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Studie zabývající se dopady nové bankovní regulace na cykličnost kapitálových požadavků v České Republice
Bartůsek, Michal ; Chytil, Zdeněk (advisor) ; Tříska, Dušan (referee)
This work focuses on new regulatory proposals, primarily Basel III accords and analyzes its ability to create a buffer for recurrent credit bubbles. This paper follows a research made by Lis, Pagés and Saurina [2000]. Their paper has illustrated the cyclicality of loan growth and GDP growth for Spain. This cyclicality is supported by cyclical Basel II regulation. In this paper is examined the ability of new regulatory proposals such as Basel III, statistical provisions and change in the approach to the probability of default, to cope with recurrent credit bubbles. According to my critical assessment, Basel III may not be able to create sufficient capital buffer for exceptional credit bubbles such as the current one. This buffer suggested by Basel III has several drawbacks which may decrease its functionality. Statistical provision is not an appropriate measure either, because it could weaken the fair and true view of financial statements principle. Change in approach to probability of default seems to be rational and effective. The only issue may relate to its recovery mechanisms. It doesn't support economic growth in time of economic recession. The author's proposal of new countercyclical buffer, which would be based on credit-to-GDP ratio and GDP growth to loan growth gap is introduced at the end of this work. Although this measure may have negative impact on GDP growth, it may create an appropriate buffer to systematic credit risk.
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Basel III and its impact on the banking sector
Hercíková, Alena ; Witzany, Jiří (advisor) ; Kolman, Marek (referee)
The following pages of my master thesis aim to acquaint the reader with the major changes brought about by Basel III banking regulation. This new regulatory framework was created in response to the financial crisis (beginning in 2007), which revealed some weaknesses in the original Basel II regulation, and its purpose is to prevent future similar situations in the financial market by increasing the stability and resilience of the banking sector. Impacts of Basel III are reflected primarily in increased demand for quality capital used by banks and maintaining sufficient liquidity. As shown by the results of the analysis, these factors have further effect on interest spread of banks and the real economy.
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BASEL II vs BASEL III and the Impact of the New Regulatory Rules on the Czech Banking Sector
Kubíček, Antonín ; Dvořák, Petr (advisor) ; Janda, Karel (referee)
The aims of this thesis are twofold. Firstly, it aims to analyse the new regulatory rules BASEL III, published in December 2010. These were created as a lesson from the previous crisis and following the developments occurring problem areas included in the regulatory rules Basel II. And secondly, it evaluates their impact on the Czech Banking Sector. Regulatory rules BASEL III contain large number of rules aimed at enhancing the quality, quantity and flexibility of regulatory equity capital, reducing the cyclicality of capital requirements, stricter capital requirements for certain risky assets, intensifying surveillance in terms of significantly important financial institutions and international standards of liquidity. Apart from adjustment of the rules that appear in the Basel II, the regulatory rules Basel III also include rules used for the first time. The analysis of the impact on the Czech banking sector is based on the assumption that the Czech banking sector is well equipped with capital and the impact of BASEL III will therefore not have any significant impact on the functioning of Czech banks. This thesis shows that the impacts depend on the size of the banking institutions. A selected sample of six Czech banks (two from each group of large, medium and small banks) is used, inter alia, to demonstrate this.
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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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The credit risk management in the Czech banks
Čedíková, Gabriela ; Půlpánová, Stanislava (advisor) ; Zetek, Pavel (referee)
Subject of my thesis is a credit risk in the czech banking environment. It consists of five chapters. First one contains description of basic risks banks are exposed to. The next one addresses the credit risk itself and its management, including determination of credit policy and the process of credit granting. Related to this topic is hedging, in broader sense also including provisioning and reserves creation. Third chapter is about credit derivatives, via which the credit risk can be reduced. Closely related to this topic is a securitisation process and it's products. Fourth chapter deals with regulation, which is an essential part of the banking sector nowadays. I focus primarily on Basel II and its credit risk part. In the final chapter I describe credit risk management of one of the biggest czech banks, Ceska sporitelna, which granted most credits in 2010.
