The main focus of this thesis is the analysis of channels used by Czech banks to increase their capital ratios. We identify the increase in capital as the main channel used. Further, within these channels we find retained earnings to be the main tool used. In addition, growth in the loans volume was the dominant tool within the channel of asset volume. Furthermore, we observe an increase in the use of more advanced capital requirements quantification methods, especially in larger banks. We also identify several factors, other than capital regulation, that might have contributed to the observed developments.

Suite à la crise de 2007-2009, des études menées par le Comité de Bâle ont montré une grande dispersion des actifs pondérés du risque (RWA) entre les banques, dont une part significative proviendrait des hypothèses des modèles internes. De nouvelles réglementations visant à trouver un équilibre entre bonne représentation des risques, simplicité des approches et comparabilité ont dès lors été développées. Celles-ci proposent notamment l'ajout de contraintes sur les modèles/paramètres pour l'évaluation interne des RWA de crédit des portefeuilles bancaire et de négociation. Dans ce contexte, ces travaux de thèse consistent principalement en l'analyse de la pertinence de ces contraintes pour la réduction de la variabilité des RWA. Ils font largement recours aux méthodes d'analyses des sensibilités, notamment celles basées sur les décompositions de Hoeffding. Le traitement réglementaire des paramètres de crédit (les corrélations des défauts, les probabilités de défaut -PD -et les taux de perte en cas de défaut -LGD) forme la colonne vertébrale des développements. Au final, les conclusions des études menées semblent indiquer des résultats mitigés des réforn1es. D'une part, les contraintes sur les corrélations pour le portefeuille de négociation sont d'un impact faible sur la réduction de la variabilité des RWA. D'autre part, les contraintes sur les paramètres de PD et de LGD, ayant un impact plus important sur la réduction de la variabilité des RWA, devraient être considérées avec plus de prudence. La thèse fournit enfin des preuves que la variabilité est amplifiée par la mesure du risque réglementaire et les multiples sources de données de calibration des modèles. / In the aftermath of the 2007-2009 crisis, several studies led by the Base! Committee showed a large dispersion of risk-weighted assets (RWA) among banks, a significant part of which would come from the internal model's assumptions. Consequently, new regulations aiming at finding a balance between risk sensitivity, simplicity and comparability have then been developed. These ones notably include constraints on models / parameters for the internal assessment of the credit RWA for both the banking and the trading books. ln this context, the thesis work mainly consists in analyzing the relevance of such constraints to reduce the RWA variability. It makes extensive use of sensitivity analysis methods, particularly the ones based on the Hoeffding's decomposition. Regulatory treatments of the credit parameters (default correlations, default probabilities -DP -and loss given default -LGD) form the backbone of the developments. The findings suggest mixed results of the reforms. On the one hand, the constraints on the correlations for the trading book have a low impact on the RWA variability. On the other hand, the constraints on OP and LGD parameters, having a greater impact on the RWA variability, should be considered with more caution. The studies finally provide evidence that variability is amplified by the regulatory measurement of the risk and the multiple sources of calibration data.javascript:nouvelleZone('abstract');_ajtAbstract('abstract');

>Magister Scientiae - MSc / The Basel Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art risk management in banking, especially in the area of credit risk in view of Basel II. The new regulation seeks to provide incentives for greater awareness of differences in risk through more risk-sensitive minimum capital requirements based on numerical formulas. This attempt to control bank behaviour has a heavy reliance on regulatory ratios like the risk-based capital adequacy ratio (CAR). In essence, such ratios compare the capital that a bank holds to the level of credit, market and operational risk that it bears. Due to this fact the objectives in this dissertation are as follows. Firstly, in an attempt to address these problems and under assumptions about retained earnings, loan-loss reserves, the market and shareholder-bank owner relationships, we construct continuous-time models of the risk-based CAR which is computed from credit and market risk-weighted assets (RWAs) and bank regulatory capital (BRC) in a stochastic setting. Secondly, we demonstrate how the CAR can be optimized in terms of equity allocation. Here, we employ dynamic programming for stochastic optimization, to obtain and verify the results. Thirdly, an important feature of this study is that we apply the mean-variance approach to obtain an optimal strategy that diversifies a portfolio consisting of three assets. In particular, chapter 5 is an original piece of work by the author of this dissertation where we demonstrate how to employ a mean-variance optimization approach to equity allocation under certain conditions.

