Philosophiae Doctor - PhD / In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.

I ett försök att förhindra framtida bankkriser och göra banker stabilare mot svängningar i ekonomin upprättade Baselkommittén 1993 ett regelverk som kom att benämnas Basel-1. Bankerna skulle bli stabilare genom att stärka kapitaltäckningsreglerna. Dessa regler lyckades inte uppnå sitt syfte och regelverket ansågs otillräckligt. Nya regler utformades och Baselkommittén arbetade fram ett åtstramat regelverk, Basel-2. Den finansiella krisen 2008 visade dock att även Basel-2 regelverket var otillräckligt. Med anledning av detta så har nu Baselkommittén arbetat fram, nya, mer åtstramade regler med högre kapitalkrav för banker som kommer att införas med start 2013 och som kallas Basel-3. För att få en förståelse för hur Basel-3 kan komma att påverka bankerna och några av dess intressenter har två problemformuleringar tagits fram. Hur tror bankkontorschefer att banker kommer att påverkas av det nya regelverket Basel-3? Hur tror bankkontorschefer att deras kunder kommer att påverkas av det nya regelverket Basel-3? Studien har avgränsat sig till banker på Gotland och intervjuer är gjorda med kontorschefer på Handelsbanken, Nordea och Swedbank. Detta för att få svar på hur de tror att regelverket kan komma att påverka bankerna och deras kunder. Vi har använt oss av noggrant utvalda frågor och skapat ett frågeformulär som besvarats av respondenterna. I teoridelen presenteras intressentmodellen för att få en ökad förståelse för vilka intressenter som kan beröras av en organisations förändringar. Den intressent vi tittar närmare på är framförallt bankens kunder. Teori om Baselregelverken baseras i huvudsak på rapporter och artiklar från Sveriges Riksbank, Finansinspektionen och Basels respektive hemsidor. Undersökningen visar att regelverket Basel-3 kommer påverka bankerna och deras kunder på flera sätt. De högre kapitalkraven samt de nya likviditetsreglerna innebär att bankerna måste skaffa mer kvalitativt kapital för att kunna stå emot negativa förändringar i ekonomin. Detta kräver att bankerna måste förändra sina risksystem vilket leder till höga kostnader. Respondenterna tror att dessa kostnader framförallt kommer att läggas på kunderna genom högre räntor. De tror även att regelverket Basel- 3 kommer att påverka de mindre bra kunderna genom att det blir svårare för dessa att få lån. / To prevent the emergence of bank crises and to help banks resist turbulent economy, the Basel Committee created a regulation framework. This framework was introduced in 1993 and was called Basel-1. During the years this framework has been changed to suite new situations. The latest change was done after the financial crises in 2008 and is going to be implemented in 2013. This, latest edition is called Basel-3 and includes among other things a strong capital requirement. Before the implementation of Basel-3 many questions has come to light. To answer some of these, two problem formulations have been created in this thesis. How do the bank office managers think that they will be affected by the new regulations of Basel-3? How do the bank office managers think that their customers will be affected by the new regulations of Basel-3? To seek the answers to these questions, three bank directors have answered quite many questions in interviews and by e-mail. These answers have been formed and put together to get an idea of what they think will happen when the new regulations of Basel-3 will be implemented. When analyzing these answers the authors have found out that both the banks and their customers probably and already have been affected by these new regulations in quite many ways.

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.

Research issue: The transition from Basel II to Basel III becomes consuming for banks, financially. But Basel III should be profitably for financial market economy. Risks in the financial world is very complex. Is Basel III is sufficient to manage risk and future crises Purpose: The purpose of this paper is to examine the application of Basel II and the transition to Basel III in Sweden with the banking system in focus. Method: The study has a qualitative research methodology for the collection of empirical data. The study is based on interviews with four large banks of Sweden (Swedbank, SEB, Nordea, Handelsbanken) and with Finansinspektionen. We also used previous studies, books and rapports. Conclusions: Basel has no direct connection to the profitability of the banks. The translation to Basel III was an obvious step for a more stable financial market. With Basel III it became more expensive for the banks; the more cost the less returns and hence led dividends for shareholders. But the banks will not bear the costs themselves, the costumers will get affected. Banks have begun to adapt to Basel III. There are requirements to save equity immediately not only in crisis. Which leads to the return is not likely to be lowered at bad times.

