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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Are the risk weights of banks in the Czech Republic procyclical?: evidence from wavelet analysis
 Brož, Václav ; Pfeifer, Lukáš ; Kolcunová, Dominika
We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider both the business cycle and the financial cycle, and employ wavelet coherence as a means of dynamic correlation analysis. Our results indicate that the risk weights of exposures under the internal ratings-based approach, including risk weights related to exposures secured by real estate collateral, are procyclical with respect to the financial cycle. We also show that the effect of changing asset quality on risk weights is present for the internal ratings-based approach, in line with our expectations based on regulatory standards. Our results can be employed for the purposes of decision-making on the activation of supervisory and macroprudential instruments, including the countercyclical capital buffer.
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Using Rating in Regulation Practice
 Řehořová, Monika ; Blahová, Naďa (advisor) ; Metrah, Samy (referee)
This master thesis deals with the issue of using rating in the context of determining capital requirements. The focus is on using the Standardised Approach and the Internal Rating-Based Approach to calculate credit risk capital requirements. Different approaches to managing the risk and evaluating the capital adequacy. Criticism of rating agencies as well as the complexity of Internal Rating-Based Approach is taken into account. Furthermore, the thesis discusses the issue of responsibility of external rating agencies for their evaluations, and together with the issue of lacking competition. Various alternatives to external rating are discussed. The internal rating process is discussed in more detail along with the factors which affect rating evaluations of exposures to various entities. Subsequently, the thesis focuses on determining the rate of provision for impairment expected losses on receivables, and a possible impact of accepting IFRS 9 on capital adequacy.
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