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The Impact of Liquidity Risk on Bank Profitability: Some Evidence from European Banking Sector
Ivovič, Tomo ; Pečená, Magda (advisor) ; Hanus, Luboš (referee)
This thesis examines the effect of liquidity risk on the profitability of European commercial banks following the full implementation of the Liquidity Coverage Ratio. The aim is to analyse and compare this effect on banks in two different regions of the European Union. Therefore, three countries were chosen to represent the Southern European region, and six were chosen to represent the Northwestern European region. Data from 34 banks were collected for 2018-2022 and split into two datasets. Panel regression methods were utilized, and robustness tests were performed to improve the reliability of the results. This study uses two different measures as proxies for liquidity risk to obtain a more comprehensive understanding of the relationship. Both proxies, the Liquidity coverage ratio, and the Financing gap ratio, were found to be insignificant determinants of profitability in both regions. We also found that the Cost-to-income ratio negatively and significantly impacts banks' profitability in both regions. At the same time, credit risk and bank size showed a significant effect on the profitability of banks in the Southern European region. JEL Classification C12, C33, G21, G28, G32 Keywords banks, liquidity risk, liquidity, profitability, panel regression Title The impact of liquidity risk on bank...
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An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; von Terzi, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Building Societies in Low Interest Rate Environment
Hanzlík, Petr ; Džmuráňová, Hana (advisor) ; Baniar, Matúš (referee)
The aim of this thesis is to analyse the impact of low interest rate environment in the Czech Republic in recent years on the sector of building societies as a specific segment of the financial market. First part of the thesis consists of description of main characteristics of building savings and building societies, e.g. their historical development, with special focus on main types of risk the building societies face. In the second part the impact of changing market interest rate on outstanding volumes of deposits in building societies is analysed. The analysis is conducted through simple time series models estimated by OLS. Final part includes comparison of demand for building savings loans with demand for mortgages as well as consideration of the development of profitability of the sector of building societies in recent years. Powered by TCPDF (www.tcpdf.org)
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Liquidity risk under Basel III in the EU
Mošnová, Alžběta ; Teplý, Petr (advisor) ; Doležel, Pavel (referee)
In order to address the deficiencies in the banking regulation revealed by the recent financial crisis the Basel III introduces two minimum standards for funding liquidity, Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). The goal of this thesis is to analyze whether the NSFR is defined optimally or whether the Basel Committee on Banking Supervision (BCBS) will be forced to relax NSFR conditions similarly as happened by the LCR. Based on the approximation of the NSFR between 2007 and 2012 for a sample of 3 128 European banks we test the ability of banks to satisfy the NSFR. Our results suggest that the European banks have not started to converge to the NSFR yet. Despite this fact they should not have problems with meeting this requirement as 40.3% of banks in our sample would have already satisfied the NSFR in 2011. A Probit model analysis suggests that the NSFR requirement will decrease the probability of bank defaults and therefore increase the stability of the banking sector in the future which proves that the NSFR is correctly specified. Moreover, a simple stress testing shows that the stability of the system would not be improved anymore if the NSFR was defined more strictly. The current version of the NSFR therefore seems to be optimal and in our opinion should be...
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An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; von Terzi, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Řízení aktiv a pasiv v malých retailových bankách
Chrust, Tomáš ; Brada, Jaroslav (advisor)
Tato práce se zabývá řízením aktiv a pasiv, s důrazem na malou retailovou banku. V jejím úvodu je představena historie řízení aktiv a pasiv, spolu s popisem jeho procesu a organizačního uspořádání. Následuje seznámení s úrokovým, cizoměnovým a likviditním rizikem. U každého z těchto rizik jsou popsány jeho příčiny, následky, modely a způsoby řízení. Zvláštní důraz je kladen na ?at Risk? modely a jejich použití při řízení aktiv a pasiv. Hlavní část práce uzavírá rozebrání bankovních produktů a seznámení s riziky, která do řízení aktiv a pasiv přináší. Při psaní této práce byl kladen důraz na kombinaci teoretických poznatků a praktických zkušeností.
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Explaining the Czech Interbank Market Risk Premium
Geršl, Adam ; Lešanovská, Jitka
This paper focuses on the development of the in terbank market risk premium in the Czech Republic during the global financial crisis. We e xplain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, forei gn influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk.
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