The diploma thesis is focused on analysis of the banking portfolios quality evolution of the Czech market in observed period from 2004 to 2014. In the first part related regulatory rules and their changes are defined. The rules are listed for the categorization of the receivables due from customers, the creation of allowances, the portfolio concentration and the amount of capital. Next part of the thesis is focused on the analysis of the banking portfolios quality evolution of the whole banking sector. In this part are described factors, which influenced the banking sector in observed time period. In the last chapter the thesis examines quality of banking portfolio of three banks in related areas. For the comparison were used chosen financial ratios.

The master's thesis is devoted to assessment and analysis of the economic capital of a commercial bank in conditions of increasing risk load. The purpose of the research is to develop a methodological approach to assessment of economic capital based on the account of typical banking risks. The paper concludes that the amount of economic capital, which includes all types of risks, may exceed the amount of regulatory capital. Proper assessment of "risk capital" directly affects the financial stability of a credit institution. / Магистерская диссертация посвящена вопросам оценки и анализа экономического капитала коммерческого банка в условиях повышения рисковой нагрузки. Целью исследования является разработка методического подхода к оценке экономического капитала на основе учета типичных банковских рисков. В работе сделан вывод о том, что величина экономического капитала, включающая все виды рисков, может превышать величину регулятивного капитала. Грамотная оценка «капитала под риск» напрямую влияет на финансовую устойчивость кредитной организации.

Магистерская диссертация посвящена исследованию влияния операционного риска на финансовые показатели банка и выявлению специфики различных подходов к оценке операционного риска. В качестве научной новизны выявлено наличие обратно-пропорциональной корреляции между операционным риском и рентабельностью активов банка на основе корреляционно-регрессионного анализа, что позволяет прогнозировать величину ROA при изменении риск-метрик банка. На основе методических подходов BIA и TSA определена шкала критичного значения операционного риска. / The master's thesis is devoted to the study of the impact of operational risk on the financial performance of banks and the study of various approaches to assessing operational risk. As a scientific novelty, the presence of an inversely proportional correlation between operational risk and the profitability of the bank's assets was revealed, based on correlation and regression analysis, which makes it possible to predict the value of ROA when the bank's risk metrics change, and based on the calculations of operational risk and the bank's equity adequacy ratio based on the methodological approaches of BIA and TSA, the scale of critical operational risk values.

Bakgrund: En ny reglering har införts den 1 januari 2018, vilket är IFRS 9 finansiella instrument som ersätter IAS 39. Värdering och redovisning förändras från en objektiv till en subjektiv bedömning av kreditförluster. Syfte: Syftet med studien är att undersöka vilken effekt IFRS 9 har på svenska banker efter införandet. Studien undersöker även om effekten varierar beroende av bankers storlek. Metod: För att uppnå studiens syfte har en kvantitativ studie med deduktiv ansats tillämpats. Sekundärdata har inhämtats ur bankernas årsredovisningar för 2018 från respektive hemsida. Banker som ingår i studien är 43 svenska banker som står under Finansinspektionens tillsyn. Studiens tre hypoteser testades med hjälp av ttest, där parvis observation gjordes mellan åren 2017 och 2018. Resultat och slutsats: Resultatet visade en signifikant förändring av totala kapitalrelationen och kärnprimärkapitalrelationen i de större bankerna, vilka nyckeltalen var lägre efter införandet av IFRS 9. Egna kapitalet, kreditförlusterna och soliditeten kunde inte visa någon signifikant förändring. Slutsats av studiens resultat är att införandet av IFRS 9 haft en marginell effekt på svenska banker. / Background: The new regulation IFRS 9 has replaced IAS 39. The new regulation is subjective, forward-looking, compared with the old, objective model. Purpose: The purpose of our study was to investigate the effect IFRS 9 has on Swedish banks after the transition. Another aim is to study the effect of IFRS 9 on different bank sizes. Method: To achieve the purpose of the study, a quantitative method has been applied. Data has been obtained from annual reports for the year of 2018. The data consist of shareholders equity, balance sheet total and reported loan losses. Hypothesis testing has been done by using t-test Result and conclusion: The results can support a week significant positive effect on Tier 1 capital and capital adequacy ratio from large banks. No results could be found for Shareholders equity, Credit loss or Solidity.

