Current regulation governing acquisition financing Abstract The thesis deals with financing of share deal acquisition operations. The first chapter points out idiosyncrasies of acquisition operations, providing context for the rest of the thesis. The second chapter deals with loan financing, one of the two financing methods described. The chapter starts off with Czech Civil Code's rules governing loans and goes on to provide an overview of stipulations used in corporate banking practice, including the usual arrangement of rights and obligations of lenders and borrower in case of syndicated loans. A subchapter about credit risk rounds off the second chapter. Not restricted to public law regulation, it describes derivatives used to hedge against credit risk and touches upon the influence of regulation on cost of loan financing. The third chapter is about bond financing. It offers a robust overview of Czech rules governing bonds as nominate debt securities and their issue. The consequent subchapter on placement of bonds handled by an investment firm serves as an equivalent of the banking practice- focused subchapter. Subjects that perform various tasks after placement in order to simplify the administration of a given issue are a topic which completes the third chapter. The conclusion of the thesis sets out...

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

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...

Credit risk represents one of the most significant risks which a bank must face, and therefore, its intention is effectively manage and measure this risk. However, management and measurement methods are supervised and influenced by national regulators. Banking regulatory supervision plays a significant role among others in determining minimum capital requirements that serve as buffer against losses stemming from credit risk. This thesis provides theoretical foundation of regulatory approaches - standardized and internal rating based (IRB) approach - used for quantification of regulatory capital to credit risk as well as empirical application of such approaches on created portfolio of corporate loans. As a part of IRB method I suggested a model composed of financial ratios estimating probability of default using logistic regression. I founded out that rather the use of combination of financial ratios from different groups of ratios with slight dominance of profitability ratios forms final model. Therefore, superiority of solvency ratios in modelling cannot be proved on my portfolio. After estimating and determining necessary parameters I quantified the minimum regulatory capital requirements to credit risk under standardized and IRB approaches prescribed by Basel III. In the end, the results are...

The main aim of the diploma thesis is to perform a financial analysis of Komerční banka, a. s. in sufficient time, to find out its capital adequacy and, in case of deficiencies, to propose measures that would lead to improvement of the situation. To meet this objective, horizontal and vertical balance sheet items, profit and loss account were prepared. In conclusion, the financial situation of the bank was assessed on the basis of selected ratio indicators. The results of all partial analyzes were correlated with the results of three competing banks and the entire banking sector for higher relevance.

The stochastic volatility of daily foreign exchange (FX) derivatives poses a number of risks for the international banking community. Settlement risk, liquidity risk and capital adequacy are just a few immediate concerns that arise from such volatility. This thesis examines the impact of close-out netting on minimising the stochastic volatility of inter-bank FX derivatives. The problem with close-out netting is that although it is a simple formula of taking the differences between two banks at one point in time, it is the stochastic and volatile nature of FX rates that makes measuring the full impact of netting difficult. The objective of this thesis is to establish a realistic international banking framework or modelling environment in which close-out netting can be scientifically applied and examined. Five international daily FX rates will be used as sufficient approximations for five international banks. A generalised autoregressive conditionally heteroschedastic (GARCH) modelling approach is adopted as a robust and rich FX volatility paradigm. Then through Monte Carlo simulation of the resulting fitted GARCH models, we generate the distributions -with and without close-out netting. The findings of this thesis are interesting, showing that close-out netting is far more than just a simple mathematical process. Netting surely does reduce each bank's exposure to FX volatility, however, its multivariate nature reveals some important results for banking risk research and bank analysts.

