Mortgage loans are the major assets securitised by South African banks. Arguments from the literature indicate that the use of securitisation as an instrument for regulatory arbitrage weakened banks’ soundness and caused, at least partially, the 2007-2008 Global Financial Crisis. In this regard, financial institutions continually took advantage of the loopholes in the Basel regulation, principally that of Basel I. Undertaken from both the empirical and theoretical angles, this thesis investigated whether regulatory capital arbitrage under Basel II and III regulations, was a driver of mortgage loans securitisation by South African banks. Additionally, the effect of mortgage loans securitisation on the South African banks’ stability was analysed. Furthermore, the project built upon the case of mortgage loans securitisation to deepen the insight on banks’ behaviour towards risk, by considering a rare contractual relationship where banks are regarded as agents acting on behalf of regulators. The theoretical examination was carried out by means of perspectives from Agency and Institutional Theories. The South African banking system is essentially monopolistic with five banks holding more than 90% of total assets, out of which four, with 70% of the assets, consistently report outstanding volume of mortgage loans securitised. Based on the data collected from these four major banks, this research project is the first in many regards. It involves an emerging economy, considers the influence of both Basel II and III regulations, covers the period 2008 to 2015, and focuses on well-capitalised banks exclusively. Moreover, it extends regulatory capital arbitrage analysis to the evidence of loans expansion, includes CAMELS as bank stability proxy and brings in Agency Theory and Institutional Theory to explain banks’ behaviour with regards to risk in this particular context. In contrast, other studies were concentrated on Europe and America, mostly under Basel I, limited to one or two baseline models for regulatory capital arbitrage and often only the Z-score measure was used for bank stability. In three major steps, this study first employed the Ordinary Least Squares statistical methodology to test the capital arbitrage theory of securitisation and other of its features whereby it causes the decrease of capital with little or no reduction of risk. The estimation results indicated that securitisation of mortgage loans lessened South African banks’ regulatory capital, increased their overall risk level and moreover, suggested that the proceeds from securitisation were used to expand their loans portfolios. These outcomes tentatively imply that South African banks securitise mortgage loans for regulatory capital arbitrage. The second step explored the impact of securitisation of mortgage loans on South African banks’ stability. Two different measures of bank stability were involved: the CAMELS and the Z-score. CAMELS stands for C: capital (leverage ratio and not the regulatory capital); A: assets quality; M: management efficiency; E: earning; L: liquidity; and S: sensitivity to market risk (interest risk). The Two Stage Least Squares and the Ordinary Least Squares statistical methods were used respectively for the analysis of the relationship between the two bank stability indicators and the outstanding volume of mortgage securitised. The empirical results from CAMELS showed that mortgage loans securitised negatively affected the level of capital proxied by the leverage ratio, eroded assets quality and increased South African banks’ overall costs. However, they had a positive effect on South African banks’ profit, they seemed to be an additional source of liquidity and represented a useful tool to curtail market risk sensitivity, especially the interest risk as they increased net interest income. With regards to the analysis with the Z-score, the results indicated a negative impact of mortgage securitised on South African banks’ stability. The outcome remained unchanged when retained interests in the form of subordinated loans were included in the analysis, but retained interest had a positive influence on the Z-score. The last step of this study pertained to the theoretical analysis based on the concepts of Agency Theory and Institutional Theory. Acting as regulators’ agents in an agency relationship, the simple model of Agency Theory in its extended form explained that South African banks were first and foremost risk-taking players. They were more interested in the risk/reward trade-off in their decision-making attitude towards risk than pursuing the regulators’ goal of the stability of the banking system. In that sense, it was not a surprise that they engaged in regulatory capital arbitrage despite knowing that it was risky but could provide gains in liquidity and profit. In addition to goals conflict, Agency Theory indicated asymmetry of information between banks and regulators as the indirect origin of regulatory capital arbitrage, where the opacity of banks’ activities, such as securitisation, rendered regulations ineffective and thus easy to shirk. Furthermore, it was found that the essentials of the behaviour-oriented contract suggested by the theory as the optimal contract, were already included in the formulation of the latest Basel Accords. However, the researcher believes that one key element, which is the reward or compensation that should benefit the banks (the agent) when they abide by the terms of the contract, is missing. Regulators should therefore include incentives in the regulations and combine the behaviour and outcome-oriented contracts to optimize their relationship with banks even though, as explained by the theory, the outcome of bank stability will remain partially uncertain due to uncontrollable factors such as the economic conditions. The concept of legitimacy, from Institutional Theory, explicated that banks’ legitimacy came from their ability to comply with the regulations. From this stance, the results suggested that regulatory capital arbitrage seemed instead to undermine the legitimacy of South Africa banks well-capitalised position.

