>Magister Scientiae - MSc / Commercial banks play a dominant role in facilitating the economic growth of a country by acting as an intermediary between the de cit spending unit (borrowers) and the surplus spending unit (lenders). In particular, they transform short-term deposits into medium and long-term loans. Due to their important role in the economy and the nancial system as a whole, commercial banks are subject to high regulation standards in most countries. According to an international set of capital standards known as the Basel Accords, banks are required to hold a minimum level of capital as a bu er to protect their depositors and the nancial market in an event of severe unexpected losses caused by nancial risk. Moreover, government regulators aim to maintain public con dence and trust in the banking system through the use of a deposit insurance scheme (DIS). Deposit insurance (DI) has the e ect of eliminating mass withdrawals of deposits in an event of a bank failure. However, DI comes at a cost. The insuring agent is tasked with estimating a fairly priced premium that the bank should be charged for DI.

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This thesis assesses the significance of real bank credit in stimulating real output paying particular attention to the factors that prompt financial intermediation within the economy. The thesis contributes to the existing literature on finance and growth by providing fresh empirical evidence in the case of the Nigerian economy and Africa as a whole. In the context of Nigeria, credit Granger causes output, but the reverse is not true. In testing the factors that mobilise credit, I find that exports are negatively related to credit. Moreover, since credit usually fund non-oil exports, I also find that oil exports is negatively related to credit, whereas non-oil exports is positively related to credit. The latter also explains why capital inflows and imports are positively related to credit in my study. Extending the analysis to Africa as a whole, I find that causality is bi-directional. In examining the factors which mobilise credit (based on three measures of output); I find that output consistently exerts a positive influence on credit, whereas inflation and exports exert the opposite effect. However, the impact of government expenditure on credit is ambiguous. These results are re-confirmed when I use an alternative estimator for robustness. In line with the variables used in the Nigerian case, both capital inflow and imports positively influence credit while the impact of exports is negative for the whole of Africa. When examining the drivers of output in the African context, I find that credit and exports positively influence output whereas inflation exerts the opposite effect. The role of government expenditure is equally ambiguous. A further robustness test again confirms these results. The relationship between exports and credit in the literature is positive hence, it is important to investigate why the opposite holds in the Nigerian and African context. As such, I examine the efficiency of the banking system using three different measures, which includes loans, other earnings and other operating income since this may explain the counter intuitive result: export sales in Africa are largely intermediated by multi-national firms who prefer to obtain financing from credit markets that are more efficient than the African banking system. Across Africa, efficiency of the banking system is 74%, 76% and 92% when loans, other earnings and other operating income are respectively used as the output variables. This implies that 26% of credit is allocated in an unproductive way while 24% and 8% of expenditure could be better managed. When dividing the sample into medium and low-income countries, I find the respective levels of efficiency for each of the measures to be 94% and 11%; 83% and 0%; 90% and 0% for loans, other earnings and other operating income as the output variables respectively. This result supports bank loans as the best output variable, which I use further in the estimation. Further clues as to why there should be such differences in efficiency are obtained when the sample is split by regions, since there are regional variations in the use of credit. The Central African region is the least efficient. In these economies, resources are typically held and allocated by a few individuals.

This research has studied bank risk management in relation to efficient bank regulation in the form of optimal bank financial reorganization. Efficient banking regulation can be achieved only if it includes closure policies which prevent moral hazard behaviour; in turn, they should enhance bank regulators' accountability. Yet, Basel II gives more discretion to domestic banking authorities and focuses more on the implementation of best practices of risk management. This creates a gap between the needs of efficient banking regulation and the objectives of Basel II, on the one hand, and Indonesian bank regulation on the other. To fill the gaps, the Fries, Mella-Barral, Peraudin (FMP) model, under a robust regulatory regime concept, is used to provide a framework for banking regulation. Optimal bank reorganization aims at achieving efficient bank regulation, where bank regulators are assumed to act as social planners. In this thesis, optimal bank reorganization is analysed within the concept of a "robust regulatory regime". Optimal bank reorganization comprises closure rules and bailout policies arising endogenously through the interaction of two factors, namely regulators' attempts to minimize discounted, expected bankruptcy costs, and equity-holders' incentives to recapitalise banks. The shareholders will be allowed to continue to control the bank if the bank is well capitalized. The cash flow approach to optimal bank financial reorganization is adopted. The subsidy policies for financially ailing banks consider the implementation of socially-optimal closure rules at minimum financial cost to regulators and which reduce moral hazard. The FMP model implies that optimal bank reorganization requires a deposit insurance scheme. The FMP model involves capital and risk management as crucial factors. This research includes an empirical study of the implementation of the FMP model in Indonesia using the American call option approach. Maximum likelihood estimates in VAR and GARCH are applied to monthly data on the market return and equity and deposit values for relatively-large Indonesian banks, including regional banks and foreign banks. The results indicate that the authorities can establish an optimal closure rule for each bank, levy fair deposit insurance premiums that can be adjusted to take account of quantitative and qualitative factors, estimate optimal subsidies at different deposit insurance premiums, and identify the banks' imminence to bankruptcy. (Continues...).

