national banking sectors. A balance sheet-based network model employs the quarterly consolidated banking statistics, collected by the Bank for International Settlements, to simulate the consequences of credit and funding shock under stressed market conditions. Compared to the Basel II, the Basel III regulatory framework reduces the probability of interbank contagion (following a simulated default of one banking sector) from 31% to 14% and lowers the impact of contagion by 63% in terms of average loss for a banking sector. The simulations under both regulatory frameworks show that relatively smaller banking sectors can trigger severe interbank contagion comparable to large banking sectors. Throughout the 2005-2009 period, the Basel III regulatory framework stabilizes the fluctuations of the scope of interbank contagion.
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Vliv nekooperativního oligopolu bankovního sektoru na jeho procyklikalitu
Tisoň, David
Neracionální jednání bank v době ekonomického ochlazení ve formě nezdravé redukce úvěrů pro reálnou ekonomiku se stalo v poslední době diskutovaným tématem. Podle dostupných studií může být následkem předešlých nadměrných úvěrových expanzí v době ekonomické prosperity. Následné superkonzervativní jednání bankovního sektoru může naopak prodlužovat ekonomickou depresi se zpětnými efekty do úvěrových portfolií bank. Zda-li je toto neracionální jednání optimální z hlediska inteligentního hráče z teorií her, je předmětem této analýzy. Studie popisuje tento fenomén pomocí několika modelů teorií her z nichž ústřední je Bayesovská hra, která modeluje prostředí konfliktní situace s nedokonalými informacemi. Výsledek implikuje, že dominantní bankovní strategií bez ohledu na jednání ostatních hráčů, je právě agresivní strategie s nízkou averzí k riziku a tedy volba rizikovějšího, nicméně potenciálně výnosnějšího portfolia v době ekonomické prosperity. Toto řešení však není Paretooptimální. Příčinou tohoto jednání je neznalost informací o portfoliové strategii ostatních hráčů a jejich vzájemná rivalita v navýšení tržního podílu. Tedy vedle již známých příčin procyklikality, vstupuje do hry taktéž rivalita oligopolistů. Závěr práce nabízí východisko v podobě otevřených bankovních kartelů (kooperujícího oligopolu) za účelem koordinace strategie. Cílem by byla volba vhodné úvěrové expanze celého bankovního sektoru (vice versa úvěrové restrikce)s přijatelným ziskem a rizikem pro banky a únosnými podmínkami pro dlužníky vhodné pro dané stádium ekonomického cyklu.
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The influence of oligopolistic structure on the performance of banking system from the point of game theory
Tisoň, David
The paper tries to grasp the phenomenon of procyclical behavior of oligopolistic banking sector using game theory models. The simulation is based on a Bayesian game that models the environment of a conflict situation with imperfect information. The result implies that the dominant bank strategy, regardless of the actions of other players, is very aggressive strategy with low risk aversion and therefore the choice of riskier and potentially more profitable portfolio in times of economic prosperity. In addition to the known causes of procyclicality comes into play also the oligopolist rivalry. Conclusion the paper provides is a starting point in the form of open banking cartels (co-operating oligopoly) to coordinate strategy. The goal may be appropriate choice of credit expansion of the banking system (credit restrictions vice versa) with an acceptable profit and risk for banks and manageable terms for borrowers suitable for the economic cycle.
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Measuring of Operational Risk in Finacial Institutions
Voříšek, Martin ; Žváčková, Lenka (advisor) ; Kozáková, Markéta (referee)
The aim of this submitted work deals with situation which quite recently occured on financial markets. In 2001, Basel Commitee for Banking Supervision declared that banks had to cover their exposure to a not very well-known operational risk. This work consists of a five main parts. After a few introductory words comes a short chapter about risks generally. Second part repeats some basic economic terms in territory of market failures and then discusses these particular problems in the field of financial markets. Following part brings a view on regulatory documents -- their past, their present and their possible future. A chief attention should be aimed on fourth part. It analyzes operational risk with a focus on its definition, its specifics, examples of its impacts and methods of its control, mitigation, measuring and managing. Last chapter describes one of advanced approaches to measure operational risk. At the end, there are a few last words concerning some questionable areas and future of operational risk management.