In a world facing environmental destruction and social injustices, corporations are called upon to act more sustainably. There has been an upswing in demand for green investments in the last decades, a trend further facilitated by the covid-19 pandemic. The increased demand has prompted scholars to investigate the relation between ESG-ratings and corporate financial performance. Despite a multitude of research being conducted in the field, it is difficult for firms and investors alike to get a grasp of the relation between the two as results are not coherent. The inconsistency in previous research implies further research in the field is necessary to improve the understanding of the relationship between ESG-ratings and corporate financial performance. A myriad of scholars has investigated the relation between ESG-ratings and corporate financial performance, research has found positive, insignificant, and even negative relationships between the variables. To further explore this relation, this thesis aims to answer the research question “Is there a relationship between ESG-scores and financial strength in publicly traded Swedish companies?”. By answering this research question, this thesis aims to provide additional insights on the relationship between ESG-scores and corporate financial performance. This thesis uses an unconventional proxy, the Piotroski F-score, to measurefinancial performance. The results of this study are analysed through the lens of economic theories such as the Efficient Market Hypothesis, Agency Theory, and Stakeholder theory. This is a panel data analysis based on 622 observations of Swedish firms through the years 2020-2022. Under a positivist paradigm with a deductive approach, this thesis seeks to contribute to the academic discourse on ESG-ratings and their relation to financial performance. The results were obtained through a pooled regression analysis with robust standard errors. The results of the regression showed that within Swedish publicly traded firms, the social pillar of the ESG-score has a significant relation to financial strength.

No description available.

Bakgrund och problemdiskussion: Idag är konkurser ett problem då många företag försätts i konkurs samt att de bidrar till konsekvenser som påverkar hela samhället. Byggföretag är hårt drabbade och det finns olika tillvägagångssätt, bland annat att genom olika modeller och nyckeltal, för att beräkna konkurser i förväg och ta åtgärder. Syfte: Syftet med studien är att jämföra och analysera fem olika konkursprognostiseringsmodeller och dess nyckeltal i de svenska byggföretagen, för att se om någon eller några modeller är tillämpbara. Syftet med studien är vidare att jämföra våra resultat med resultatet från den litauiska studien och se om vi får ett liknande resultat. Metod: Studien har använt ett kvantitativt tillvägagångssätt där data har samlats in från årsredovisningar för att sedan tillämpas i fem konkursprognostiseringsmodeller. Vidare har nyckeltalen granskats bland annat utifrån en regressionsanalys. Resultat och slutsats: Ingen av de fem modellerna är tillämpbara i de svenska byggföretagen då ingen av påvisar en tillräckligt hög träffsäkerhet som anses pålitlig. Med hjälp av nyckeltal kan man till hög grad säga hur väl ett företag mår och därför till viss sannolikhet säga huruvida företaget kommer gå i konkurs. / Background: When companies go bankrupt and they contribute to consequences that affect the entire society from different aspect. The construction sector is very affected line of business but there are different approaches for calculating bankruptcies in advance and measuring how well a business is. Purpose: The purpose of this study is to compare and analyze five different bankruptcy prediction models and their financial ratios in Swedish construction sector, to see if any or some models are applicable. Furthermore, the purpose of the study is also to compare our results with the results from the Lithuanian study and see if we get a similar result. Method: The study has used a quantitative approach where data has been collected from the companies’ annual financial reports and then applied in five bankruptcy prediction models. Results and conclusion: None of the five models are applicable in Swedish construction sector, as none of them shows high accuracy which is considered reliable.

