Thesis (Ph. D)--Rand Graduate School, 1994. / Includes bibliographical references (p. 155-158). Also available on the Internet.

Thesis (doctoral)--Friedrich-Wilhelm-Universität Bonn.

Thesis (Ph. D.)--University of Wisconsin--Madison, 1969. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references.

Resume: The aim of my thesis is to define the area of investment banking and point out its specifics in terms of Czech life and institutions in carrying out securities transactions by way of analyzing relevant legislation, its doctrinal interpretation, supplemented by some practical conclusions drawn from relevant case law and opinions of regulatory bodies. The thesis is divided into three separate parts. The first part tries to grasp theoretical concepts used in the title of this work. The definition and nature of security is essential for its later usage in terms of operations which are performed with such securities by investment banks. Types of such operations are defined by various investment services which determine the extent of investment banks' scope of business. In addition to those investment services, the Czech regulatory environment also addresses the status of investment banks whose different models (in terms of their functioning) can lead to terminological questions of why some investment banks are not a bank in a legal sense. The above provides a basis for the second part of my thesis, which is concerned with an analysis of respective securities operations that are usually carried out by investment banks operating in the Czech Republic. These operations are linked together and are often...

Banking has a unique role in the well-being of an economy. This role makes banks one of the most heavily regulated and supervised industries. In order to strengthen the soundness and stability of banking systems, regulators require banks to hold adequate capital. While credit risk was the only risk that was covered by the original Basle Accord, with the 1996 amendment, banks have also been required to assign capital for their market risk starting from 1998. In this research, the impact of the market risk capital regulations on bank capital levels and derivative activities is investigated. In addition, this study also evaluates the impact of using different approaches that are allowed to be used while calculating the required market risk capital, as well as the accuracy of VaR models. The implementation of the market risk capital regulations can influence banks either by increasing their capital or by decreasing their trading activities and in particular trading derivative activities. The literature review concerning capital regulations illustrates that in particular the impact of these regulations on bank capital levels and derivative activities is an issue that has not yet been explored. In order to fill this gap, the changes in capital and derivatives usage ratios are modelled by using a partial adjustment framework. The main results of this analysis suggest that the implementation of the market risk capital regulations has a significant and positive impact on the risk-based capital ratios of BHCs. However, the results do not indicate any impact of these regulations on derivative activities. The empirical findings also demonstrate that there is no significant relationship between capital and derivatives. The market risk capital regulations allow the use of either a standardised approach or the VaR methodologies to determine the required capital amounts to cover market risk. In order to evaluate these approaches, firstly differences on bank VaR practices are investigated by employing a documentary analysis. The documentary analysis is conducted to demonstrate the differences in bank VaR practices by comparing the VaR models of 25 international banks. The survey results demonstrate that there, is no industry consensus on the methodology for calculating VaR. This analysis also indicates that the assumptions in estimating VaR models vary considerably among financial institutions. Therefore, it is very difficult for financial market participants to make comparisons across institutions by considering single VaR values. Secondly, the required capital amounts are calculated for two hypothetical foreign exchange portfolios by using both the standardised and three different VaR methodologies, and then these capital amounts are compared. These simulations are conducted to understand to what extent the market risk capital regulations approaches produce different outcomes on the capital levels. The results indicate that the VaR estimates are dependent upon the VaR methodology. Thirdly, three backtesting methodologies are applied to the VaR models. The results indicate that a VaR model that provides accurate estimates for a specific portfolio could fail when the portfolio composition changes. The results of the simulations indicate that the market risk capital regulations do not provide a `level playing field' for banks that are subject to these regulations. In addition, giving an option to banks to determine the VaR methodology could create a moral hazard problem as banks may choose an inaccurate model that provides less required capital amounts.

