Ghanaian banks struggle to maintain sufficient capital after the Bank of Ghana increased the minimum capital requirement as a buffer against the 2008 financial crisis. Grounded in the efficient structure theory (EST), the purpose of this correlational study was to examine the relationships between efficiency, size, risk, and ownership structure on banks' performance when minimum capital requirement increases. Archival data were collected from PricewaterhouseCoopers website covering all Ghanaian banks with available data for the 5-year period ending 2013. Initial one tail paired sample t tests revealed significant increases over time for efficiency, t(21) = 3.849, p -?¤ .001, net interest margin (NIM), t(21) = 5.201, p -?¤ .001, return on equity (ROE), t(21) = 1.833, p -?¤ .041, and risk t(21) = 3.614, p -?¤ .001. The results of the multiple regression analysis indicated the EST models could significantly predict bank performance for the 5-year period ending 2013. X-efficiency model could predict NIM F(8, 123) = 6.94, p =.00, R2 = .288, efficiency and ownership type were statistically significant with efficiency (t = 6.09, p -?¤ .001) denoting higher to the model than foreign banks (t = 2.96, p -?¤ .004). While, scale efficiency model could predict ROE, F(8, 123) = 5.18, p =.00, R2 = .133, ownership type and size were statistically significant with State banks (t = -2.26, p -?¤ .025) denoting more to the model than size (t = 2.00, p -?¤ .047). Society can benefit from the results of this doctoral study because investors, bank of Ghana, and bank managers could better predict the banks' performance based on the information from the study, which may lead to a higher families' confidence in the positive contribution of banks in their communities.

The financial crisis starting in mid-2007 is still affecting us, and with increased regulation banks and institutions are supposed to get more solvent and the industry to become more stable. The Basel Committee is working towards more unified regulation across countries, but the question is how the increased regulation is affecting banks financials. Do profitable banks with a solid capital base have a higher ratio of capital buffer? Looking at banks in 16 OECD countries during the period 1993-2009, with country-level panel-data displayed in two simultaneous equation estimations illustrating how profit and capital buffer has changed during these years, and the relation between them. To get an understanding of how the crisis affected these variables the regressions are also done for a pre-crisis period of 1993-2006. Internal funding variables and other economic control variables are explanatory variables and results show the internal funding variables have a large effect on profit and for capital buffer profit have the largest impact. Results imply that profitable banks with a solid capital base do have a higher ratio of capital buffer. The results coincide with the franchise value theory which is applied in the paper.

L'objectif de cette thèse est de fournir une évaluation de l'importance des caractéristiques du réseau bancaire pour expliquer la prise de décision des banques soumises à différents scénarios de politiques macroprudentielles et monétaires. Cette thèse examine donc les implications de la topologie des réseaux interbancaires pour la réglementation du capital et de la liquidité des banques et pour les politiques monétaires. Le premier chapitre examine comment les banques définissent leurs ratios de liquidité en fonction de la topologie de leur réseau sur le marché interbancaire. Nos résultats montrent que la prise en compte les connexions bancaires au sein d'un réseau améliore significativement les modèles de liquidité traditionnels. De plus, nous montrons que les banques fixent un ratio de liquidité plus bas lorsqu'elles ont un accès plus facile au marché interbancaire. Nos résultats soulignent également que le comportement en termes de liquidité des banques de tailles différentes ou des banques opérant dans différents systèmes bancaires pourrait varier en fonction de leurs positions interbancaires locales ou à l'échelle du système. Le deuxième chapitre analyse la réaction des prix des actions des banques aux annonces de politiques monétaires en fonction de leur position sur le marché interbancaire. Nos résultats montrent que la prise en compte de la manière dont les banques sont liées au sein d’un réseau contribue à l’explication de la réaction des prix de leurs actions à l’annonce des politiques monétaires. Nos résultats suggèrent qu'une position de réseau solide à l'échelle du système augmente les réactions positives à de telles annonces de politiques, alors qu'une position de réseau locale forte les réduit. Le troisième chapitre examine comment les effets de substitution de la liquidité sur le capital sont influencés par la position de la banque sur le marché interbancaire. Nous montrons que l’effet de substitution de la liquidité sur le capital est atténué si les banques sont fortement interconnectées dans le réseau interbancaire. Nos résultats suggèrent qu'en période de crise, les grandes banques non liquides détiennent un ratio de fonds propres élevé uniquement lorsqu'elles occupent une position faible sur le réseau interbancaire au niveau local ou à l'échelle du système, tandis que les petites banques non liquides renforcent leur solvabilité lorsqu'elles comptent un plus grand nombre d'emprunteurs directs . / The aim of this dissertation is to provide an evaluation of the importance of the bank network characteristics in explaining bank decision making under different macroprudential and monetary policy scenarios. This study examines, therefore, the implication of interbank network topology for bank capital and liquidity regulation and for monetary policies. The first chapter investigates how banks set their liquidity ratios depending on their network topology in the interbank market. Our results show that incorporating bank connections within a network adds value to traditional liquidity models. Moreover, we show that banks set lower liquidity ratios when they have easier access to the interbank market. Our findings also highlight that liquidity behavior of banks with different size, or banks that are operating in different banking sectors could vary depending on their local or system-wide interbank positions. The second chapter analyses the reaction of bank stock prices to the announcements of monetary policies depending on their position on the interbank market. Our results show that taking into account the way that banks are linked to each other within a network adds value to explain bank stock prices reaction to the announcement of monetary policies. Our findings suggest that strong system-wide network position increases the positive reactions to such policy announcements while strong local network position reduces them. The third chapter examines how the substitution effect of liquidity on capital are influenced by bank network position on the interbank market. We show that the substitution effect of liquidity on capital is dampened if banks are strongly interconnected in the interbank network. Our findings suggest that during crisis periods, illiquid large banks set higher capital ratio only when they have a weak local or system-wide position on the interbank network while illiquid small banks strengthen their solvency when they have a higher number of direct borrowers in that network.

