<p>Credit risk is the risk of losses due to the failure to fulfil the obliged payment from a debtor or a counterparty. It is one of the three major components of risks that a bank faces as defined in the new Basel Accord. The credit risk literature has experienced similar rapid growth as the credit market itself. There are currently four different approaches to analyzing credit risk: structural, reduced-form, incomplete information and hybrid models. Even though there are large volumes of published research papers and books on credit risk, our understanding and management skills in this area are still very limited as evidenced by the recent crash of the subprime market. This thesis combines three working papers on credit risk modeling and aims at adding some insights and contributions to the current credit risk literature.</p><p>In the first paper, we propose to randomize the initial condition of a generalized structural model, where the solvency ratio instead of the asset value is modeled explicitly. This initial randomization assumption is motivated by the fact that market players cannot observe the solvency ratio accurately. We find that positive short spreads can be produced due to imperfect observation on the risk factor. The two models we have considered, the Randomized Merton (RM)-II and the Randomized Black-Cox (RBC)-II, both have explicit expressions for Probability of Default (PD), Loss Given Default (LGD) and Credit Spreads (CS). In the RM-II model, both PD and LGD are found to be of order of √T, as the maturity T approaches zero. It therefore provides an example that has no well-defined default intensity but still admits positive short spreads. In the RBC-II model, the positive short spread is generated through the positive default intensity of the model. Because explicit formulas are available, these two Randomized Structure (RS) models are easily implemented and calibrated to the market data. This is illustrated by a calibration exercise on Ford Motor Corp. Credit Default Swap (CDS) spread data.</p> <p>In the second paper, we introduce the inverse-CIR (iCIR) intensity model of credit risk. A multi-firm intensity-based model is constructed where negative correlations are built through the negative correlation between the Cox-Ingersoll-Ross (CIR) process and its inverse. This parsimonious setting allows us to form rich correlation structures among short spreads of different firms, while keeping nonnegative conditions for interest rates and short spreads. The bond prices are given by explicit expressions involving confluent hypogeometric functions. This model can be regarded as an extension of the Ahn & Gao (1999) one factor iCIR model on interest rates to a multi-factor framework on credit risk.</p> <p> In the third paper, we derive several forms of the equity volatility as a function of the equity value, from the structural credit risk literature. We then propose a new jump to default model by taking the equity volatility to be of the form implied by the models of Leland (1994) and Leland & Toft (1996). This model involves a process we call the Dual-Jacobi process and which has explicit formulae for its moments. Gram-Charlier expansions are then applied to approximate bond and call prices. Our model generalizes Linetsky (2006) by incorporating a local volatility which is bounded below by a positive constant. This local volatility will decrease to a positive constant for increasing stock prices, making the stock process asymptotic to Geometric Brownian Motion (GBM). In this sence, our model is more realistic than Constant Elasticity of Variance (CEV) models.</p> / Thesis / Doctor of Philosophy (PhD)

Diss. Stockholm : Handelshögskolan, 2005

The aim of this master thesis is to analyze marketing communication of new banks which entered the Czech market in 2011. The first part of the thesis contains the theoretical background regarding marketing in services, marketing communication and methodology of market research. The practical part deals with the analysis and comparison of marketing communication of Zuno, Air Bank and Equa bank. The practical part contains own quantitative and qualitative market research focused on perception of marketing communication of these banks by the public and their clients. Based on this research and SWOT analysis the possibilities of improvement in the future are presented at the end of the thesis.

This thesis consists of five essays dealing with the fee and commission income in European banks from the macro, sector and bank level perspectives. This topic is of high relevance since fee income represents the largest part of the non-interest income of EU banks. The first part of the thesis deals with banks in general terms, while the second part is focused solely on cooperative banks, which represent approximately 20% of the EU banking sector. We compare the magnitude of the bank fee income across EU countries and study its determinants and impacts on banks' performance. The first essay compares the magnitude of the fee income across EU countries with a special emphasis on the Czech Republic from a macroeconomic perspective. First, we conclude that Czech banks are not abnormally dependent on fee income and their outstanding performance can be attributed to sound risk management, high liquidity and sufficient capital buffers rather than to excessive fees. Second, our evidence suggests that the share of fee income had an increasing trend in EU countries in recent years, which might be connected to the effort to maintain sufficient profitability in the low interest rates environment. We also discuss how new entrants, the so called low-cost banks, changed the banking sector in the Czech Republic....