Research question: Three models, Z``-score, O-score and Skogsvik HCA model, will be used in this study to examine Swedish companies who has gone bankrupt over the last decade within the manufacturing and retail branches. The study will examine how these models stand against each other when it comes to predict bankruptcy within these two branches one and two years in advance. Purpose: The purpose with this study is to examine these three models that are used for bankruptcy prediction and to get an understanding of why the accuracy differs between the models when it comes to predicting bankruptcy within the manufacturing and retail branches. Method: The study is based on a quantitative method with a deductive research approach to examine the accuracy of the three models when it comes to one and two years before bankruptcy. Conclusion: The study shows that Skogsvik’s model is the most accurate when it comes to predicting bankruptcy within the manufacturing and retail branches. / Problemställning: Tre modeller, Z``-scoremodellen, O-scoremodellen och skogsviks HCA modell, kommer att användas i vår studie för att undersöka svenska aktiebolag som gått i konkurs det senaste decenniet inom tillverkningsbranschen och detaljhandelsbranschen. Studien kommer undersöka hur dessa tre modeller står sig mot varandra när det kommer till att förutspå konkurser inom tillverknings- och detaljhandelsbranschen under en prediktionstid på både ett och två år i förväg. Syfte: Syftet med uppsatsen är att undersöka tre olika modeller som används för konkursprediktion och få en förståelse varför träffsäkerheten skiljer sig mellan de olika modellerna när det gäller att förutse konkurs inom tillverkningsbranschen och detaljhandelsbranschen. Metod: Studien bygger på en kvantitativ metod med en deduktiv ansats för att undersöka hur stor träffsäkerhet som redan befintliga modeller har vid förutsägelser av framtida konkurser på upp till två år. Slutsats: Studien visar att Skogsviks modell är den som är mest träffsäker när det gäller att förutse konkurser inom tillverknings- och detaljhandelsbranschen.

Las principales crisis financieras del siglo XX han generado distintos mecanismos de respuesta para regular el sistema financiero de modo que se puedan evitar. Para ello, han diseñado instrumentos normativos, como los acuerdos del New Deal, Breton Woods, o instrumentos metodológicos como la metodología CAMELS. El presente artículo explora las principales posturas encontradas sobre la evolución, adaptación y utilización de la metodología CAMELS en distintos mercados financieros publicadas en distintas publicaciones realizadas en un marco temporal comprendido, principalmente, entre los años 2014-2020, y publicaciones anteriores que analizan en profundidad periodos de crisis financieras y bancarias a nivel mundial. Con este propósito, se han delineado cinco objetivos. En un primer momento, se determina el recorrido histórico de su desarrollo y adaptación, la aplicación en distintos mercados de América, Europa, Asia y Oriente medio. Por otro lado, se analizan los factores que determinan su manejo, mientras que en la cuarta sección se evalúa cómo uno de sus componentes adquiere un valor sobre los otros. Otro objetivo que se persigue es entender cómo algunos reforzadores de cada componente mejoran su manejo y cuál es el impacto que la aplicación de este método tiene. Por último, se busca revisar cuáles son otros métodos similares que tienen una finalidad en común. Las principales conclusiones que se desprenden es que no hay un consenso respecto a un único manejo de este método, pues es flexible de acuerdo con las necesidades de cada mercado financiero en el que se aplica. Sin embargo, todas las fuentes exploradas coinciden en que es uno de los métodos más utilizados de supervisión financiera, sino el más importante. / Financial crisis originated trough XX Century impulsed different instruments as response to regulate the financial system in order to avoid a future similar scenario. Because of this purpose, governments and economists have designed both different prescriptive instrument, such as New Deal’ Roosevelt, Breton Woods, and methodologic instruments as CAMEL Methodology. This paper explores main points of view found about evolution, adaptation and application of CAMEL Methodology on diverse financial markets published in different journals among the 2014-2020 periods. Five objectives have made in order to describe all these areas. First, an historic frame is determinate to recognize the evolve and adaptivity of this economic instrument, as the way about how is applied in different financial markets like America, Europe, Asia and Middle East. Besides, factors that model its application are analyzed, whereas in the fourth section is explored how one of its six components result an element with a better value than other. A different chapter is focused to understand how several financial enhancers improve the performance of each CAMEL component and what is the real impact of this method in the valuation of an economic market. The last aim pursued is describe another two methods commonly used by credit rating agencies. Principle conclusions are two. There is not consensus about a unique application of this method, due to is flexible to each financial market requires where is used. Nevertheless, all explored sources in this paper agree to put on CAMEL as one of the most financial inspection instruments used ever, but the most important, perhaps. / Trabajo de Suficiencia Profesional

