Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. In particular, it focuses on how banks active in the non-performing loan industry, can risk-classify their loans despite limited data availability of the debtors. Moreover, the thesis analyses the effect of the maximum-recovery period on the capital requirement. In short, a comparison of five different mathematical models based on prior research in the field, revealed that the loans may be modelled by a two-step tree model with binary logistic regression and zero-inflated beta-regression, resulting in a maximum-recovery period of eight years. Still it is necessary to recognize the difficulty in distinguishing between low- and high-risk customers by primarily assessing rudimentary data about the borrowers. Recommended future amendments to the analysis in further research would be to include macroeconomic variables to better capture the effect of economic downturns. / Sedan det regulatoriska ramverket Basel II implementerades 2007, har banker tillåtits utveckla interna riskmodeller för att beräkna kapitalkravet. Genom att använda data på fallerade konsumentlån från Hoist Finance, utvärderar uppsatsen den avancerade interna riskklassificeringsmodellen. I synnerhet fokuserar arbetet på hur banker aktiva inom sektorn för fallerade lån, kan riskklassificera sina lån trots begränsad datatillgång om låntagarna. Dessutom analyseras effekten av maximala inkassoperioden på kapitalkravet. I sammandrag visade en jämförelse av fem modeller, baserade på tidigare forskning inom området, att lånen kan modelleras genom en tvåstegs trädmodell med logistisk regression samt s.k. zero-inflated beta regression, resulterande i en maximal inkassoperiod om åtta år. Samtidigt är det värt att notera svårigheten i att skilja mellan låg- och högriskslåntagare genom att huvudsakligen analysera elementär data om låntagarna. Rekommenderade tillägg till analysen i fortsatt forskning är att inkludera makroekonomiska variabler för att bättre inkorporera effekten av ekonomiska nedgångar.

Title: Risk capital calculation in invesment life insurance Author: Bc. Tomáš Coufal Department/Institute: Department of Probability and Mathematical Statis- tics Supervisor of the master thesis: Mgr. Josef Lukášek Supervisor's e-mail address: Josef.Lukasek@allianz.cz Abstract: Unit linked insurance is a modern and flexible life insurance product. The last decade was marked by the raising popularity of unit linked insurance. The discussions conserning the impact of the new directive Sol- vency II on the life insurance business focus mainly on the traditional life insurance. This paper examines the issue of the calculation of the risk capital for unit linked insurance. Analysis of the impact of different death guaran- tees, forms of premium payment, time to maturity and dynamic policyholder bahaviour on the risk capital is presented. Keywords: Unit linked insurance, Solvency II, Risk capital, Solvency capital requirement

Purpose: The purpose of this study is to increase the understanding of how a bank’s features and internal factors have affected its choice of method in calculating the capital requirement. Theoretical and Empirical Method: The research strategy of this study has been of a qualitative nature with a deductive approach. The choice of method was depth interviews with respondents from a targeted sample of Swedish banks. These respondents were chosen based on the knowledge they possess as key employees in the capital requirement process and their involvement in choosing their banks’ method for calculating the capital requirement. The interviews were semi-structured, with open questions that allowed a dialogue with the respondents in which they could express their opinions and knowledge regarding the factors affecting their banks’ choice of method. Theoretical Approach: The study is based on the new institutional economics theory of how institutions affect organizational behavior. It’s also based on earlier research within the regulation Basel II by, among others, Hakenes and Schabel (2011), Rime (2005) and Wahlström (2009). Conclusions: The results of this study show that banks have identified different factors that affect their choice of calculation method for the capital requirement. The choice the banks are facing is to keep the standardized method, develop an advanced internal based method, create partnerships with other banks or focus on alternative clientele portfolios. The two factors that were considered to be have the greatest significant for the choice of calculation method were resources associated with the implementation of the IRB approach models and how the banks’ clientele portfolio was designed. How these were distributed and to what extent they influenced the choice was highly individual for the chosen banks. / Syfte: Syftet med den här studien är att öka förståelsen om hur en banks förutsättningar och interna faktorer har påverkat dess val av beräkningsmetod för kapitalkravet. Teoretisk och empirisk metod: Forskningsstrategin för studien har varit av den kvalitativa typen med en deduktiv ansats. Valet av metod var