金融在一國的經濟發展過程中，扮演相當重要的角色，隨著經濟的發展程度愈高，對金融的依賴則愈深。因此，一旦金融體系發生危機，可能造成支付系統的中斷，對一國的經濟與社會都會造成重大不利的影響。因此，存款保險制度的建立，其宗旨便是在防止此種危機的發生，以維護金融體系的安定與保障存款人的權益。 　　由於金融產業環境特殊，存款保險在制度的設計上，亦面臨諸多不易克服的問題。在本論文中，提出幾個重要相關的問題，並配合美國存款保險制度的發展經驗，提出分析探討。 　　本論文認為：在組織經營上，政府應介入存款保險制度的運作，才足以維護金融安定。在投保方式方面，基於政策性質，亦應以強制參加為宜。在訂價方面，應加強隱藏價格（監理措施）的發展，不宜過分強調風險費率的功能。在處理問題金融機構時，應及早建立一套因應措施，對問題機構予以迅速解決，避免造成損失擴大。 　　我國存款保險制度的成立較慢，在組織架構的設計上仍未臻完備，本文透過多項相關問題的探討，提供有關方面作為決策之參考。

This dissertation consists of six separate papers dealing with the valuation of financial guarantees and risky debt contract. Each of these papers is independent and distinct. The main theme is the valuation of securities by contingent claims analysis (CCA). Paper 1: Valuation of Financial Guarantees – A Presentation and a Critique.One purpose of this paper is to derive a pricing formula for a deposit guarantee, when the assets of the bank exhibit downward jumps due to extraordinary loan defaults. In this respect, we use the framework of Merton (1976), where a stock option is priced under the assumption of a jump-diffusion process for the underlying stock. Paper 2: Valuation of Deposit Insurance – An Alternative Approach.This paper extends paper 1 in the respect that the guarantor, in this case a deposit insurance agency, will nullify the guarantee contract and liquidate the bank when it gets insolvent. The liquidation is assumed to involve some costs like legal and realization costs. In fact, since the guarantee contract will never get in-the-money, the guarantee will receive value only from these liquidation costs. Paper 3: Financial Guarantees and Asymmetric Information.In this paper, we make the assumption that the guarantor cannot observe the solvency process, unless it carries out audits. This is different from the normal perfect information assumption for this kind of analysis. Since audits are often costly, and this burdens the guarantee value, the guarantor will search for an audit strategy, which minimizes the guarantee value. Paper 4: Valuation of Barrier Contracts – A Simplified Approach.Many types of financial contracts can be classified as "barrier contracts". This description comes from their feature of allowing either contractual part to take some kind of action during the lifetime of the contract contingent on some pre-specified event. In this sense, the deposit insurance contract in analysed in paper 2 can be regarded as a barrier contract. The previous valuation models of barrier contracts are often considerably advanced and have tended to obscure the underlying economics. It is the path-dependence and stopping-time features that primarily make the derivation of these pricing formulas complicated. Our model simplifies this procedure by deriving the important "first passage time" distribution from a binomial model instead of using the reflection principle. Paper 5: Valuation of Risky Debt in the Presence of Jumps, Safety Barriers and Collaterals.This paper deals with different aspects of risky debt valuation with the CCA approach. The term. "risky", refers to the probability of default on the promised payment by the borrower. Paper 6: Portfolio Selection and the Pricing of Personal Loan Contracts.The CCA literature that follows Black and Scholes (1973), has mainly taken the underlying asset dynamics for given. Although it may be appropriate for stock options, we consider this assumption too simplifying with regards to personal loan contracts. It is obvious that the borrower’s consumption-investment decision affects his wealth process, on which the loan contract is contingent. Moreover, we believe that individuals actually have preferences to repay loans for different reasons such as the existence of reputational costs or legal penalties that affect the borrower in case of loan default. / Diss. av båda förf.  Stockholm : Handelshögskolan

