This diploma thesis deals with the impact of legislation on information system in a particular bank institution. Based on the proposal of European Market Infrastructure Regulation it identifies areas where the bank institution does not fulfill the regulation requirements. The thesis also tries to suggest existing processes adjustment and guarantee for them the support of information systems. During the existing processes investigation it discovers other weaknesses and suggests solutions leading to their elimination. These solutions would also lead to acceleration and increase in efficiency within the Straightthrough Processing model. The thesis devotes to all points of European regulation which should be fulfilled in the bank institution's point of view. First the current situation and then the solution of the particular point are mentioned. The thesis looks more detailed into central clearing. There are analyzed possible options in the process point of view. The impacts on the information system are specified for the chosen and most appropriate option. In order to secure the compact understanding of investigated issues, the thesis includes relations of European Market Infrastructure Regulation to the BASEL III concept, regulation supervision authorities in the European Union or introduction to functioning and core of financial derivatives.

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)

This thesis deals with the regulatory rules issued by the so-called. Basel Committee on Banking Supervision. It is an informal organization without legal personality, which operates at the Bank for International Settlements, and her published documents lack legally binding. This work has focused on two areas of activity of the Basel Committee - capital adequacy and corporate governance in the banking sector. Basel Committee on Banking Supervision is a leading authority in the field of banking regulation, which dates back to the mid-70s of the 20th century. The Basel Committee is composed of the governors of the central banks of the member states and organizations and currently represents a major authority in the banking, because the content of the documents of the Basel Committee incorporated into their legal systems for more than 100 countries worldwide. Basel Committee began issuing complex documents capital adequacy in July 1988, when the first document was posted under the abbreviated name of Basel I. Although it was a very imperfect adjustment and largely based on compromises rather than deeper analysis, Basel I meant the first major step towards supranational control of the capital adequacy of banks in order to eliminate the risks arising from their activities. Although, as with other...

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.

The thesis is focused on the process of trading in credit derivatives on the global financial markets. The first part deals with the history and the development of credit derivatives from the very beginning to the present and all factors that influenced and affected them during that time. Various derivative instruments are explained, in terms of their purpose, suitability for use and the risks arising from them. Mainy focus of the thesis is put on the selected stock markets (CME Group Inc., Eurex AG, NYSE Liff Holdings LLC). This section begins with their history, then it describes their structure and purpose. It explains stock market membership conditions and settlement of exchange contracts principles. The final part clarifies the role of credit derivatives in the financial crisis and the reasons that led to it. In the final part of the thesis organizations that regulate credit derivatives are described, in addition to regulation methods and aids, specifically in terms of new regulatory measures under Basel III and the organization of ISDA, which are also included. At the very end the possibilities of securitization and credit risk diversification are explained as well as methods of credit instruments valuation, which are demonstrated on an example of Credit Default Swap.

The aim of this thesis is to take a closer look on how the stricter capital requirements defined in Basel III framework will influence European banks from a complex point of view - lending rates and volumes of provided loans, profitability, risk taking and market value of banks. Our analysis employing simultaneous equations and panel data models on exp post data on almost 600 banks operating in the EU in period 2005-2011 reports following results: (1) Those banks that will be forced to effectively increase their common equity ratio (CE/RWA) will reflect a one percentage point increase in this ratio into higher lending rates by 18.8 basis points. (2) This should, in turn, lead to a modest impact on the volume of provided loans, i.e. as a result of an increase of CE/RWA to 9.5 % (the case of the strictest scenario), the loan volumes are expected to be lowered by 2% from the current volume. (3) Our study further reports that higher capital requirements will cause a decrease in banks' profitability accompanied by a drop in risk taking. Banks increasing their CE/RWA by one percentage point are expected to experience a decrease in their profitability (measured by ROAA) by 0.122 percentage points. (4) The above mentioned effects were identified as rather negative signals for equity owners, which should be...

Submitted by Sebastian Schramm (sebastian.schramm@yahoo.de) on 2014-10-28T19:37:40Z No. of bitstreams: 1 Master_Thesis_Sebastian_Schramm_FGV-Version.pdf: 679531 bytes, checksum: 38d557a86bc4fb61a1860f061d88b2b5 (MD5) / Approved for entry into archive by Luana Rodrigues (luana.rodrigues@fgv.br) on 2014-11-05T11:30:50Z (GMT) No. of bitstreams: 1 Master_Thesis_Sebastian_Schramm_FGV-Version.pdf: 679531 bytes, checksum: 38d557a86bc4fb61a1860f061d88b2b5 (MD5) / Made available in DSpace on 2014-11-05T11:46:55Z (GMT). No. of bitstreams: 1 Master_Thesis_Sebastian_Schramm_FGV-Version.pdf: 679531 bytes, checksum: 38d557a86bc4fb61a1860f061d88b2b5 (MD5) Previous issue date: 2014-10-06 / As Basel III represents a true regulatory paradigm shift in many respects, this paper examines a sample of 81 European banks to detect to what extent the impact of Basel III is already perceptible on alternative business models. It finds out that there have been only minor business model adjustments due to Basel III, while the main changes between 2010 and 2013 have taken place because of other exogenous factors, such as the European Sovereign Debt Crisis. Due to long observation- and transition periods, the major business model changes as response to Basel III are still ahead. / O acordo Basel III representa, em diversos aspectos, uma verdadeira mudança no paradigma regulatório. Este trabalho examina uma amostra composta por 81 bancos europeus para detectar até que ponto o impacto do Basel III é já perceptível em modelos de negócios alternativos. Descobre-se que os ajustes nos modelos de negócios causados pelo Basel III são mínimos, enquanto que as principais mudanças entre 2010 e 2013 deveram-se a outros factores exógenos, como por exemplo a crise da dívida soberana europeia. Devido à longa observação e aos períodos de transição, as maiores mudanças nos modelos de negócios como consequência do Basel III estarão ainda para acontecer.