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On Supervision of Financial Markets by Czech National Bank
Skácelík, David ; Marková, Hana (advisor) ; Kohajda, Michael (referee) ; Švarc, Zbyněk (referee)
1 Abstract This work deals with the performance of supervision over the financial market and the entities operating in the financial market. Part of the work is devoted to consumer protection in the financial market and compensation systems. Because of the fact that the Czech Republic became a member of the European Union in 2004, this work includes also legislation of regulation and supervision of this level, as this treatment significantly predetermines Czech adjustment. Following questions were examined as an example of protecting the interests of clients of supervised entities: - whether there are any tools to protect the client's interests at the level of supervised entities, - what kind of role the supervisory authority has or may have in relation between a supervised entity and its client, - how are the client's financial interests protected in the event of failure of the supervised entity and whether this protection is de lege lata sufficient. The theoretical part of the work briefly describes the institute of supervision, its assorting and forms. The authority of supervisor is discussed in the next part together with the regulations under which the supervision is conducted. Owing to the fact that the scope of supervisory activity of the Czech National Bank is quite extensive, and the objective of...
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Regulation of credit institutions in the EU
Kottasová, Anna ; Tomášek, Michal (advisor) ; Vondráčková, Aneta (referee)
This thesis evaluates the regulation of credit institutions. Its aim is to answer the question of how the regulation of credit institutions evolved and how this development influenced current regulation. This thesis examines the potential of credit institution regulation to prevent further financial crises. At first the author deals with the development of the market of financial services and subsequently with the development of regulation of credit institutions. In the first part the author analyses the positive and negative aspects of each piece of legislation, reasons for their adoption, changes or their further use. This thesis deals particularly with capital adequacy requirements. It analyses their gradual development and reason for their amendments, especially in the context of the recent financial crisis. The author concludes that that current se-up of the credit institution regulation and its expected development puts too much emphasis in increasing of the capital adequacy requirements. The author sees this aspect especially in the directive on capital requirements from 2013 which presents new buffers that the credit institutions are required to hold and in the resolution directive from 2014 which adds new, yet similar requirements. The author particularly disagrees with the assessment of...
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The Impact of Basel III on European Banks
Šútorová, Barbora ; Teplý, Petr (advisor) ; Lešanovská, Jitka (referee)
The aim of this thesis is to take a closer look on how the stricter capital requirements defined in Basel III framework will influence European banks from a complex point of view - lending rates and volumes of provided loans, profitability, risk taking and market value of banks. Our analysis employing simultaneous equations and panel data models on exp post data on almost 600 banks operating in the EU in period 2005-2011 reports following results: (1) Those banks that will be forced to effectively increase their common equity ratio (CE/RWA) will reflect a one percentage point increase in this ratio into higher lending rates by 18.8 basis points. (2) This should, in turn, lead to a modest impact on the volume of provided loans, i.e. as a result of an increase of CE/RWA to 9.5 % (the case of the strictest scenario), the loan volumes are expected to be lowered by 2% from the current volume. (3) Our study further reports that higher capital requirements will cause a decrease in banks' profitability accompanied by a drop in risk taking. Banks increasing their CE/RWA by one percentage point are expected to experience a decrease in their profitability (measured by ROAA) by 0.122 percentage points. (4) The above mentioned effects were identified as rather negative signals for equity owners, which should be...
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Legal and Economic Aspects of Securitisation
Urbancová, Barbora
186 13 ABSTRACT Theme of this dissertation is "Legal and economic aspects of securisiation". The main goal of the dissertation is to perform a comprehensive legal analysis of the issues relating to transactions, which can be termed securitisations, regarding also related economic aspects, while focusing especially on the analysis of special public law regulation of certain aspects related to securitisation under Czech law. The dissertation contains nine chapters. The first chapter specifies the theme of the work, its content, structure, main sources, goals and methods applied. The second chapter provides the basis for the subsequent legal analyses elaborated within the following chapters, as it deals with the general meaning and purpose of securisitation, its definition under applicable law, a standard structure of securitisation transaction and most common products of securitisation including evaluation of their character under Czech law. The essential issue rests with the interpretation of the general definition of the term securitisation in a way it is accepted in financial sector, it means as a tool of structured finance that covers all possible variations of secturisation transactions, as well as the interpretation of the definition of the term securitisation with respect to special public law...