Esta investigación brinda evidencia respecto a la relación estabilidad y competencia en la industria de seguros para el caso peruano, donde la estabilidad financiera es medida por el indicador Z-Score. Se analiza el sector asegurador peruano durante el periodo 2009-2020, donde se pudo observar que existe una constante reducción en los niveles de competencia en este mercado. Los principales resultados indican que una mayor competencia incrementa la estabilidad financiera de las empresas de seguros en Perú y que mayores niveles de poder de mercado tendrían impactos negativos. En adición a ello, se comprueba que un mayor tamaño de la empresa aportaría positivamente a la estabilidad financiera en este mercado, lo cual va en relación con la literatura revisada. Los resultados también indican que existe una relación positiva entre el crecimiento del PBI y la estabilidad financiera. / This research provides evidence regarding the relationship between stability and competition in the insurance industry for the Peruvian case, where financial stability is measured by the Z-Score indicator. The insurance sector is analyzed during the period 2009-2020, where it could be observed that there is a constant reduction in levels of competition in this market. The main results indicate that greater competition increases the financial stability of insurance in Peru and that higher levels of market power would have negative impacts. In addition, it’s found that a larger size of the company would contribute positively to financial stability in this market, which is related to the revised literature. The results also indicate that there is a positive relationship between GDP growth and financial stability. / Trabajo de investigación

Fortlevnadsprincipen är en redovisningsprincip som används när företag upprättar sina årsredovisningar, principen är ett grundlagt antagande. När en revisor inte finner betryggande bevis på att företag kommer att fortleva under nästkommande tolv månader ska en fortlevnadsvarning utfärdas. Tidigare studier tyder på att det föreligger skillnader i antal utfärdade fortlevnadsvarningar mellan revisionsbyråer beroende på om de tillhör Big 4 eller icke Big 4. En revisionsbyrå inom Big 4 hör till de fyra största revisionsbyråerna, icke Big 4 är resterande revisionsbyråer. Studien syftade till att studera om det förekommer skillnader i utfärdade fortlevnadsvarningar när konkursprediktionsmodellen Altmans Z-score indikerar på sådan. Studien har genomförts med en tvärsnittsdesign då flera fall i form av företag har studerats, där alla hanterats utifrån året 2019. För att begränsa studiens urval bestämdes populationen till små företag inom bygg-, design- och inredningsbranschen. De tre branscherna utgjorde tillsammans en passande urvalsstorlek för aktuell studie. Urvalet begränsades vidare till aktiva företag verksamma i minst tre år med en Zscore som indikerar på kommande konkurs. Med hjälp av deskriptiv statistik och chi2framkom att det inte förekommer någon skillnad i antalet utfärdade varningar mellan Big 4 och icke Big 4. Studien syftade även till att söka om det föreligger ett samband mellan indikationer i förvaltningsberättelsen och en ren revisionsberättelse. I studien genomfördes även en innehållsanalys med tillhörande kodning av den publicerade årsredovisningen, för att kunna genomföra statistiska tester. Testet genomfördes både deskriptivt och genom chi2-samt korrelationstest. Genom testerna har ett samband identifierats. Studiens slutsats blev således att det inte spelar en avgörande roll vilken tillhörighet revisionsbyrån har för om företag får en fortlevnadsvarning eller inte. Vidare inkluderar slutsatsen att det föreligger en korrelation mellan en ren revisionsberättelse och indikationer i förvaltningsberättelsen. / The principle of going concern is an accounting principle that is adopted when companies prepare their annual reports, the principle is a basic assumption. When an auditor does not find enough evidence to ensure that a company will survive for the next twelve months a going concern opinion should be issued. Previous studies indicates that there are differences in the number of going concern opinion that is issued depending on if the audit is implemented by a Big 4 or a non-Big 4-agency. An agency within Big 4 is an agency that belongs to the four biggest auditing firms, a non-Big 4 agency belongs to all other agencies. This paper aimed to study whether there are differences in issued going concern opinions when the model for prediction of bankruptcy, named Altman's Z-score, indicates such. The study was conducted with a cross-sectional design as several cases, companies,has been studied. They were all handled from the same year, 2019. The population was determined to small companies in three industries, construction-, design- and interior industry. The three industries together constituted a suitable sample size. The sample was also limited to companies that has been active for at least three years and which had a Z-score that indicates future bankruptcy. With both descriptive statistics and chi2 we found a test result that indicated that it may be no difference in issued going concern opinions between Big 4 and non-Big 4-agencys. The paper also aimed to search for whether there is a connection between indications in the management report and a clean audit report. Acontent analysis was also done with associated coding of the management report to be able to do statistical tests. The test was performed both descriptively and through chi2-and correlation. We have trough the tests found a connection. The conclusion of this paper was that it does not play a crucial role which audit firm the auditor represents whether companies receive a going concern opinion or not. Furthermore, the conclusion includes that there is a correlation between a clean audit report and indications in the management report.

