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Liquidity creation and banks' capital casual effect: GIIPS countries case
Gjuzi, Gladiola ; Tůma, Zdeněk (advisor) ; Geršl, Adam (referee)
This study observes the impact of regulatory capital on liquidity creation of banks in GIIPS countries over the period 2006-2016. The results are estimated by conducting a panel data analysis and evaluating Fixed Effect model proceeded by a 2SLS regression method. The results show that there exists a negative relationship between regulatory capital and liquidity creation. They give support to policymakers of Basel III/CRD IV to be concerned about the consequences of imposing higher capital requirements. Furthermore, size of the bank is correlated negatively with liquidity creation, and financial crisis does impact the magnitude of the relationship between regulatory capital and liquidity creation. Nevertheless, we suggest that new buffers on liquidity and capital requirements should be accompanied by other prudential tools to ensure a stable financial system in GIIPS countries. JEL Classification E58,F33, G21, G28 Keywords Regulatory Capital, Liquidity creation, Bank Regulation, Fixed Effect Author's e-mail gladiolagjuzi@hotmail.com Supervisor's e-mail ztuma@kpmg.cz
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Basel III: Evaluation and Impact in the Czech Republic
Gleta, Jakub ; Teplý, Petr (advisor) ; Geršl, Adam (referee)
The thesis is focused on content and impact of the new Basel Capital Accord, commonly known as Basel III. These rules react to recent development in global financial markets and introduce some substantial changes into regulatory approach, which include changes to the definition and required amount of regulatory capital and presents new liquidity requirements. The thesis then assesses new rules form two points of view. First, a quantitative model is constructed that predicts the impact of new rules on capital adequacy of four major Czech banks based on default rates data. In the second part of the analysis, institutional impact of new regulation is stressed, namely the question of how new rules fit within the theoretical framework of optimal regulatory architecture and what pitfalls they have. The thesis is unique in the eclectic nature of its approach, whereby two seemingly disparate approaches oppose each other and an attempt at synthesis is presented. Keywords Banking regulation, Basel II, Basel III, capital adequacy, capital accords, regulatory impact analysis, credit risk JEL classification G21, G28
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Liquidity creation and banks' capital casual effect: GIIPS countries case
Gjuzi, Gladiola ; Tůma, Zdeněk (advisor) ; Geršl, Adam (referee)
This study observes the impact of regulatory capital on liquidity creation of banks in GIIPS countries over the period 2006-2016. The results are estimated by conducting a panel data analysis and evaluating Fixed Effect model proceeded by a 2SLS regression method. The results show that there exists a negative relationship between regulatory capital and liquidity creation. They give support to policymakers of Basel III/CRD IV to be concerned about the consequences of imposing higher capital requirements. Furthermore, size of the bank is correlated negatively with liquidity creation, and financial crisis does impact the magnitude of the relationship between regulatory capital and liquidity creation. Nevertheless, we suggest that new buffers on liquidity and capital requirements should be accompanied by other prudential tools to ensure a stable financial system in GIIPS countries. JEL Classification E58,F33, G21, G28 Keywords Regulatory Capital, Liquidity creation, Bank Regulation, Fixed Effect Author's e-mail gladiolagjuzi@hotmail.com Supervisor's e-mail ztuma@kpmg.cz
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Counterparty Risk under Basel III
Macek, Petr ; Teplý, Petr (advisor) ; Rippel, Milan (referee)
The aim of this thesis is to address the implications of Basel III regulation on counterparty credit risk. We analysed the development of OTC market, we addressed systemic risk and the way how central counterparties could mitigate or spread the contagion among banks. We used simulated data to develop a stress test model to find out the impact of counterparty credit risk on banks' capital requirements, in case the interest rate increased extensively. Six pos- sible scenarios of interest rate levels were developed with ascending order of the IR level. From these scenarios we computed the exposure levels and credit valuation adjustment (CVA) as the market value of counterparty credit risk. We came to the following conclusions: (1) Czech banks have enough capital to withstand any interest rate increase in any scenario. (2) Banks with high expo- sure to derivatives like Bank of America, Citibank and JP Morgan would face severe problems if the interest rate increased. (3) There is no direct correlation between credit valuation adjustment and interest rate, the CVA increases faster with the increase of the interest rate.
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Basel III: Evaluation and Impact in the Czech Republic
Gleta, Jakub ; Teplý, Petr (advisor) ; Geršl, Adam (referee)
The thesis is focused on content and impact of the new Basel Capital Accord, commonly known as Basel III. These rules react to recent development in global financial markets and introduce some substantial changes into regulatory approach, which include changes to the definition and required amount of regulatory capital and presents new liquidity requirements. The thesis then assesses new rules form two points of view. First, a quantitative model is constructed that predicts the impact of new rules on capital adequacy of four major Czech banks based on default rates data. In the second part of the analysis, institutional impact of new regulation is stressed, namely the question of how new rules fit within the theoretical framework of optimal regulatory architecture and what pitfalls they have. The thesis is unique in the eclectic nature of its approach, whereby two seemingly disparate approaches oppose each other and an attempt at synthesis is presented. Keywords Banking regulation, Basel II, Basel III, capital adequacy, capital accords, regulatory impact analysis, credit risk JEL classification G21, G28
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Does Greater Capital Hamper the Cost Efficiency of Banks?
Lešanovská, Jitka ; Weill, Laurent
The aim of our research is to analyze the relation between capital and bank efficiency by considering both directions of the Granger causality for the Czech banking industry. We use an exhaustive dataset of Czech banks from 2002 to 2013. We measure the cost efficiency of banks using stochastic frontier analysis. We perform Granger-causality tests to check the sign and significance of the causal relation between capital and efficiency. We embed Granger-causality estimations in the GMM dynamic panel estimator. We find no relation between capital and efficiency, as neither the effect of capital on efficiency, nor the effect of efficiency on capital is significant. The financial crisis does not influence the relation between capital and efficiency. Our findings suggest that tighter capital requirements like those under Basel III do not affect financial stability through the efficiency channel. Policies favoring capital levels and efficiency of the banking industry can therefore be designed separately.
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