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The Czech banking sector: Determinants of Profitability
Hykl, Daniel ; Pečená, Magda (advisor) ; Teplý, Petr (referee)
This thesis is concerned with Czech banking sector in 2015 - 2020 and its profitability. A set of bank-specific and macroeconomic variables is tested for profitability determination effects by a general profitability model estimated with system GMM, FE, and OLS methods, yearly and quarterly data are used. The results indicate negative effects on bank profitability of the following on both yearly and quarterly bases: capitalization, operational efficiency, and inflation change, and positive effects on bank profitability of the following on both yearly and quarterly bases: bank size and GDP growth. The thesis also analyzes quarterly changes in bank assets, liabilities, and equity. The results indicate systematic drops of liabilities and assets reported as of year-ends. Potential explanations are discussed along with suggestions for further research as this study presents a complex set of insights, results, and experience ready to be augmented with further efforts.
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The impact of the COVID-19 crisis on bank credit risk management
Lukášková, Karolína ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
iv Abstract This diploma thesis examines the impact of the COVID-19 crisis on the bank credit risk in the European Union. The analysis is performed using two sets of panel data. The first set contains data at the bank-level between 2012 and 2018 and is obtained from BankFocus batabase and the second set of data is obtained from the EBA Risk dashboard and contains data at the country-level between 2014 and 2020. Both datasets contain bank-specific variables and macroeconomic variables. We use the variables Cost of risk, Total capital ratio, Tier 1 ratio and NPE ratio as dependent variables. As representatives of the COVID-19 shock, we use the number of people infected with this disease, the number of deaths from this disease and the Stringency Index. We employ the GMM system for our analysis and test 5 hypotheses. We did not reject 3 hypotheses, namely that Cost of risk is a key determinant of credit risk and that the crisis caused by COVID-19 affects the variables Capitalo ratio and NPE ratio. We further concluded that the variables representing COVID-19 do not have a negative effect on credit risk, mainly due to the interventions of the ECB and the IASB. JEL Classification C12, C33, G01, G21 Keywords bank, COVID-19 crisis, credit risk management, Stringency index Title Author's e-mail Supervisor's e-mail...
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Non-Performing Loans - Determinants, the Development over Time and the Impact on Banks and the Real Economy
Kafková, Kateřina ; Pečená, Magda (advisor) ; Fanta, Nicolas (referee)
Non-Performing Loans - Determinants, Development over Time and the Impact on Banks and the Real Economy Author: Kateřina Kafková Abstract This thesis explains the concept of non-performing loans (NPL) and analyses factors determining the share of NPLs in total gross loans provided in the Czech Republic. A panel of 24 banks operating in the Czech Republic with annual data from 2010-2019 is analysed. The main estimation method that is used is the difference Generalized Method of Moments. The possible determinants that are examined come from both macroeconomic and banking environment. The results of the estimation provide evidence of the existence of a connection between the NPL ratio and the macroeconomic factors, of which the effect of inflation and unemployment was the most significant. Also, the estimation confirms that the NPL ratio is significantly influenced by the bank-specific determinants, specifically by the effect of the previous values of the NPL ratio and the effect of credit growth. Finally, the thesis discusses the reversed effect - the effect of NPLs on the real economy.
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