djupintervjuer med respondenter från ett målinriktat urval av svenska banker. Respondenterna valdes utifrån de kunskaper som de besitter genom sin position på respektive bank, där deras deltagande i metodvalsprocessen påverkade valet av beräkningsmetod. Intervjuerna var av typen semistrukturerade, med öppna intervjufrågor för att få till en dialog med respondenterna och ta del av deras åsikter och kunskaper gällande de olika faktorerna till metodvalet. Teoretisk referensram: Studien utgick från den nyinstitutionella teorin, om hur institutioner påverkar organisationers beteenden. Den har baserats på tidigare forskning inom regelverket Basel II av bland annat Hakenes och Schnabel (2011), Rime (2005) samt Wahlström (2009). Slutsats: Resultatet av denna studie visar på att bankerna har identifierat olika faktorer som påverkar valet av beräkningsmetod för kapitalkravet. Valet som bankerna står inför är att behålla Schablonmetoden, utveckla en IRK-metod, skapa samarbeten med andra banker eller fokusera på alternativa klientelportföljer. De två faktorer som ansågs ha störst signifikans för valet av beräkningsmetod var resurserna som förknippades med implementeringen av modellerna i IRKmetoden och hur bankens klientelportfölj var utformad. Hur dessa var fördelade och i vilken grad de påverkade valet var högst individuellt för de utvalda bankerna.

We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second-order probability distribution that captures the bank's uncertainty about which of the subjective beliefs govern the financial asset return risk. Ambiguity preferences are modeled by the (second-order) expectation of a concave transformation of the (first-order) expected utility of profit conditional on each plausible subjective distribution of the return risk. Within this framework, the banking firm finds it less attractive to take risk in the presence than in the absence of ambiguity. This result extends to the case of greater ambiguity aversion. Given that the competitive bank's smooth ambiguity preferences exhibit non-increasing absolute ambiguity aversion, imposing a more stringent capital requirement to the bank reduces the optimal amount of loans, if the bank's coefficient of relative risk aversion does not exceed unity. Ambiguity and ambiguity aversion as such have adverse effect on the bank's risk taking.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-04-18T14:27:10Z No. of bitstreams: 1 Clênia de Oliveira Pires.pdf: 707674 bytes, checksum: b4276c388f57247620d9631ff43fdd42 (MD5) / Made available in DSpace on 2015-04-18T14:27:10Z (GMT). No. of bitstreams: 1 Clênia de Oliveira Pires.pdf: 707674 bytes, checksum: b4276c388f57247620d9631ff43fdd42 (MD5) Previous issue date: 2013-02-26 / UNISINOS - Universidade do Vale do Rio dos Sinos / Esta dissertação teve como objetivo identificar e analisar os fatores determinantes da necessidade de capital de giro corporativa, partindo de teorias robustas de finanças (Theory of Asymmetric Information, Agency Theory, Pecking Order Theory e Theory of Financial Distress) e de estudos empíricos que também tiveram como objeto a NCG. Para isto, este estudo teve como base um painel de dados não balanceado, com informações de 222 companhias brasileiras não financeiras com ações listadas na BM&FBOVESPA e presentes na Base de Dados Compustat, durante um período de 11 anos (2000 a 2010), totalizando 2.278 observações. Foram testadas diferentes variáveis, utilizando-se modelos de regressões lineares de complexidades distintas. A partir dos resultados da regressão final, gerada pelo Painel Dinâmico, foram identificados dez fatores determinantes da necessidade de capital de giro corporativa, todos significantes. O modelo evidencia a importância da NCG do ano anterior na explicação da NCG do ano corrente e mostra que empresas maiores, com vendas mais voláteis, maior fluxo de caixa livre, maior índice de endividamento e em dificuldades financeiras adotam uma necessidade de capital de giro proporcionalmente reduzida, tornando-se mais eficientes na sua gestão do capital de giro. Por outro lado, as evidências mostram que uma maior margem de contribuição, um maior índice market-to-book e a presença de remuneração anual vinculada ao lucro levam a um aumento da necessidade de capital de giro corporativa. Além disso, os resultados sugerem que um menor risco país encoraja o investimento em capital de giro, evidenciando que fatores exógenos a empresa também determinam o volume da sua NCG. Assim, esta dissertação pretende contribuir com pesquisas futuras, visto que é a primeira a investigar os determinantes do investimento líquido em capital de giro operacional sob a ótica de quatro teorias robustas de finanças. / This thesis aims to identify and analyze the determinants of the working capital requirement corporate, from robust theories of finance (Theory of Asymmetric Information, Agency Theory, Pecking Order Theory and Theory of Financial Distress) and empirical studies that also had as object the WCR. Therefore, this study was based on a panel data unbalanced, with information of 222 Brazilian companies non-financial with stocks listed