Diploma thesis focuses on liquidity risk management of commercial banks in the Czech banking market in 2002-2015. This main goal is achieved through a comprehensive analysis within a framework that uses several different methods. A theoretical framework for bank liquidity management is drawn up for a theoretical evaluation, summary of the current literature and a summary of the regulatory framework including the newly introduced Basel III requirements and indicators is put together. The research part is focused on assessing the development and current state of liquidity of Czech banks by analyzing of liquidity ratios and regression analysis of panel data. The level of liquidity and the size of the liquid pillow is judged to be sufficient and stable from the results of the individual analyses. The net position of Czech banks on the interbank market on an international scale also reflects a good level of liquidity. The major determinants of Czech bank liquidity in the period under review were mainly capital adequacy, bank size, loan portfolio quality, growth rate of GDP and interest rates.

This paper investigates the impact of Basel III on the valuation of banks in the EEA through an event study of the stock market. It contributes to academic literature by enhancing the study by Bruno, Onali & Schaeck (2018) with another event date after the conclusion of their study. This paper investigates two hypotheses: 1) Did the announcement by the Basel Committee on Banking Supervision on December 7th, 2017 (the event), affect the market capitalization of banks in the EEA; 2) Did domestic liquidity regulation prior to Basel III positively affect how those banks' market capitalization changed in response to the event. Using t-tests and a multivariate regression analysis, this study finds no statistical significance at a 10% level for either of the hypotheses. However, three findings appear to be found: 1) There was a small negative reaction to the event; 2) The negative reaction was larger for banks without prior regulation; and 3) The variance was larger for banks without prior regulation. These three findings all point towards both: 1) A negative effect from the event on banks’ market capitalization; and 2) A positive effect from prior domestic liquidity regulation. No statistically significant conclusions can be drawn from this study, however. This study's largest limitation is that it does not account for expectations prior to the event, and an effect may thus already have been priced into the market capitalization prior to the event.

Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. This thesis uses simulations and empirical data to evaluate the performance of non-parametric backtests under different circumstances. An important takeaway from the thesis is that the different backtests all use some kind of trade-off between measuring the number of Value at Risk exceedances and their magnitudes. The main finding of this thesis is a list, ranking the non-parametric backtests. This list can be used to choose backtesting method by cross-referencing to what is possible to implement given the estimation method that the financial institution uses. / Sedan Baselkommittén föreslog införandet av Expected Shortfall som primärt riskmått för finansiella institutioner, har det debatteras vilken backtesting metod som är bäst. Trots detta råder det brist på studier som utvärderar olika föreslagna backtest. I studien används simuleringar och historisk data för att utvärdera icke-parametriska backtests förmåga att under olika omständigheter upptäcka underskattad Expected Shortfall. En viktig iakttagelse är att alla de undersökta testen innebär ett avvägande i vilken utsträckning det skall detektera antalet och/eller storleken på Value at Risk överträdelserna. Studien resulterar i en prioriterad lista över vilka icke-parametriska backtest som är bäst. Denna lista kan sedan användas för att välja backtest utefter vad varje finansiell institution anser är möjligt givet dess estimeringsmetod.

This dissertation explored the efficacy of the new Basel III banking standards in SACU, grounded on the conjecture that they are not reflective of economies of SACU, but are merely an intensification of Basel II, rather than a substantial break with it. Firstly, loans and assets were tested for causality, since Basel III believes growth in these variables led to securitization. The leverage ratio has been introduced in Basel III as an anti-cyclical buffer. The OLS technique was employed to test for its significance in determining growth in bank assets. SACU feels the impact of debt, with credit is marginally treated in Basel III and is not introspective of the realities of its economies. ANOVA tests using debt, credit and GDP were done to determine a better method of addressing cyclicality. The leverage ratio was insignificant in Namibia, with debt and credit having momentous impacts on GDP in SACU. / Economics / M. Com. (Economics)

The master thesis shows how important is the promotion of export for the economy of the Czech Republic in the present time of economic uncertainty and in front of such threats it now stands. I show in individual chapters of this study, that it is necessary to allow for availability of export credits for Czech exporters, because these may also help to achieve the objectives of the new Czech export strategy. Then I present methods of state aid, two Czech export agencies. And by using gravity model and subsequent analysis I show, that it is socially advantageous to support these agencie, since the positive impact of this support can also be expected as an increase in employment, GDP growth and increased income to the state budget through taxes. Furthermore, I introduce the leader to the threat posed to export financing in Europe by the regulatory requirements of the newly introduced Basel III banking regulation - not just capital requirements, but also the newly introduced leverage ratio. Econometric model empirically confirms the hypothesis, that Basel III will have a negative impact on the availability and price of export credits. On the contrary, according to the conclusions of this model I cannot assume that this regulation significantly influences the Czech export credit institutions.