2008 m. krizės laikotarpiu Europos Sąjungos šalių vadovai ir institucijos suprato, kad galiojanti indėlių draudimo sistema yra nėra efektyvi, todėl būtini jos pakeitimai. Siekiant sustabdyti ES šalių-narių nepagrįstas išlaidas, skolos naštą ir bankų neatsakingumą, buvo priimta (1994) indėlių draudimo sistemos direktyva, kuri buvo dar keletą kartų atnaujinta (2009 ir 2014), tačiau reikšmingų pokyčių finansinėje rinkoje neįvyko, nes išryškėjo ekonominiai ir kultūriniai ES šalių-narių skirtumai, menkinantys indėlininkų pasitikėjimą bankais ir pačia indėlių draudimo sistema. Tyrimo objektas – indėlių draudimo direktyvos sprendimų priėmimo procesas, ES institucijų direktyvos pakeitimai bei įgyvendinimo modeliai Europos Sąjungoje. Darbo tikslas – išanalizuoti indėlių draudimo direktyvos atsiradimo priežastis, tobulinimo eigą ir procesus, kurie daro įtaką finansiniam sektoriui bei atlikus modelių analizę įvardinti į ES institucijų tarpusavio barjerus. Darbo uždaviniai: a) apibrėžti Europos indėlių draudimo sampratą ir įvertinti jos įtaką bankų sąjungai; b) ištirti indėlių draudimo direktyvos sprendimų priėmimo procesą bei ES institucijų poveikį jam; c) apžvelgti Vokietijos įtaką indėlių draudimo direktyvos sprendimų priėmimo procese; d) atlikti indėlių draudimo modelių ir politinės galimybės juos priimti Europoje analizę. Darbe naudojami skirtingi tyrimo metodai: analitinis-aprašomasis ir lyginamasis bei dokumentų ir statistikos analizė, jų pagalba ištirtas ryšys tarp ES... [toliau žr. visą tekstą] / During the crisis in 2008, EU institutions and leaders of member states understood, that existing deposit insurance system is inefficient and that it required necessary changes. In order to prevent unreasonable expenditures of EU member states, burden of debt and irresponsibility of banks, the deposit insurance system directive was adopted in 1994; it had been renewed several times in 2009 and 2014, however no significant changes on financial market had happened. The main reason for that were the emerged economic and cultural differences between EU member states, which depreciated depositor’s trust in banks and deposit insurance system itself. The object of research: the decision making process of deposit insurance directive, changes to directive by EU institutions and execution models in European Union. The objective of the study: to analyze the reasons for emergence of deposit insurance directive, improvement steps and processes, that influence the financial sector; and to name mutual barriers between EU institution after analysis of models. Tasks of the study: a) to define the concept of European deposit insurance and evaluate its influence to banking union; b) to research the decision making process of deposit insurance directive and the impact EU institutions had on it; c) to review the impact Germany had on decision making process of deposit insurance directive; d) to analyze the models of deposit insurance and political abilities to adopt them in Europe. Various... [to full text]

Zugl.: Sankt Gallen, Universiẗat, Diss., 2007.

El presente documento investiga el efecto del capital reglamentario y el requerimiento de depósito sobre el margen de interés neto del sistema bancario en Perú en el periodo dic2010-dic2019 usando un panel de datos de 15 bancos. Este estudio está basado en la extensión del modelo teórico, planteado por Ho-Saunders (1981), realizado por Cruz-García y Fernández de Guevara (2019), en donde incluyen los requerimientos de capital y de depósito como determinantes importantes del margen o spread financiero. En el análisis econométrico se utilizó la metodología del system GMM, desarrollado por Arellano y Bond (1991), Arellano y Bover (1995) y Blundell y Bond (1998), y a través de dicha metodología, los resultados demuestran que los requerimientos de capital afectan de manera directa a los márgenes de interés de las entidades bancarias, y ello implica que los costos adicionales derivados de la regulación son trasladados a las familias y empresas a través de márgenes de interés mayores. Asimismo, las variables específicas de los bancos, como los costos operativos medios, el tamaño de operaciones, el riesgo de crédito, y el grado de competencia de los bancos son relevantes en la determinación de los márgenes de interés neto y tienen un impacto importante en ella. / This paper investigates the effect of capital requirements and deposit requirements on the net interest margin of the Peruvian banking system in the period Dec 2010 - Dec 2019 using a data panel of 15 banks. This study is based on the extension of the theoretical model proposed by Ho-Saunders (1981) and carried out by Cruz-García and Fernández de Guevara (2019), where they include capital and deposit requirements as important determinants of the financial margin or spread. The econometric analysis used the GMM system methodology, developed by Arellano and Bond (1991), Arellano and Bover (1995) and Blundell and Bond (1998), and through this methodology the results show that capital requirements directly affect the interest margins of banks, and this implies that the additional costs derived from regulation are transferred to families and companies through higher interest margins. Also, bank-specific variables, such as average operating costs, size of operations, credit risk, and the degree of competition of banks are relevant in determining net interest margins and have an important impact on it. / Trabajo de investigación