on the BM&FBOVESPA and presents in Compustat Database, for a period of 11 years (2000 to 2010), totaling 2278 observations. We tested different variables, using linear regression models of different complexities. From the results of the final regression, generated by Dynamic Panel, ten factors determinants of the working capital requirement corporate were identified, all significants. The model evidences the importance of WCR last year in explaining the WCR this year and shows that larger companies, with more volatile sales, higher free cash flow, higher debt ratio and financially distressed adopt a working capital requirement proportionally reduced, making it more efficient in its management of working capital. Moreover, the evidence shows that a higher contribution margin, a higher rate market-to-book and the presence of annual compensation tied to earnings lead to an increased working capital requirement corporate. Furthermore, the results suggest that a lower country risk encourages investment in working capital, showing that company exogenous factors also determine the volume of your WCR. Thus, this thesis aims to contribute to future research, since it is the first to investigate the determinants of the net investment in operating working capital from the perspective of four robust theories of finance.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-07-27T15:11:09Z No. of bitstreams: 1 AngeloMigueldeBarrosTese2018.pdf: 4790873 bytes, checksum: af9e45ba55effd3e90733c35bc01c1aa (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-07-27T15:12:41Z (GMT) No. of bitstreams: 1 AngeloMigueldeBarrosTese2018.pdf: 4790873 bytes, checksum: af9e45ba55effd3e90733c35bc01c1aa (MD5) / Made available in DSpace on 2018-07-27T15:12:41Z (GMT). No. of bitstreams: 1 AngeloMigueldeBarrosTese2018.pdf: 4790873 bytes, checksum: af9e45ba55effd3e90733c35bc01c1aa (MD5) Previous issue date: 2018-06-28 / Amid the discussions about the new standardized approach (SMA) for capital requirements of operational risk and the possible extinction of the internal models (AMA), this study analyzes the effects of information asymmetry (a strong characteristic of operational risk) in the interactions between the regulator and the bank regarding the adoption of internal models in the current format. For this, we used the model from ELIZALDE and REPULLO (2007) adapted to operational risk in order to study the behavior of the shareholders of the banks in an internal model and the theory of sequential games of asymmetric information to evaluate the interaction between the regulator and the banks. The results indicate that adhesion to the AMA is not a Bayesian Perfect Equilibrium and that the return to a standardized model, either by the SMA or the current models, forms the only Bayesian Perfect Equilibrium strategy, which explains the low adhesion to the AMA even more than one decade after the proposition of this model and suggests the need to create mechanisms to reduce this asymmetry. As the inadequate capital requirement interferes in financial intermediation, this paper also analyzes a relationship between a credit grant and economic growth, making use of finance growth nexus theory and an empirical model applied to Brazilian municipalities. The results indicate that credit grant reduces economic growth volatility and, specifically in Sudeste and Nordeste regions, there was a strong evidence that credit stimulates economic growth of municipalities. / Em meio às discussões sobre o novo modelo padronizado (SMA) para requerimento de capital para risco operacional e a possível extinção dos modelos internos (AMA), este estudo analisa os efeitos da assimetria de informação (forte característica do risco operacional) nas interações entre o regulador e o banco quanto à adoção de modelos internos no formato atual. Para isso, foi utilizado o modelo de ELIZALDE e REPULLO (2007) adaptado para risco operacional para estudar o comportamento dos acionistas dos bancos em um modelo interno e a teoria de jogos sequenciais de informação assimétrica para avaliar a interação entre o regulador e os bancos. Os resultados indicam que a adesão ao AMA não representa um Equilíbrio Perfeito Bayesiano e que o retorno a um modelo padronizado, seja pelo SMA ou pelos modelos atuais, forma a única estratégia de Equilíbrio Perfeito Bayesiano, o que explica a baixa adesão ao AMA mesmo após mais de uma década de surgimento e sugere a necessidade de se criar mecanismos para reduzir essa assimetria. Como o requerimento inadequado de capital interfere na intermediação financeira (seja aumentando o custo de captação ou reduzindo possibilidade de concessão de crédito), este trabalho também analisa a relação entre a concessão de crédito e o crescimento econômico, utilizando a teoria sobre finance growth nexus e um modelo empírico aplicado aos municípios brasileiros. Os resultados indicam que a concessão de crédito reduz a volatilidade do crescimento econômico dos municípios brasileiros e, especificamente nas regiões Sudeste e Nordeste, houve forte evidência de que o crédito estimula crescimento econômico dos municípios.