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Competition in Regulation: Implementation of BASEL II in Canada
Hořánková, Kristýna ; Štěpánek, Pavel (advisor) ; Dočkal, Dalibor (referee)
The aim of this paper which is called "Competition in Regulation: Implementation of BASEL II in Canada" is to analyze the introduction of Basel Rules in the banking sector in Canada. The goal is to prove that the economical stability, high concentration of the banking sector and a simple system of regulation and supervision can be a competitive advantage for a banking market. The analysis is based on the comparison of the implementation of BASEL II in Canada, the USA and the European Union.
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Audit and Assessment of IS in banks
Fleischmann, Martin ; Svatá, Vlasta (advisor) ; Sokolovský, Zbyněk (referee) ; Novák, Luděk (referee)
Abstract (english) Objectives The main objective of this work is to design methods and proceadures enhancing effectiveness and efficiency of IT audit in banks with the accent given to their use by the supervisory authorities. Another objective of the work (and an essential starting point at the same time) is a summary and assesment of methods and proceadures developed and implemented into the CNB practice with regard to banking supervision in the area of information systems. Objectives Achievement From the methodological point of view the esential starting point of the work was represented by above mentioned objectives that were used for elaboration of a set of questions. Questions enabled to set up the hypotheses. (Another more particular hypotheses were defined in order to design the particular solutions in chapter 5.) Futhermore, the critical factors (problems) were defined in the process of the questions analyses. Subsequently, the solutions were specified. The solutions confirmed the hypotheses which reflected the achievement of the objectives. Description, categorisation, analyses, screening, modelling, comparative analyses and sample testing were used to achieve the objectives. In particular, the solutions that were elaborated, making use of methods described above, enhance effectiveness and efficiency of IT audit in banks. Moreover, the CNB's proceadures and methods were introduced and assesed within the work. Scientific Contribution The work brings an evidence of correlation between the quality of IT audit in banks and their economical performance. With this regard the work contributes with original conclusions, benchmarks and proceadures that may be used by banks, supervisory authorities and IT auditors. These conclusions are achieved by description, categorisation, analyses, modelling and screening research highlighting the role of the rentability, the productivity, the risks, the inovations and the economical value of information. Furthermore, the IT audit and IT supervision in banks are specified. They are also compared and contrast to the other audit cathegories. The work presents important peaces of evidence regarding the role of IT audit in this context. This is made by description, cathegorisation and analyses. Another contribution represents proceadures and methods developed and implemented (to the large extend by author) in the field od IT banking supervision in the Czech Republic. This delivers valuable outputs for foreign supervision authorities, banks and auditors. The work lead to original solutions of critical factors. These solutions are to use by IT audit and IT supervision (and also in audit work generally). The solutions make use of ceartain atributes of Capability Maturity Model (CMM) and were elaborated in the proces of decsription, cathegorisation, screening research, comparative analyses, hypotheses seting and testing. The solutions enhances acuracy and objectiveness of assesment done by IT auditors. The solutions lead to better comparativeness of audit outputs on both national and international level, give better preconditions for risk assesment and capital adequacy evaluation within BASEL II and enhance the information value of audit ouptuts. The structure (content) of the work reflects the above mentioned articles that give a brief description of the main four parts (chapters) of the work.
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Bank control systems in the context of operational risk
Uličná, Ivana ; Blahová, Naděžda (advisor) ; Suchánková, Lucie (referee)
The thesis focuses on internal management and control systems in connection with operational risk management (ORM) process. The Basel II concept is outlined from the operational risk point of view, incl. methods for capital requirement for operational risk. Consequently, essential regulatory requirements and bank standards for effective management and control systems are specified. ORM tools that are potentially able to capture business environment and internal controls factors (to be regarded within AMA models) are disserted, specially concentrating on key risk indicators. Construction of this ORM tool is designed on a theoretical basis and also on an example related to payment systems. There is an evaluation of advantages, challenges and possible ways to use this method.
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Capital adequacy, Basel II and prediction of default
Bardún, Adam ; Synek, Miloslav (advisor) ; Krauseová, Jaruše (referee) ; Freiberg, František (referee)
Dissertation thesis deals with the topic of capital adequacy of financial institutions and tries to solve the problem of default and its prediction. In the theoretical part, the thesis provides summarization of historic and current approaches to capital adequacy of financial institutions and also presents currently used methodology of scoring models, which predict default of companies. Application part of the thesis aims to develop a scoring model, which would be usable by financial institutions for evaluation of their clients and their tendency to default.
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