Les autorités régulatrices ont décidé l’instauration de Bâle III car les procédures internesde gestion des risques bancaires et la discipline de marché n’ont pas suffi à éviter l’une despires crises de l’histoire de la finance internationale. L’Accord doit rendre les systèmes bancaires etfinanciers internationaux plus sûrs en s’assurant que les banques traversent les périodes de crise parleurs propres moyens, sans faire appel aux contribuables. Néanmoins, les effets de ces normes sontincertains : la réglementation prudentielle bancaire semble résulter d’un arbitrage entre ses effets positifsqui stabilisent l’économie en réduisant la fréquence et l’ampleur des crises et ses effets négatifsqui limitent l’activité bancaire et le financement de l’économie.Nous nous proposons d’évaluer les effets de Bâle III sur le financement bancaire des pays émergentset des petites et moyennes entreprises françaises. Ces emprunteurs risqués et dépendants des banquessont les plus consommateurs en fonds propres et en actifs liquides. Ils sont donc susceptibles d’être lesplus fortement affectés par Bâle III. Nous présentons les nouveaux standards ainsi que la manière dontla littérature en analyse les effets. Ensuite, nous proposons une évaluation empirique de l’impact del’Accord sur le financement bancaire des pays émergents et des petites et moyennes entreprises françaises.La croissance des créances bancaires transfrontières à destination des pays émergents pourraitêtre réduite de 20%. Les PME devraient subir un effet en forme de M avec un report des banques versles expositions offrant les meilleurs couples rendements/risques ajustés des exigences réglementaires. / Regulatory authorities of BCBS member countries decided to enforce Basel III as bankinternal risk management and market discipline have failed to avoid one of the worst crises in the historyof international finance. This Accord promotes a more resilient banking sector fostered by banks’increased ability to absorb shocks without relying on taxpayers. However, the overall effect remainsambiguous and seems to result from a bargaining between its positive and negative impacts : on theone hand, borrowers could benefit from a more stable banking system that reduces crises’ frequencyand magnitude. On the other hand, more stringent requirements could slow down banking activityand projects’ funding.We aim at evaluating Basel III effects on emerging market economies and French small and mediumsizedenterprises’ bank funding. Such bank-dependant risky borrowers are more prone to shoulder theimpact of the new regulatory requirements as they are the largest consumers of equity and liquidassets. Eventually, a more binding regulatory environment could reduce world growth. Therefore, weintroduce all the new adequacy standards and how the literature analyses them. Afterwards, we offeran empirical assessment of Basel III likely impact on emerging countries and French SMEs. We provideevidence that the new regulation could result in an overall decrease of 20% in the inflow of cross-borderbanking claims held on emerging countries. Regarding SMEs, Basel III effects could produce an Mshapedimpact pushing banks towards positions offering the best regulatory adjusted risks/returns.

This dissertation explored the efficacy of the new Basel III banking standards in SACU, grounded on the conjecture that they are not reflective of economies of SACU, but are merely an intensification of Basel II, rather than a substantial break with it. Firstly, loans and assets were tested for causality, since Basel III believes growth in these variables led to securitization. The leverage ratio has been introduced in Basel III as an anti-cyclical buffer. The OLS technique was employed to test for its significance in determining growth in bank assets. SACU feels the impact of debt, with credit is marginally treated in Basel III and is not introspective of the realities of its economies. ANOVA tests using debt, credit and GDP were done to determine a better method of addressing cyclicality. The leverage ratio was insignificant in Namibia, with debt and credit having momentous impacts on GDP in SACU. / Economics / M. Com. (Economics)