<p>Syftet är att evaluera Baselramverkets riskreglering i en konjunkturcykel med hänsyn till Östersjöregionens storbankers systemviktiga funktion.</p><p>Studien antar främst en kvantitativ ansats i de två första delarna, nyckeltalsanalysen och buffertsimuleringen men även en kvalitativ ansats antas i den tredje delen, intervjuer.<strong> </strong></p><p>Studien utgår från teorierna om Basel I och Basel II, nyckeltalsteori samt från tidigare forskning.</p><p>Resultatet i studien består av nyckeltalanalys och simulering av åtta, i Östersjöregionen verksamma, bankers nyckeltal och buffert under 21 år samt sex djupintervjuer med representanter för såväl banker som regulatorer.</p><p><strong> </strong><strong>Slutsatser</strong></p><p>Att det inte finns något samband mellan Baselregleringens kapitaltäckning och bankernas risk eller konjunktur, att riskvägningen tenderar till att vara godtycklig och har större påverkan på buffert än Baselregleringens kapitaltäckning samt att mer transparens behövs i bankerna tyder på att Baselregleringens kapitaltäckningskrav i mycket liten utsträckning visar Östersjöregionens storbankers faktiska risk.</p> / <p>The purpose is to evaluate the Basel framework risk regulation in an economic cycle, in account to the systemic function of the large banks in the Baltic Sea region.</p><p>The study mainly adopts a quantitative approach in the two first parts, the key ratio analysis and the buffer simulation. A qualitative element is also implemented in the third part, interviews.</p><p>In a theoretical perspective the study is based on the Basel I and Basel II framework, key ratio theories and previously conducted research. </p><p>The result<strong> </strong>consists of key ratios analysis and buffer simulation for eight banks in the Baltic Sea region for a period of 21 years and interviews with six representatives of banks and regulatory institutions.</p><p> <strong>Conclusion                                   </strong></p><p>The absence of correlation between the Basel regulation capital adequacy and the bank risk nor economic cycle, that risk weighting tends to be arbitrary and have greater impact on bank buffer than capital adequacy regulation has, and that more transparency is needed in banking; suggests that the Basel capital adequacy to a small extent reflect actual risk.</p>

Syftet är att evaluera Baselramverkets riskreglering i en konjunkturcykel med hänsyn till Östersjöregionens storbankers systemviktiga funktion. Studien antar främst en kvantitativ ansats i de två första delarna, nyckeltalsanalysen och buffertsimuleringen men även en kvalitativ ansats antas i den tredje delen, intervjuer.  Studien utgår från teorierna om Basel I och Basel II, nyckeltalsteori samt från tidigare forskning. Resultatet i studien består av nyckeltalanalys och simulering av åtta, i Östersjöregionen verksamma, bankers nyckeltal och buffert under 21 år samt sex djupintervjuer med representanter för såväl banker som regulatorer.  Slutsatser Att det inte finns något samband mellan Baselregleringens kapitaltäckning och bankernas risk eller konjunktur, att riskvägningen tenderar till att vara godtycklig och har större påverkan på buffert än Baselregleringens kapitaltäckning samt att mer transparens behövs i bankerna tyder på att Baselregleringens kapitaltäckningskrav i mycket liten utsträckning visar Östersjöregionens storbankers faktiska risk. / The purpose is to evaluate the Basel framework risk regulation in an economic cycle, in account to the systemic function of the large banks in the Baltic Sea region. The study mainly adopts a quantitative approach in the two first parts, the key ratio analysis and the buffer simulation. A qualitative element is also implemented in the third part, interviews. In a theoretical perspective the study is based on the Basel I and Basel II framework, key ratio theories and previously conducted research.  The result consists of key ratios analysis and buffer simulation for eight banks in the Baltic Sea region for a period of 21 years and interviews with six representatives of banks and regulatory institutions.  Conclusion                                   The absence of correlation between the Basel regulation capital adequacy and the bank risk nor economic cycle, that risk weighting tends to be arbitrary and have greater impact on bank buffer than capital adequacy regulation has, and that more transparency is needed in banking; suggests that the Basel capital adequacy to a small extent reflect actual risk.