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Zhodnocení finanční výkonnosti a kvality služeb Art Banking v České republice a v zahraničí
Danielová, Iva
Evaluation of financial performance and quality of Art Banking services in Czech Republic and abroad. Brno 2014. The Diploma Thesis elaborates Art Banking as a service that is not yet developed in Czech environment. First part is dedicated to examine bibliographical and online sources in order to describe historical connection between banks and Art, to study Art Banking le-gislation and to expose current services offered by banks. Theoretical part lists suitable sources of information about Art Banking for beginning and experienced investors, banks, consultants and other interest groups. Second part states specific examples of Art Banking services offered by European and also American banks. This part contains a matrix of banks with their portfolio of services that reflects different points of interest of trading in this area. Develo-pment and expansion of Art Banking services are done mainly outside of Czech Republic. Could czech market be a new place of development for this kind of services? The idea to implement Art Banking in Czech Republic is supported in the final part of the Thesis by a proposal of new methodology that is used in specific case study. Data of this study are analysed and suits to predict potencial evolution of the service in future.
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Accounting for products of Financial Markets department at ING Bank
Mudrochová, Petra ; Vašek, Libor (advisor) ; Procházka, David (referee)
The banking industry is without a doubt one of the most innovative segments. Its products are continuously evolving with the advent of new technologies, globalization, competition and regulation. IASB attempt to capture what is happening to modify IFRS. On the other hand bank's lobbying actions can also be seen on countless amendments to International Accounting Standard on financial instruments. Therefore, IAS 39 has become difficult to understand, apply and interpret and thus IASB developed a new exposure draft IFRS 9. This diploma thesis compares Czech Accounting Standards, IAS 39 and IFRS 9 for derivatives, bonds and repurchasing agreements, focusing on their different classification, the concept of fair value and own credit risk. The practical part is based on products of Financial Markets department at ING Bank. Finally, it outlined the latest developments in the convergence process between IFRS and U.S. GAAP relating to the issues described.
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Internal audit in banking companies
Machová, Zuzana ; Králíček, Vladimír (advisor) ; Geciová, Renata (referee)
The master thesis is focused on issues related to internal audit in banking companies. The first part of thesis is focused on history, development, regulation and current form of internal audit in banks. Next you can read about theoretical approaches of audit work. Audit process in practice you can see in the second part of thesis. There is an example of audit of credit card, specifically process of making loan contract, in banking company Banka, a.s. All data are illustrative.
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Electronic banking in the CR and its possibilities
Černý, Martin ; Matuštík, Ondřej (advisor) ; Richtrmocová, Klára (referee)
Bachelor thesis deals with the most commonly used forms of electronic banking, which offers banking institutions in the Czech Republic and abroad. In the theoretical part describes the development elektornického banking and the benefits that this product offers for banking institutions and their clients. The practical part is focused on the controversy with the views of columnist Nicholas G. Carr. His published articles are at work confronted with the views of IT professional community as discretionary author argues that the general benefits of the use of information systems for banks.
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Bank guarantees in international trade
Zittová, Lenka ; Černohlávková, Eva (advisor) ; Vlčková, Veronika (referee)
Diploma thesis describes possibilities of securing selected risks using bank guarantee instrument, which is used primarily in international trade. The goal is to analyze securing of commercial and territorial risks using bank guarantees, characterize different types of bank guarantees and possibilities of using them on international markets. The first chapter presents risks in international trade and the most common methods of securing - documentary letters of credit, documentary collections, promissory notes, standby letter of credit. The second chapter is devoted to product bank guarantee, introduces types of bank guarantees, exposure process and methods of use. The third chapter presents the Uniform Rules for Demand Guarantees (URDG). The practical part explores the usage of bank guarantees in selected countries (Germany, Russia, USA, China, India) and describes different approach to this product. Thesis has to help readers quickly find their way in a relatively complicated topic of bank guarantees, especially in case of trading on international market. The last part can help in case of trading with specific countries.
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Islamic banking
Pak, Viktoriya ; Zetek, Pavel (advisor)
The thesis is focused on introduction of Islamic banking system. Morover part of the work is devoted to a detailed description of the history of Islamic banking, on explanation of the principles on which the banking system is based. Also are analyzed in detail the basic Islamic banking products. And at the end are presented the advantages and disadvantages of the Islamic banking system.
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