La crise financière globale de 2007-2009 a révélé la fragilité des banques modernes ainsi que les carences de la réglementation. A la suite de la crise, le secteur bancaire a connu des réformes réglementaires importantes : renforcement de la régulation micro-prudentielle, mise en place de dispositifs ayant des objectifs macroprudentiels et diverses initiatives de séparation des activités. Dans ce contexte, cette thèse, en s’appuyant sur les données américaines, essaie dans un premier temps d’expliquer la vulnérabilité des banques par leurs caractéristiques financières et leur structure organisationnelle. Ensuite, la thèse propose une analyse de l’efficacité de certains nouveaux outils dans le cadre des réformes. Nous trouvons les résultats suivants : 1) Le risque de faillite est plus élevé chez les banques qui adoptent des stratégies agressives pendant la période d’euphorie économique et qui se financent par des fonds instables. Une maison-mère saine (bien capitalisée et rentable) est une source de force des filiales bancaires. Cela vient étayer l’introduction du coussin de capital contracyclique et du ratio de liquidité dans Bâle III. 2) La diversification des activités contribue à la baisse du risque bancaire alors que les engagements croissants en activités non-traditionnelles volatiles semble rendre les banques plus vulnérables. Ceci conforte la nécessité d'une réforme structurelle pour certaines banques universelles. 3) Les ratios de levier prévoient mieux la probabilité de faillite des grandes banques que le ratio pondéré par les risques, tandis que les deux types de ratios sont aussi efficaces pour prévoir la faillite des petites banques. Ce résultat souligne l’importance du renforcement de la réglementation des banques systémiques et implique sa mise en œuvre. / The 2007-2009 global financial crisis reveals the fragility of modern banking sector and the flaws in bank regulation. In the wake of the crisis, an important number of reforms are carried out: enhancement of micro-prudential regulation, introduction of macro-prudential instruments and separation of activities. In this context, this thesis, using detailed information on the U.S. banking sector, tries to explain bank vulnerability by their financial characteristics and organizational structure. Then the thesis analyzes the efficiency of some new regulatory instruments. Our findings are the following: 1) Banks adopting an aggressive business model in economic boom and banks funded massively with instable liabilities are more likely to fail. A healthy (well-capitalized and profitable) bank holding company is a source of strength for its bank subsidiaries. These findings support the introduction of the countercyclical capital buffer and of the requirements on liquidity in the Basel III framework. 2) A high degree of diversification across different banking activities is associated with important risk reduction benefits while the expansion in non-traditional activities seems to make banks more vulnerable. This indicates the necessity of structural reform for certain universal banks. 3) The leverage ratios are more efficient in predicting failures of large banks than the risk-weighted capital ratio whereas the two types of capital ratios predict the failures of small banks as well as each other. These findings go in line with the reinforcement of regulation on systemically important banks.

L'objectif de cette thèse est double : évaluer, mesurer et analyser les effets de contagion sur les banques américaines et européennes lors la crise financière globale de 2008-2009 et étudier les canaux financiers qui ont contribué à la propagation de la crise aux pays du G7. En suivant une approche microéconomique de la définition de la contagion, nous testons, premièrement, l'hypothèse d'un effet de « contagion » sur les marchés boursiers à l'aide de la méthode des études d'évènements. Nous qualifions ensuite la contagion de « contagion pure » ou de « contagion rationnelle ». Deuxièmement, nous testons l'hypothèse de « contagion » contre « interdépendance » sur le marché des dérivés de crédit avec les modèles de corrélations conditionnelles asymétriques dynamiques. En troisième lieu, nous cherchons à répondre à une question macroéconomique : quel choc joua le rôle majeur dans la transmission de la crise financière globale, celui dû à la pénurie de liquidité ou celui provoqué par la dévaluation des actifs financiers? Pour cela, nous analysons, à l'aide d'un modèle vectoriel autorégressif à paramètres qui varient dans le temps, l'effet de chaque choc, venu des États-Unis, sur les marchés monétaires et boursiers des pays du G7. Enfin, nous questionnons l'intérêt de la régulation Bâle 3 portant sur le capital des banques du point de vue des banques contaminées durant la crise financière globale. / The objective of this thesis is the twofold: to assess, measure and analyze contagion effects to American and European banks during the global financial crisis of 2008-2009 and to study the financial channels that contributed to the spread of the crisis to G7 countries. Following a microeconomic approach of the definition of contagion, firstly, we test the hypothesis of “contagion” on stock markets using the event study methodology. Then, we qualify it as “pure contagion” or “rational contagion”. Secondly, we test the hypothesis of “contagion” versus “interdependence” on credit derivative market using the asymmetric dynamic conditional correlations models. Thirdly, we aim to answer a macroeconomic issue: which shock played the major role in spreading the crisis from U.S. to money and stock markets of G7 countries, the shock due to liquidity shortage or the shock due to the devaluation of financial assets? We use a Time-Varying Parameters Vector-Auto Regression methodology. Finally, we provide insights into the impact of Basel III regulation of banks capital, by focusing on banks contaminated during the global financial crisis.

In the thesis we analyse changes in derivatives valuation after the financial crisis and their impact on behaviour of financial institutions. We focus mainly on the changes related to counterparty credit risk and valuation adjustments. We describe in economical terms the relationship between counterparty credit risk and traditional credit risk, we also introduce management and modelling of this risk. In second part of the study we analyse the regulatory framework, in particular new capital requirement and mandatory central clearing of OTC derivatives. We discuss inconsistencies between regulatory and internal approaches to the counterparty risk measurement and also significant systemic risk connected to central counterparties. Finally we investigate the impact of changes in derivatives valuation on banks in both the EU and the Czech Republic. Specifically we are interested in optimal approach to entering into derivative trade.