資本適足率（capital adequacy ratio，即實業界所稱之BIS比率）為金融界評估商銀風險之重要指標，在反映資本結構以至於倒閉風險的意義上，相較於財務分析常用的權益值對總資產比率，BIS比率應是一個更精確的指標。本研究先藉資本市場銀行股長天期窗口超額報酬率反映投資人所要求報酬中之風險貼水，探討投資人是否可以引用資本適足率衡量國內商銀的倒閉風險與流動性風險。此外，本研究亦針對壞帳費用與票券買賣損益兩項富裁量空間之科目，分析國內商業銀行策略性操縱帳面盈餘與資本問題。最後，就現行我國資本適足率規定之缺失，作進一步之檢討，並檢測調整部份風險性資產之風險權數後，對資本適足率解釋投資人所要求必要報酬間關係之影響。 實證結果發現，不論是商銀呈報金融主管機關之資本適足率，或是就銀行所發布資料，儘可能比照公訂資本適足率核算辦法所自行設算、不含資產負債表外風險性資產所計算之比值，甚至自行設算、僅考慮自有資本中之第一類資本（Tier 1 Capital）估算值，均與商銀股市超額報酬有顯著之負血關係，顯示資本適足率對投資人而言，屬攸關資訊，能幫助評估銀行倒閉風險，進而決定其所要求之必要報酬率。又國內商銀中，民營銀行股超額報酬對資本適足率之迴歸係數，較公營銀行更具負向關係，而民國八十一年後新成立之銀行對資本適足率之迴歸係數，亦較八十一年前成立之舊銀行更具負向關係，而景氣較蕭條時，資本適足率與報酬間之關係並未較繁榮期敏感。 在盈餘與資本調控部份，或因使用不同調控工具之成本差異，致使商業銀行在帳面資本不足時，傾向于增加提列壞帳費用；另一方面，銀行似乎為了損益平穩化之目的，而以多實現或少實現票券買賣損益作為調控當期盈餘之工具，此兩項潛在之盈餘調控工具，彼此間有著相互替代代，惟因實現票券買賣損益之成本因時而異，國內商業銀行引用此兩項工具相互替補的程度實隨資本市場榮枯而改變。在估算國內商銀壞帳費用不可裁量部份時，本研究發現以上期壞帳、本期逾催收款、應收匯兌承兌款及無擔保放款餘額估計壞帳，比過動國外文獻所採變數組更恰當。 / This thesis empirically examines the explanatory power of capital adequacy ratio (BIS ratio) to Taiwan's commercial bank long-windowed returns minus risk-free rates (hereafter excess return), investigating whether the ratio serves to measure the level of risk of these banks equity securities. Findings indicate the followings: (1) ceteris paribus, long-windowed bank returns negatively correlate with each and every measure of BIS ratio in this study. These results are consistent with the notion that capital adequacy ratio conveys relevant information regarding the bank shareholders risk; (2) required rate of security returns appears to be more (less) sensitive to the BIS ratio for banks founded after (prior to) 1992 and for non-state-owned (state-owned) commercial banks; (3) there is not corroborative evidence that macro-economic variables have incremental explanatory power to the regression coefficient for the BIS ratio. Further, by identifying and examining the potential discretionary components of Taiwan's commercial bank loan loss provisions (LLPs) and securities gains and losses (RSGs), this study aims at exploring these banks' accruals management practices. Robust against various sensitivity tests, empirical findings support the notion that commercial banks strategically increase their LLPs to avoid unfavorable capital adequacy ratios. On the other hand, this study finds these banks smooth reported earnings via RSGs. Moreover, our evidence is consistent with the hypothesis that LLPs and RSGs serve as substitutes for each other in commercial bank accruals management. However, the extent these banks exercise discretion via either measure varies with domestic capital market performance. For tests in this study, the specification of simultaneous equations outperforms the competing ordinary least square regression models. This study also provides an innovative design for estimating bank loan loss provisions. As compared with competing designs, our model, which relates commercial bank LLPs to non-performing assets, unsecured loans, accrued acceptances and prior-period loan loss provisions, produce a more efficient predictor for Taiwan's commercial bank LLPs.

First part of this thesis content basic information about an audit, its history and present, relation between internal and external audit, an internal audit and its function, an Internal Auditor. Separate part is applied to risk management. Second part of this thesis characterize a company, the securities trader, present specifics of an internal audit and risk management in this company and briefly clarify a conception of a capital adequacy. Further describe execution of an internal audit and risk management, judge their benefits for the company and content suggestions for more efficient execution and usage of an internal audit and risk management.