The thesis "Operational risk management in financial institution" is focused on description, types of measurements, methods of control, analysis and possibilities for reducing of operational risk. The first part describes and defines operational risk and discusses the Basel accords. Next part is focused on operational risk management, methods reducing operational risk and there is also described the organizational structure of the bank associated with operational risk. The thesis also describes the methods of calculating of capital requirements and methods measuring operational risk. The practical part describes the most significant operational risk events and there is also a comparison analysis of calculation of capital requirement the specific bank.

自1997亞洲金融風暴以來，區域性金融危機的傳染現象(Contagion, or Spillover Effect)便受到經濟學界高度重視，其重要性在2008年雷曼兄弟事件所引發的全球性金融海嘯後更加突顯，而相關的資本管制也陸續出籠，其中最引人注目的當屬2010年通過實行的三代巴賽爾條約(Basel III)。本文奠基於Allen and Gale(2000)所提出的銀行同業拆借市場(Interbank Market)模型，配合資本適足率的導入，試圖驗證在資本管制的設定之下，是否能有效預防銀行恐慌與其蔓延現象之發生。其結果證實提高資本適足率後，藉由銀行本身主動的提高緩衝性準備(Buffer)，銀行倒閉的發生機率將顯著降低，換言之，資本適足率管制有效提高了銀行倒閉門檻。同時，本文亦證實資本管制對於銀行同業拆借市場所衍生的傳染現象具有顯著的改善效果。 然而，資本適足率之管制雖具有穩定金融體系的作用，其對存款人消費之緊縮效果卻無可避免會降低其效用。本文在考慮銀行倒閉風險機率後，建立一兩期之社會福利涵數，並利用計算代表性個人(Representative Agent)預期效用極大化條件下的最適資本適足率。在特定參數之下，所得到最適資本適足率為6.375%。我們並且進一步證實，在權益資金報酬率小於長期資產報酬率之下，最適之資本適足率將同步增加，進而使社會福利最大，此符合一般的經濟直覺，同時再次突顯金融體系穩定性對於社會福利的重要性。 / The financial contagion phenomenon, or the spillover effect, has become a crucial issue in recent years after the breakout of the financial crises in 2008. To deal with such problem, some regulations such as the capital requirement, has been introduced as a solution. In our paper, we develop a model based on Allen and Gale (2000) to testify whether the introduction of the capital requirement can successfully reduce the risks of bankruptcy and contagion phenomenon for the interbank system when suffering from the regional liquidity shock. We conclude that after the introduction of capital requirement, the bank will voluntarily hold more buffers to lower the bankruptcy risk and reduce the spillover effect. What’s more, we construct an optimal level of the capital requirement that maximize the social welfare utility and depends on the probability of bankruptcy, the percentage of early withdrawals, the relative cost of capital and other parameters. By simulation, we have the optimal capital requirement at 6.375% in our benchmark case, which is a reasonable one compared with the current Basel Accord. Finally, the paper shows that as the cost of capital is getting lower, bank uses more capital which enhances the social welfare significantly in equilibrium, indicating the great importance of financial stability.