When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). This formula is part of the Basel Accords and it is implemented in the legal system of all European Union member states. The key parameters of the RWA formula are probability of default, loss given default and asset correlation. Banks today have the option to estimate the probability of default and loss given default by internal models however the asset correlation must be determined by a formula provided by the legal framework. This project is a first approach for Handelsbanken to study what would happen if banks were allowed to estimate asset correlation by internal models. We assess two models for estimating the asset correlation of a portfolio of Small and Medium Enterprices (SME). The estimates are compared with the asset correlation given by the regulatory formula and with estimates for another parameter called default correlation. The models are validated using predicted historical data and Monte-Carlo Simulations. For the studied SME portfolio, the models give similar estimates for the asset correlations and the estimates are lower than those given by the regulatory formula. This would imply a lower capital requirement if banks were allowed to use internal models to estimate the asset correlation used in the RWA formula. Default correlation, if not used synonymously with asset correlation, is shown to be another measure and should not be used in the RWA formula. / När banker lånar ut kapital till motparter tar de en risk, mer känt som kreditrisk som traditionellt har varit den största risken för banker. För att skydda sig mot potentiella förluster vid utlåning måste banker ha ett reglerat kapital som bygger på en formel för beräkning av riskvägda tillgångar (RWA). Denna formel ingår i Basels regelverk och är implementerad i rättssystemet i alla EU-länder. De viktigaste parametrarna för RWA-formeln är sannolikheten att fallera, förlustgivet fallissemang och tillgångskorrelation. Bankerna har idag möjlighet att beräkna de två variablerna sannolikheten att fallera och förlustgivet fallissemang med interna modeller men tillgångskorrelation måste bestämmas med hjälp av en standardformel givet från regelverket. Detta projekt är ett första tillvägagångssätt för Handelsbanken att studera vad som skulle hända om banker fick beräkna tillgångskorrelation med interna modeller. Vi analyserar två modeller för att skatta tillgångskorrelation i en portfölj av Små och Medelstora Företag (SME). Uppskattningarna jämförs sedan med den tillgångskorrelation som ges av regelverket och jämförs även mot en parameter som kallas fallissemangskorrelation. Modellerna som används för att beräkna korrelationerna valideras med hjälp av estimerat data och Monte-Carlo Simuleringar. För den studerade SME portföljen ges liknande uppskattningar för de båda tillgångskorrelationsmodellerna, samt visar det sig att de är lägre än den korrelationen som ges av regelverket. Detta skulle innebära ett lägre kapitalkrav om bankerna fick använda sig av interna modeller för att estimera tillgångskorrelation som används i RWA-formeln. Om fallissemangskorrelation inte används synonymt till tillgångskorrelation, visar det sig att fallisemangskorrelation är en annan mätning än tillgångskorrelation och bör inte användas i RWA-formeln.

The dissertation thesis aims to establish a complex theoretical basis for a measurement of customer's profitability which can be easily used in the practice. The main reason for that is the absence of such publication in the current academic sphere. A combination of management accounting and knowledge of banking enables to achieve the aim. The thesis itself is closely linked to the banking practice. There are derived customer's profitability indicators as modifications of the popular RAROC in which a customer margin is used instead of net profit. There is designed a simplified way of operational cost allocation. Questionnaires and interviews with senior representatives of seven Czech banks helped to identify the most significant labor-intensity factors of corporate customers. The description of principal features of risk costs and derivation of formulas for profitability variances are also the part of the thesis. The theoretical part is followed by the practical one where a contemporary banking practice of corporate customer's profitability measurement on the Czech market is explored. It identified three weak points -- cost allocation, profitability variances and one-year horizon of a calculation. At the end, the theoretical basis is applied on an existing customer portfolio and the result is compared with a currently used customer's profitability measurement.

The thesis "Credit risk from Basel II point of view" deals with new capital concept with main focus on the credit risk. The particular emphasis is laid on the chief issue of Basel II concept i.e. internal models. The thesis quite in detail describes the usage of basel parameters - LGD particularly - in various day-to-day business processes of credit institutions. An individual part of the thesis is devoted to credit risk mitigants and their impacts on the amount of capital requirements. The analysis carried out precedent Basel II implementation indicated the launching of Basel II should imply risk weighted assests to credit risk decline. This documents the last chapter.