本論文以2010年6月底仍存續之36間本國銀行為研究對象，以2006年第一季至2010年第二季為研究期間，首先探討金控銀行是否因異業整合，具經濟規模優勢，使銀行業務多角化，而提升經營績效；並進一步分析，資本適足率與銀行經營績效間之關係。最後，本論文從股權結構探討官股銀行與非官股銀行在經營績效上的差異。 本論文之主要實證結果顯示，研究期間台灣銀行業的獲利表現受到金融風暴影響。對金控銀行而言，資本適足率與獲利能力間呈正向關係。金控銀行放款成長率及投資成長率與獲利能力呈負向關係，表示透過多角化業務發展對金控銀行獲利有所幫助。針對官股銀行與非官股銀行獲利表現之探討，實證結果顯示其差異並未達顯著水準，表示非官股銀行與官股銀行的經營績效差異不顯著。 / Using a sample of 36 local banks in Taiwan over the period of March 2006 to June 2010, this thesis first investigates empirically that the effects of integration and diversification on operating performance of banks resulting from the formation of their financial holding companies (holding banks). In addition, this thesis also examines that the impact of capital adequacy ratio on operating performance. And finally, based on the ownership structure perspective, this thesis investigates the difference in operational performance between state-owned banks and non-state-owned banks. The empirical results indicate that the financial crisis has a negative impact on the return of banks’ asset during the research period. The capital adequacy ratio is positively related to the operating performance of holding banks, while the growth in loan and investment of holding banks is negatively related to the operating performance. The results therefore implies that the diversification of the banking businesses probably enhance operating performance of holding banks. With respect to the findings regarding the effect of ownership structure on performance, this thesis fail to provide significant evidence. The results indicate that there is no significant difference in operating performance between the non-state-own banks and the state-own banks.

民國93年3月22日，我國期貨市場發生一開盤後隨即跌停，而後無量下跌，引發我國期貨市場產生流動性風險及系統性危機之事件，此事件本研究將之簡稱為「322事件」。本研究首先將透過時間的推進來說明引發322事件之原因、發生經過，以及在此次事件中，為何會引發我國期貨市場之流動性風險及系統性危機之主要原因。本研究發現主要是因為在3月20日總統大選前，大多數的期貨交易人均預期選後的股市會有一波漲幅，故過份建立期貨多頭部位，但是經過了3月19日的槍擊總統一案以及3月20日的選舉爭議，都讓民眾對未來充滿不確定性，以致在3月22日一開盤便委賣遠大於委買，期貨成交量萎縮，期貨交易人損失慘重，保證金嚴重不足，而引發流動性風險及系統性危機。 而後，期貨主管機關為因應金融自由化及國際化，目前正研擬開放多種店頭市場金融商品供期貨商自營操作，但開放後期貨商勢必將承擔更高之市場風險，主管機關應該如何因應成了開放前最重要之課題。資本適足率係主管機關在監理期貨商經營是否健全時的第一道防線，故本研究便建構一新模型，用以估算欲開放之新種金融商品的短期投資折扣率，本研究並以台指選擇權為例，透過本模型估算其最適之短期投資折扣率，結果與目前期貨交易所所規範之40％相去不遠。 最後，本研究提出數點建議，以期未來再度發生類似於322事件時，能夠降低我國期貨市場面臨之流動性風險及系統性危機。同時，也建議期貨主管機關未來在設算金融商品之短期投資折扣率時，能夠依循一具合理原則性之模型估算，避免未來當開放多種金融商品後，產生彼此間原則相抵觸之問題。 / In 2004, Taiwan’s future market suffered both serious liquidity risk and systematic risk. At March 22nd in 2004, the Taiwan Future Index fall down and touched the maximum limit－7% suddenly. The volume of future market was extremely low. This paper called this event as “322 event.” This paper has two parts. First the paper will illustrate the 322 event. What caused the 322 event? And how the 322 event happened? This paper will seek these answers. We found that the main reasons to cause the liquidity risk and systematic risk are too many investors bought futures. This was because they believed after the 2004 President election, the Taiwan’s stock market would rise to celebrate. At March 19th, the President Chen Shui-Bian encountered a shot murder. At March 20th, some serious dispute took place and made our society was full of insecurity. Investors began concern the stock market would be uncertain. They didn’t buy any futures like before, but in contrast they started to sell it. The another aspect in this paper is to construct a model. In order to follow up the liberalization and globalization, the government authority plans to open more derivatives for the futures corporations to invest. But how do the government authorities monitor these futures corporations becomes an important lesson. This paper will also seek the answers through constructing a model using VaR model to estimate the short-term investment discount ratio. Then this paper uses Taiwan Stock Option as an example examining whether the model is useful. The short-term investment discount ratio of the stock option by model is 40.89%. This outcome is much closed to 40%, the regulated discount ratio. Finally, this paper provides several advices in order to diminish the liquidity risk and systematic risk when futures market will suffer what similar to 322 event in the future. And this paper gives some information to supervisors about how to construct a model to estimate the short-term investment discount ratio so that the ratio is ensured following a logical principle.