Questa tesi cerca di analizzare le determinanti della struttura finanziaria delle banche. Si ritiene generalmente che il leverage ratio bancario sia determinato indirettamente tramite l’applicazione di requisiti patrimoniali, in particolare requisiti legati al rischio dell’investimento come nello schema di Basilea II. Molti dei recenti contributi empirici criticano questa tesi ed anzi individuano fattori di mercato come principali variabili nella determinazione del leverage. Una collezione dei recenti studi in materia viene raccolta nel primo capitolo. Nel secondo capitolo, si analizza l’impatto dei requisiti patrimoniali sulla struttura finanziaria delle banche all’interno di un modello di signaling. Viene dimostrata l’esistenza di un equilibrio di separazione, in cui i requisiti patrimoniali non sono vincolanti per ogni tipo di banca; si dimostra inoltre che in equilibrio esiste una relazione negativa tra il leverage bancario e la qualità degli attivi: è infatti la banca di minore qualità ad avere un leverage maggiore. Questo risultato, in contrasto con la tradizionale teoria di finanza aziendale, può aiutare a comprendere alcuni episodi della recente crisi finanziaria ed interroga l’efficacia del sistema di Basilea II. Infine, nell’ultimo capitolo, viene condotta un’analisi empirica sulle determinanti del leverage bancario . Sono identificate relazioni stabili e negative tra il leverage delle banche incluse nel campione e la qualità dei loro attivi. Questo risultato si conferma al variare degli strumenti utilizzati per identificare la qualità degli attivi. Questa relazione negativa ci suggerisce che le banche si pongano l’obiettivo di targettizzare un certo livello di leverage per dare un segnale al mercato circa la loro qualità intrinseca: migliore la qualità degli attivi, minore è il loro utilizzo di leva finanziaria. Queste banche rinunciano ad intraprendere investimenti profittevoli pur lanciare un messaggio al mercato e ridurre il costo del finanziamento. / This thesis analyzes banks’ choices over their leverage ratio targeting. It is commonly believed that the banks’ leverage ratio is implicitly driven by the risk-related regulation set by the Basel Committee. Many recent empirical studies on the subject challenge this presumption and suggest that factors other than regulation drive the banks’ choices on leverage. A review of the recent contributions on the subject is presented in the first chapter. In the second chapter we study how capital requirements affect banks' capital structure within a standard signaling model. We prove the existence of a separating equilibrium in which capital requirements are not binding for every type of bank, and we show that in equilibrium there exists a negative relationship between bank's leverage and its intrinsic quality: it is the low type bank that takes on more debt. This result, in contrast with the traditional theory of corporate finance, sheds some light on some of the recent financial crises episodes and hence questions the effectiveness of the current regulatory environment. Finally, in the last chapter, we conduct an empirical analysis on the cross-sectional determinants of banks' leverage. We find a negative and stable relation between banks leverage and the quality of their assets. This result is proved valid under different definition of assets' quality, based on ex-ante and ex-post expectation of the realization of asset quality. The results suggest that banks might target a certain leverage ratio to reveal their true quality to the market: the higher quality banks signal their private information to the market with a lower level of leverage, passing over some profitable opportunities to gain from a lower cost of funding.

Magistro baigiamajame darbe atlikta įmonės UAB "XXX" apyvartinio kapitalo analizė. Pirmoje darbo dalyje teoriniu aspektu apžvelgta įmonės apyvartinio kapitalo koncepcija ir struktūra. Antroje darbo dalyje pateikta tyrimo metodologija, pasirinkti apyvartinį kapitalą analizuojantys finansiniai rodikliai ir analizuojamas ryšys tarp jų. Trečioje darbo dalyje atliekama įmonės UAB "XXX" analizė ir pateikiama apyvartinio kapitalo poreikio prognozė. / In the master's thesis is conducting an analysis of working capital in a company "XXX" Ltd. In the first part of the master's thesis ir reviewing the theoritical aspects of a company's working capital concept ant structure. In the second part are introducting the methodology of the research and selected financial ratios being used for working capital analysis and researching the relationship between these financial ratios.