For the sake of globalization was possible to verify not only the transit of goods but a range of services which can sometimes manage them or can sometimes be offered exclusively. Theories which used to place the product as the center of analysis began also offering valuable insights for the third sector generating new opportunities for review. The focus of this thesis, directed to financial services and represented by the banking market, comes from what is presented as a tendency, not only in academia but also in transactions in the world today. Additionally, the strategic management of bank´s internationalization has not been object of systematic research, especially in Brazil where the sector stands out as what attracts the foreign investors' confidence to the country. The national banking system is solid, competitive, technologically advanced, modern and transparent which becomes a model for the rest of the world. Banco do Brasil was chosen because of its type (mixed-economy), experience, strength, strong brand, as well as his contribution to the history and present of the country. It has achieved the oldest international movement in Brasil which can contribute to a revealing thesis. Considering the aspects mentioned, is appropriated to say this case study aimed to know the history of the Banco do Brasil´s internationalization and also to understand how it, a large store of financial products and services, equalizes it strategies for global standardization and local adaptation in the process of international expansion. In search of answers to these questions were interviewed by telephone people directly involved, and were used semi-structured questionnaires. The development of this study also included a reading of the Day´s (1990) matrix analysis, which highlights some strategic elements that can be assessed at the time a company must decide whether (and how should) compete in global markets: Strategic Orientation, Marketing, Operations and Technology, Human Resources and Sustainability. Based on the results, could be inferred that the analyzed bank's strategy is characterized as transnational, according to the Hill´s (1997) concept. In addition to this data collection and analysis was aimed to experience the perception of the major leaders of the Banco do Brasil about the performance of internationalization by completing a questionnaire, sent it by email. Probably due to the many recent changes arising from the process´ intensification, the aspects evaluated around the Bank´s international performance did not have a consensus by the managers. Data analyzed through documents, content and categories indicated that Banco do Brasil has shown a slow international expansion over the nearly 70 years of his path but today the goals suffered a major boost. The greater consensus, indeed, is in the efforts directed at transforming the institution into a global bank. / Com a globalização, passou-se a verificar não somente o trânsito de bens. Mas, de uma gama de serviços que, ora podem os acompanhar, ora podem ser oferecidos exclusivamente. Teorias que colocavam o produto como centro de análise passaram, também, a oferecer valiosos insights para o terceiro setor, gerando novas oportunidades de estudo. O enfoque deste trabalho, direcionado aos serviços financeiros e representado pelo mercado bancário, advém do que se apresenta como tendência, não só na comunidade acadêmica, mas, também, nas transações mundiais da atualidade. Adicionalmente, a gestão estratégica da internacionalização de bancos não vem sendo objeto de investigação sistemática, especialmente, no Brasil, onde o setor se destaca como um dos que mais atraem a confiança dos investidores externos no País. O sistema bancário nacional é sólido, competitivo, tecnologicamente avançado, moderno e transparente, tornando-se modelo para o restante do mundo. O Banco do Brasil foi escolhido pelo seu tipo (economia mista), experiência, solidez, marca forte, bem como pela sua contribuição para a história e atualidade do País, tendo concretizado o movimento internacional mais antigo do País o que pode contribuir para um estudo revelador. Considerando os aspectos mencionados, através do presente estudo de caso, almejou-se conhecer o histórico de internacionalização do Banco do Brasil e entender como ele, uma grande loja de produtos financeiros e serviços, equaliza suas estratégias de padronização global e de adaptação local no processo de expansão internacional. Em busca de respostas para estas questões, foram entrevistadas, por telefone, pessoas envolvidas diretamente. Para tanto, utilizaram-se questionários semi-estruturados. O desenvolvimento do estudo contou ainda com uma releitura da matriz de análise estratégica de Day (1990), que realça alguns elementos estratégicos que podem ser avaliados no momento em que uma empresa decidir se deve (e como deve) competir em mercados globais: Orientação Estratégica, Marketing, Operações e Tecnologia, Recursos Humanos e Sustentabilidade. Com base nos resultados, infere-se que a estratégia do banco analisado caracteriza-se como transnacional, segundo o conceito de Hill (1997). Adicionalmente a esta coleta e análise de dados, buscou-se levantar a percepção da cúpula diretiva do Banco do Brasil quanto à performance de internacionalização da Instituição, mediante o preenchimento de um questionário, enviado por e-mail. Provavelmente, em decorrência das muitas mudanças recentes ocorridas em função da intensificação do processo, os aspectos avaliados em torno da performance internacional do BB não contaram com um consenso da direção. Os dados analisados, de modo geral, em documentos, conteúdo e categorias, apontaram que o Banco demonstrou uma lenta expansão internacional ao longo dos cerca de 70 anos de sua trajetória. Mas, atualmente, as metas sofreram um grande impulso. O consenso maior está, de fato, nos esforços direcionados para transformar a Instituição em um banco global.

My thesis concentrates on the problems of the banking fees of banks in Czech Republic and Germany. It aims to examine the bank fees from the bank customers{\crq} point of view, and witch regard to the importance of the bank{\crq}s profit formation by analyzing and comparing bank politics in the Czech Republic and Germany. This thesis consists of two parts: theoretical and practical one. The theoretical part focuses on analyzing different types of bank schemes, their advantages and disadvantages and various types of banks existing in the market, and also on the scope of integral rate license. Last but not least, it deals with the analysis of the new Basel II which supports the stability of the financial system and competitive environment. The theoretical part also informs about the structure of the bank system in Germany and the competence of various bank institutions. The practical part similarly concentrates on analyzing the level of costs and commissions in relation to pecuniary gain of banks in Czech Republic and Germany. It also compares the banks on the basis of various indicators, such as for example the total assets, capital assets, number of business opportunities and net profit. Besides, it contains the level and progression of various fees of specific services over the last years, the pricing of bank deals and also all sorts of surveys like the most ridiculous fee, the bank with the best provided service and the bank with the best arranged scale of charges. Apart from that, it looks into the consumers{\crq} awareness about tariff changes in Czech Republic as well as Germany and it also focuses on the rules of conduct that the banks agreed on in order to improve the quality of the services for their customers.