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Korporátní úvěrové riziko v rámci Basel II
Kubíček, Martin ; Mejstřík, Michal (advisor)
This thesis presents research on corporate credit risk modeling under the New Basel Capital Accord framework using a real data set. This study provides theoretical foundations of credit risk modeling under the New Basel Capital Accord as well as empirical application of credit risk modeling to a unique data set of Czech companies provided by Creditreform. Several alternative logit regression models are presented, statistically tested and compared. Furthermore, two distinct approaches to calibration of rating classes of a rating system are developed and validated. Finally, the minimum regulatory capital requirements under the standardized approach and the internal ratings based approach of the New Basel Capital Accord are calculated and compared to the capital requirements under the current regulation. Powered by TCPDF (www.tcpdf.org)
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Capital Adequacy Rules: legal and economic aspects
Časta, Martin ; Dupáková, Lenka (advisor) ; Seknička, Pavel (referee)
The main aim of this work is to describe and explain the capital requirements of the banking sector. Both economically and legally. The thesis is divided into five main parts. First, I deal with the theoretical description and reasoning behind the banking sector regulation. This part of the work emphasized the relation between financial and business cycle, I illustrate their close relation and mutual interaction. Furthermore, the thesis defines capital adequacy in general, its importance and its most important elements and features. Subsequently, the development of the Basel regulation is described in detail, which despite its legal non-binding nature represents the basic rules for capital adequacy. The main emphasis is put on Basel II and Basel III and its implementation in European and Czech law, where the most important concepts are elaborated in detail to analyze and evaluate them. The main topics I deal with are the structure of capital and measurement of market, credit and operational risk. Particular emphasis is placed on the pro-cyclicality of capital requirements, the implications of this pro-cyclicality, and the tools in Basel III to mitigate this feature. Therefore, I describe in detail the additional capital buffers and liquidity requirements introduced in response to tackle this...
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Banks’ capital surplus and the impact of additional capital requirements
Malovaná, Simona
Banks in the Czech Republic maintain their regulatory capital ratios well above the level required by their regulator. This paper discusses the main reasons for this capital surplus and analyses the impact of additional capital requirements stemming from capital buffers and Pillar 2 add-ons on the capital ratios of banks holding such extra capital. The results provide evidence that banks shrink their capital surplus in response to higher capital requirements. A substantial portion of this adjustment seems to be delivered through changes in average risk weights. For this and other reasons, it is desirable to regularly assess whether the evolution and current level of risk weights give rise to any risk of underestimating the necessary level of capital.
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Banking Regulation in the Czech Republic
Hanel, David ; Dupáková, Lenka (advisor) ; Seknička, Pavel (referee)
This thesis deals with the current legislation of banking regulation in the Czech Republic. It analyzes both Czech and relevant European regulation that has increasing importance in the area. Moreover, the most significant amendments enacted as a result of the Basel III implementation are pointed out. The issue is viewed from an interdisciplinary perspective therefore, in addition to the analysis of current legislation, its economic impact on the Czech banking sector is also evaluated. Due to the enormous breadth of the banking regulation field, this thesis focuses on examining the areas considered most essential by the author. The first introductory chapter lays down the theoretical foundations of banking and banking regulation and thoroughly defines the term "bank", both legally and economically. The second chapter deals with banking licensure, which plays a crucial role in the regulation of accessing the activity of banks. It analyzes the requirements that have to be met in order to be authorized, as well as the issue of the single EU passport and the withdrawal of the authorization. The third chapter deals with the wide and significant area of banking risks. The discussion assesses the nature of each risk, as well as methods for their measurement and management, and capital requirements. The predominant...
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Korporátní úvěrové riziko v rámci Basel II
Kubíček, Martin ; Mejstřík, Michal (advisor)
This thesis presents research on corporate credit risk modeling under the New Basel Capital Accord framework using a real data set. This study provides theoretical foundations of credit risk modeling under the New Basel Capital Accord as well as empirical application of credit risk modeling to a unique data set of Czech companies provided by Creditreform. Several alternative logit regression models are presented, statistically tested and compared. Furthermore, two distinct approaches to calibration of rating classes of a rating system are developed and validated. Finally, the minimum regulatory capital requirements under the standardized approach and the internal ratings based approach of the New Basel Capital Accord are calculated and compared to the capital requirements under the current regulation. Powered by TCPDF (www.tcpdf.org)
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Investigation of the dynamics between monetary and macroprudential policies
Kireichenko, Kateryna ; Jašová, Martina (advisor) ; Jakubík, Petr (referee)
This thesis studies the interaction between monetary and macroprudential policy using a DSGE model with real and financial frictions under government and financial shock scenarios. Countercyclical capital requirements are used as a macroprudential policy tool combined with a Taylor rule for monetary policy. In the case of the government shock, our findings indicate that policies' coordination reduces the volatility of the output vis-à-vis a "monetary policy only" regime. Analysis of financial shocks indicates that monetary policy alone can suffice to ensure financial stability. Lastly, welfare analysis suggests there is no optimal policy combination for all agents and highlights a redistributive effect of both shocks, showing that policy that is beneficial for one group of agents can decrease welfare for another. JEL Classification E44, E52, E61 Keywords monetary policy, macroprudential policy, capital requirements, financial stability Author's e-mail kateryna.kireichenko@gmail.com Supervisor's e-mail martina.jasova@fsv.cuni.cz
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