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Modeling a distribution of mortgage credit losses
Gapko, Petr ; Šmíd, Martin
One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a “credit risk”. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement is more developed than systems for measuring other risks, e.g. market risks or operational risk. Generalizing the well known KMV model, standing behind Basel II, we build a model of a loan portfolio involving a dynamics of the common factor, influencing the borrowers’ assets, which we allow to be non-normal. We show how the parameters of our model may be estimated by means of past mortgage deliquency rates.
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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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Comparison of bank and non-bank consumer loans
Kubíková, Eva ; Půlpánová, Stanislava (advisor)
This bachelor thesis deals with consumer lending. It explains its legislation under the new law in force since 2011. It presents various types of consumer loans offered by Czech banks and non-banking institutions. Readers are familiar with the need for credit risk management. There are the current client information registers in the Czech Republic presented. It aims to compare the evolution of the volume of consumer loans in the banking and non-banking sector in recent years. It also examines the impact of financial crisis on this market.
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Analysis of credit process
Zemanová, Eva ; Půlpánová, Stanislava (advisor)
This bachelor thesis focuses on crediting and it describes different parts of credit process -- forming credit policies, first contact with client and data collection, credit analysis, decision about loans and consecutive credit-monitoring. The thesis also includes definition and systematization of loans, credit legislative and related risks. At the conclusion of thesis, development of indebtedness in the Czech Republic is shown and differences between volumes of credits for particular types of debtors are stressed.
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The credit risk management at credit operations of Czech banks
Václavíková, Petra ; Půlpánová, Stanislava (advisor)
From a general point of view the bachelor thesis deals mainly with credit risk and also with all procedures used in the credit risk management. Firstly, the general phases of credit risk management are described giving emphasis on counterparty risk resulting from credit operations of Czech banks. Moreover, the thesis also pays attention to capital requirements for credit risk coverage run by bank institutions in relation to the concept of Basel II in Czech banking sector. Additionally, process of administration receivables from credit operation is analyzed. Above all, attention is paid to procedures and methods of receivable categorization from financial activities, specific allowances and possibilities of collateral and receivables collection. Finally, specific examples of Komerční banka, a.s. approaches are given for overall clarity.
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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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Comparison of approaches to creating credit scoring models
Hofman, Elena ; Šedivý, Jan (advisor)
This work is focused on the management of a credit risk related to the traditional bank lending business to individuals. The paper deals with a theory of measuring risk with help of PD (Probability of Default) parameter when different scoring models are used. The goal is to outline an issue with the credit risk and its management in general, attention is paid to details of a process of creating scoring models. There are three specific modeling techniques listed, namely logistic regression, decision trees and neural networks. Methods are explained in detail and are given possibilities of mutual comparison. The application part is devoted to the evaluation and comparison of credit scoring models based on these methods.
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