The aim of this thesis is to address the implications of Basel III regulation on counterparty credit risk. We analysed the development of OTC market, we addressed systemic risk and the way how central counterparties could mitigate or spread the contagion among banks. We used simulated data to develop a stress test model to find out the impact of counterparty credit risk on banks' capital requirements, in case the interest rate increased extensively. Six pos- sible scenarios of interest rate levels were developed with ascending order of the IR level. From these scenarios we computed the exposure levels and credit valuation adjustment (CVA) as the market value of counterparty credit risk. We came to the following conclusions: (1) Czech banks have enough capital to withstand any interest rate increase in any scenario. (2) Banks with high expo- sure to derivatives like Bank of America, Citibank and JP Morgan would face severe problems if the interest rate increased. (3) There is no direct correlation between credit valuation adjustment and interest rate, the CVA increases faster with the increase of the interest rate.

Thesis (Ph.D.)--University of Western Sydney, 2008. / A thesis submitted to the University of Western Sydney, College of Business, School of Economics and Finance, in fulfillment of the requirements for the degree of Doctor of Philosophy. Includes bibliographical references.

This thesis tackles three different issues of relevance for economic policy, with an explicit reference to the Euro area. Does the inclusion of monetary targeting in a monetary policy strategy improve macroeconomic stability? Which role does the banking sector play in the impulse and transmission of shocks? Which fiscal tools have the greatest and the most persistent impact on the real economy, helping effective stabilization policy design? Answers to each question, derived from data-matching dynamic general equilibrium models, imply noteworthy indications for policy-makers. / Esta tesis afronta tres temas de relevancia en lo que se refiere a la política económica en la zona euro. ¿Establecer un objetivo monetario en la conducción de la política monetaria contribuye a alcanzar una estabilidad macroeconómica? ¿Qué papel desempeña el sector banquero en el impulso y en la transmisión de choques macroeconómicos? ¿Cuales son los instrumentos de política fiscal con el mayor y más persistente impacto sobre la economía real, capaces de ayudar en el diseño de políticas de estabilización eficaces? Las respuestas a cada pregunta, derivadas desde modelos de equilibrio económico general dinámicos ajustados a los datos, permiten extraer indicaciones útiles para las autoridades responsables de las políticas económicas.

Die Baseler Eigenkapitalrichtlinien bilden den umfassenden statuierenden Rahmen für die Regulierung des Eigenkapitals der Banken im internationalen Kontext. Sowohl die Zielsetzung der Baseler Regulierungsakkorde im Allgemeinen als auch die Ausgestaltung der Baseler Richtlinien im Speziellen haben sich angesichts der Entwicklungen der vergangenen drei Jahrzehnte deutlich weiterentwickelt. Neben der Stärkung der Sicherheit und Solidität, der Steigerung der Absorptionsfähigkeit von …nanziellen und ökonomischen Schocks und der Verringerung des moralischen Verhaltens der Banken spielen - insbesondere vor dem Hintergrund der Auswirkungen der jüngsten Finanzkrise - auch Aspekte der Liquiditätssicherung der Banken und die Verringerung der Abhängigkeit vom Interbankenmarkt sowie die Reduzierung der Prozyklizität der Eigenkapitalregulierungen eine bedeutende Rolle in der Zielsetzung der jüngsten Richtlinie Basel III. In dieser Arbeit werden die Konstruktionsmerkmale und Kernelemente der verschiedenen Baseler Regulierungsakkorde in Bezug auf deren Zielsetzungen untersucht und die Fragestellung betrachtet, inwiefern deren wesentliche Konstruktionselemente geeignet sind, die kommunizierten Zielstellungen zu erfüllen.

The thesis is focused on content and impact of the new Basel Capital Accord, commonly known as Basel III. These rules react to recent development in global financial markets and introduce some substantial changes into regulatory approach, which include changes to the definition and required amount of regulatory capital and presents new liquidity requirements. The thesis then assesses new rules form two points of view. First, a quantitative model is constructed that predicts the impact of new rules on capital adequacy of four major Czech banks based on default rates data. In the second part of the analysis, institutional impact of new regulation is stressed, namely the question of how new rules fit within the theoretical framework of optimal regulatory architecture and what pitfalls they have. The thesis is unique in the eclectic nature of its approach, whereby two seemingly disparate approaches oppose each other and an attempt at synthesis is presented. Keywords Banking regulation, Basel II, Basel III, capital adequacy, capital accords, regulatory impact analysis, credit risk JEL classification G21, G28