Charles University in Prague Faculty of Social Sciences Institute of Economic Studies Credit Risk in the Macroprudential Framework: Three Essays DISSERTATION Author: PhDr. Jakub Seidler Supervisor: prof. Ing. Oldřich Dědek, CSc Academic Year: 2011/2012 Abstract This thesis focuses on proper credit risk identification with respect to macroprudential policies, which should mitigate systemic risk accumulation and contribute to higher financial stability of the financial sector. The first essay deals with a key credit risk parameter - Loss Given Default (LGD). We illustrate how the LGD can be estimated with the help of an adjusted Mertonian structural approach. We present a derivation of the formula for expected LGD and show its sensitivity analysis with respect to other company structural parameters. Finally, we estimate the five-year expected LGDs for companies listed on Prague Stock Exchange and find that the average LGD for the analyzed sample is around 20-50%. The second essay examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the "countercyclical capital buffer", a macroprudential tool proposed in the new regulatory framework of Basel III by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and...

The theme of this diploma thesis is the capital adequacy of Czech banks in the context of macro-prudential policy. The aim of this diploma thesis is quantitative and qualitative analysis of the capital ratios of the Czech banking sector in the context of Basel III and CRD IV capital regulation. The work for the selected period analyzes the development of the capital structure of the Czech banking sector as a whole and for individual segments of banks. The work also focuses on the determinants that influenced the capital changes in addition to the change in the volume of capital itself. The resistance of the banking sector to the unfavorable development of the financial system is analyzed through the stress tests of the Czech National Bank.

A key lesson learnt from the 2007-2009 global financial crisis was that central banks focused too much on price stability and monetary policy. Financial stability and macroprudential policy were the missing pillars to ensure proper supervision of the financial system. This study examines the challenges faced by central banks in implementing macroprudential policies, while having limited experience as to the effect on their economies. The countercyclical capital buffer is generally considered to be one of the main macroprudential policy instruments. Using South African data, the study furthermore calculates the credit gap which serves as early warning indicator of excessive credit growth and is used to determine the point at which a countercyclical capital buffer should be activated for banks. The calculation of the countercyclical buffer indicates that the credit gap remains below the lower threshold of the buffer add-on. Hence, there is no reason to consider a capital add-on for South African banks as yet. Despite the overall reliability of the credit gap, concerns remain on its reliability under certain circumstances. / Economics / M. Com. (Economics)

