|
|
Risk management and internal capital adequacy assessment process
Býčková, Iveta ; Kalínská, Emílie (advisor) ; Čajka, Radek (referee)
This bachelor thesis is focused on the New Basel Capital Accord, so-called Basel II and Internal capital adequacy assessment process. This thesis is devided into four parts. The first section defines every single risk in the bank. The second part attend to Basel I a Basel II. The thesis addresses the development of rules for the calculation of capital adequacy, describes tree pilars of Basel II and regulatory capital. The third part of the thesis is focused on common problems of risk management and banks can choose from qualitative and quantitative analysis. The final part contains with the calculation of capital requirements for credit, market and operational risk. This part deals with unexpected and expected loss as well as the various methods for calculation of capital requirements within each risk is involved, i.e., the basic and advanced methods. 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.
|
|
|
Extreme Value Theory in Operational Risk Management
Vojtěch, Jan ; Kahounová, Jana (advisor) ; Řezanková, Hana (referee) ; Orsáková, Martina (referee)
Currently, financial institutions are supposed to analyze and quantify a new type of banking risk, known as operational risk. Financial institutions are exposed to this risk in their everyday activities. The main objective of this work is to construct an acceptable statistical model of capital requirement computation. Such a model must respect specificity of losses arising from operational risk events. The fundamental task is represented by searching for a suitable distribution, which describes the probabilistic behavior of losses arising from this type of risk. There is a strong utilization of the Pickands-Balkema-de Haan theorem used in extreme value theory. Roughly speaking, distribution of a random variable exceeding a given high threshold, converges in distribution to generalized Pareto distribution. The theorem is subsequently used in estimating the high percentile from a simulated distribution. The simulated distribution is considered to be a compound model for the aggregate loss random variable. It is constructed as a combination of frequency distribution for the number of losses random variable and the so-called severity distribution for individual loss random variable. The proposed model is then used to estimate a fi -nal quantile, which represents a searched amount of capital requirement. This capital requirement is constituted as the amount of funds the bank is supposed to retain, in order to make up for the projected lack of funds. There is a given probability the capital charge will be exceeded, which is commonly quite small. Although a combination of some frequency distribution and some severity distribution is the common way to deal with the described problem, the final application is often considered to be problematic. Generally, there are some combinations for severity distribution of two or three, for instance, lognormal distributions with different location and scale parameters. Models like these usually do not have any theoretical background and in particular, the connecting of distribution functions has not been conducted in the proper way. In this work, we will deal with both problems. In addition, there is a derivation of maximum likelihood estimates of lognormal distribution for which hold F_LN(u) = p, where u and p is given. The results achieved can be used in the everyday practices of financial institutions for operational risks quantification. In addition, they can be used for the analysis of a variety of sample data with so-called heavy tails, where standard distributions do not offer any help. As an integral part of this work, a CD with source code of each function used in the model is included. All of these functions were created in statistical programming language, in S-PLUS software. In the fourth annex, there is the complete description of each function and its purpose and general syntax for a possible usage in solving different kinds of problems.
|
|
|
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.
|
|
|
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.
|
|
|
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.
|
|
|
The Effect of Introduction of Basel II on Capital Adequacy of Selected Czech Banks
Kubíček, Antonín ; Dvořák, Petr (advisor)
The aim of this bachelor thesis is to evaluate the impact of new rules for calculating capital adequacy in the Czech banking sector in general and then in the selected sample of four banks. The subject of my analysis is the relative amount of capital adequacy before and after implementation of Basel II across the Czech banking sector and the capital requirements before and after implementation of Basel II which showed the selected four banks. The question I want to answer is the extent to which new practices that Basel II allows banks to use for calculating the capital requirements for credit and operational risk change the relative level of capital adequacy and the total amount of capital requirements in banks selected by me.
|
|
|
Basel II and IS/ICT
Kovář, Petr ; Bruckner, Tomáš (advisor) ; Fleischmann, Martin (referee)
The Basel II Framework ensures banks are well capitalized. It is designed to be more risk sensitive than the old Basel Capital Accord and considers operational risk, such as "the risk of loss resulting from inadequate or failed internal procesess, people and systems or from external events." Banks are forced to calculate the regulatory capital charge for operational risk and want to optimize it. IT is a substantial part of operational risk and therefore is a part of the regulatory capital charge for operational risk. The Basel Committee requires banks to implement a framework to manage operational risk. One objective of this study is to provide description of this framework, IT aspects of operational risk and IT governance under Basel II, based on available sources of information. Another objective is to design processes for assessing and managing IT and operational risks under Basel II. Last but not least objective of this study is to disclose recent credit risk data and indicators for consolidated sector and large banks in the Czech republic. The amount of the regulatory capital charge for operational risk is an important part of the overall capital charge. This work increases IT practitioner's understanding of such topics as assessing and managing operational risk under Basel II.
|
|
|
Analysis of the developement of the capital adequacy of chosen banks
Pavlovič, Daniel ; Dvořák, Petr (advisor)
The aim of these bachelor work is to analyse of the capital adequacy of chosen bank in Czech Republic. It describes risks in bank and chosen methods of their proceedings which influence the hight of given capital request and influence the hight of required capital adequacy. The most extensive part of work describes risk management methods of the three biggest banks in Czech Republic (Ceská sporitelna a.s., Komercní banka a.s., Ceskoslovenská obchodní banka a.s.. The end of the work is formed by comparison of counting operational risk by basic measurement and advanced measurement approaches used by banks. Operational risk is one of the youngest risk in Czech Republic to which is capital request counted and it can be eliminated by every employee of the bank.
|
|
|
Banking risks and their interactions on the example of Czech banking
Zemková, Kateřina ; Janda, Karel (advisor)
This bachelor thesis deals with banking risks. It briefly describes the development of the concept of capital adequacy up to the current version of Basel II, which is supplemented by operational risk and which also clarified the method of credit risk management. Selected types of risks and the fundamentals of risk measurement and management are described. It is a credit, liquidity, market, and operational risk and relations between them. Conclusion of thesis is devoted to operational risk measurement and loss distribution approach (LDA).
|
|
|
Measurement and management of Operational risk within banks
Kováříková, Šárka ; Dvořák, Petr (advisor) ; Tuček, Miroslav (referee)
This thesis concerns measurement and management of operational risk within banks. First the Basel II concept is described. Following part focuses on definition of operational risk, description of its subparts, methods of how to measure it and phases of the management process. Methods of how to control and mitigate the operational risk are also defined in this section. Last part focuses on analysis of principles and standards which every bank should follow to effectively identify, assess, monitor and control/mitigate the operational risk. A questionaire which can be used to identify the level of operational risk within a bank is proposed in this section.
|
guest ::