金融海嘯提供我們一個深刻的教訓，因為危機前信貸過度增長伴隨著大量的系統風險，最後導致景氣反轉時銀行業龐大損失。而這些損失將動搖整個金融體系，並引發了一連串的惡性循環(Basel Committee on Banking Supervision , BCBS ,2010a, 2010b)；若依循過往個別審慎監理((Microprudential regulation)原則，將無法察覺背後隱藏的系統風險。因此目前趨勢是將以個別(Micro)與總體審慎監理原則(macro)並重，針對能夠影響整體市場金融穩定風險來源而詳加監管，同時透過規範與監理措施適度的降低系統風險，最終達到金融穩定的目的。IMF、BIS以及FSB(2009)針對G20制定的金融機構、市場與工具的指導文件(Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments)中，認為有效控制系統風險是現階段政策監理最重要的主軸之一。所謂系統風險是指能影響金融機構所持有的部位以及對於實體經濟存在嚴重負面影響的風險來源；此總體風險將存在負外部性而非個別審慎監理的風險因子。 因此本文由兩篇宏觀審慎監管框架文章所構成的研究，分別針對市場流動性風險和信用風險的因子。透過非流動性賣權與逆景氣資本緩衝（CCB）買權來分析和評價兩種新的監管框架。第一篇論文的主要概念是討論市場流動性風險因子，雖然當前銀行監管的重點是資金流動性風險，如新巴塞爾協議三 (Basel III)的流動性風險覆蓋率（LCR）和淨穩定資金比率（NSFR），但金融機構實際上也同時面臨資金和市場流動性之間的高度順週期效應，導致流動性螺旋，並威脅到金融穩定。因此，本文提出一個市場流動性，系統性風險和宏觀審慎監理分析框架來填補這一空白。 與Drehmann和Juselius（2013B）的實證研究結果比較，我們發現利用6個月歷史波動度建構的非流動性選擇權是最有效的提前預警指標（EWIS），且符合穩定政策結構和最小監管成本。此外在三個子樣本和嚴重危機時期亦能同樣保持預警的穩健性。因此如果金融機構能透過預警減少金融機構投資種類、行業、交易對手與大額暴險的集中度時，將可以由危機發生後被動式轉變成危機發生前主動式的風險管理，將符合總體審慎監理定義：能影響所有而非單一的金融機構，以及有效控制破壞總體市場產生的系統風險。 在第二篇文章中，我們專注於信用風險監管框架的避險，即Basel III的逆景氣資本緩衝(CCB)。這個新穎的監理視角將鼓勵銀行在危機前的信貸繁榮時期增加資本緩衝，而非在危機後接受援助或者增加昂貴的資本。據美國聯邦存款保險公司（FDIC）統計，2014年第1季全美的存款機構風險加權資產為10.27兆美金；如果最高的逆景氣資本緩衝被應用到這些銀行，將有2570億美金的資本不得不額外注資。因此本文設計了一個新的買權來符合CCB的監管框架，建立提前資本防禦措施來減輕系統性風險和整體銀行業不穩定。首先發現這款買權將能在順境時注入資本，即更低的潛在違約風險與信貸寬鬆時期，進而抵禦未來發生的金融危機。我們的建議也符合Basel III的目標，在危機前2至5年協助銀行取得資本保護。最重要的是，CCB買權可以透過提前取得資本形成一個“減震器”，舒緩隨後而來經濟衰退的壓力達到降低銀行資本順週期性目標；此外還提供了一個對於銀行過度冒險行為的抗衡力量，成為一個“自動穩定器”來達到宏觀審慎監理目標。 / Financial tsunami offered a profound lesson as the pre-crisis excessive credit growth was accompanied by huge systemic risks that ultimately led to the reversal of economy and huge losses of the banking sector. Such losses will shake the entire financial system and trigger a series of vicious cycles (Basel Committee on Banking Supervision, BCBS, 2010a , 2010b ); the hidden systemic risk may not be observed if we follow the previous principles of micro prudential regulation. The guidance formulated by G20 to assess the systemic importance of financial institutions, markets and instruments (IMF, BIS, and FSB, 2009) analyzes that the main issue of prior micro prudential regulation is that every financial institution’s incentive is to manage its own return-risk tradeoff but not necessarily manage the stability for the financial system as a whole. Consequently, the macroprudential regulation focusing on shocks originating outside the financial system can control the negative externalities of systemic risk rather than micro prudential regulation. This dissertation consists of two essays on the macro prudential framework of market liquidity risk and credit risk factor. We introduce, analyze, and value two new regulation frameworks via an illiquidity put option and a CCB call option respectively. The main concept of first essay is to discuss the macro prudential framework of market liquidity risk factor. Although the current banking regulation focuses on systemic funding liquidity risk such as Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) of Basel III, financial institutions would actually have highly procyclical effects between funding and market liquidity at the same time, leading to liquidity spirals and threatening to financial stability. We therefore propose a market liquidity, systemic risk and macroregulation analysis framework in Taiwan's capital market to fill this gap. Comparison with the Drehmann and Juselius' empirical study (2013b), we find that illiquidity options by using 6-month historical volatility and forecasting short-term stock declines are effective early warning indicators (EWIs) having most stable policy structures and minimal regulation costs. Applying AUC macroregulation criteria, we show this illiquidity measure is also maintained fairly robustness in different intervals, e.g. during three sub-samples and serious crisis periods. If financial institutions can diversify the concentration of portfolios varieties, industries, and counterparty before crises by using EWIs, the passive risk taking can be converted into the active risk management. It is necessary to prepare the market liquidity and macroregulation framework in advance. In the second essay, we focus the hedging product for credit risk factors, i.e. countercyclical capital buffer (CCB). This purpose of countercyclical capital buffer standards is to encourage banks to increase capital buffers in credit good times that can be used in the future stress. According to Federal Deposit Insurance Corporation (FDIC), the risk-weighted assets of U.S. depository institutions were $10.27trillion dollars in 2014:Q1. If the maximum CCB is applied to these banks, an additional US$257 billion of equity capital will have to be raised. Hence, we design a new option to establish the capital defenses meeting CCB framework and then mitigating systemic risk and banking instability in advance. We show this product injects capital in good times i.e., lower credit risk and more credit expansion, to weather the future financial crisis. Our proposal also complies with the goal of Basel III to obtain capital in 2 to 5 years prior to crises. Most importantly, the CCB option can provide protection with additional capital to act as a "shock absorber" reducing a procyclicality problem in the subsequent downturn. Besides, this type of option also offers a countervailing force to excessive risk-taking behaviors to act as an "automatic stabilizer" for reaching macroprudential goals.