Purpose: The purpose of this thesis paper is to evaluate what the current market practice of real estatevaluation and investment decisions is when it comes to different leasing risks and the risk premium.With regard to some of the ongoing trends within real estate, it is believed that investor preferencesaffect the market practice and the underlying theories of valuation does not fully comply to the currentmarket practice. Method: The implementation of the method is stage wise. At first already existing research andliterature was evaluated and triangulated to find relevant knowledge as basis for the theoreticalframework. Afterwards an analysis was performed to answer whether there is a research gap or not.By analyzing the literature, a research gap as well as potential problems related to leasing risks wasfound. The second phase consisted of a qualitative method where experts in the field were interviewedregarding leasing risk to evaluate whether the problem exist in practice or only in literature.Experts on the topic also helped to develop the questions consequently delivered to the interviewees.The mentioned strategy was done with guidance of our tutor Han-Suck Song at KTH and DanielHolmkvist at CBRE. Interviews: Nine interviews were conducted where experts in the business (consultants and propertyfirms) participated to deliver different perspectives on the research question. All interviews were madein Stockholm and held in Swedish and afterwards translated to English. Results: The results consist of the answers from the interview-part, where the relevant findings weresummarized and pin-pointed with regard to the respective field of business and property segment.The general themes that arose throughout the methods are presented, as well as the extremes in termsof opinions and answers. It was found that there is a clear relationship between the leasing risk and therisk premium for commercial real estate. The relationship depends on several factors such asgeographical location, the different submarkets and finally the segment. A municipal- or corporate bondcannot be fully comparable to a leasing contract but for a 20 year or longer contract where the tenant ispublicly financed, the contract can become an interesting investment alternative due to the currentinterest rate cycle. Finally the leasing contract needs to be more effortless to liquidate in order to becomparable to the bond situation. Scientific relevance: The recent transaction activity on the Swedish real estate market has been ratherdefensive for multiple segments the last twelve months with an exception of community properties.A common understanding is that such objects feature “stable tenants” and are viewed as a safeinvestment by the market. This investment practice raises the awareness of what a stable tenant is, andhow the consultants and property owners’ reason during investments and appraising decisions.This research paper illustrates that a common perception on the subject is that the risk exposurecompletely depends on the specific segments, location or contract length etc. The academic researchexplains the theory behind how to derive the discount rate for an investment decision, however thisstudy has during the literature review proven that several important concepts are left out in the theorypartand thus does not fully cover phenomena’s that investors and appraisers are exposed to duringmarket practice. The most critical part is how to relate leasing risk to the risk premium on the Swedishmarket. Since this study focuses on specifically the Swedish market it is crucial to relate to suitableliterature review for further discussions. On foreign markets, more rigid literature on the subject wasfound. / Syfte: Syftet med detta examensarbete är att undersöka vad den aktuella marknadspraxisen inomfastighetsvärdering samt investeringsbeslut är gällande olika nivåer av hyresgästrisker och riskpremie. Metod: Genomförandet av undersökningen har gjorts i två steg. I ett första steg har tidigare forskninginom ämnet analyserats för att finna relevant teori samt identifiera eventuella forskningsgap. Efteranalysen konstaterades ett uppenbart informationsgap inom litteraturen relaterat till hyresgästrisker.Den andra fasen bestod av en kvalitativ metod där experter inom området har intervjuats gällandehyresgästrisker, för att utvärdera om problemet finns i praktiken eller endast i teorin. För att konstruerafrågorna fick vi assistans av experter inom ämnet via våra handledare Han-Suck Song, KTH och DanielHolmkvist, CBRE. Intervjuer: Nio intervjuer genomfördes med experter inom ämnet där både konsulter ochfastighetsägare deltog för att presentera olika synvinklar på problemet. Samtliga intervjuer ärgenomförda i Stockholm och på svenska. Intervjuavsnitten har översatts till engelska i efterhand. Resultat: Resultatavsnittet består av de svar som har erhållits från intervjuerna, där relevantaresonemang har summerats och noggrant strukturerats för att koppla marknadsområden till korrektfastighetssegment. Återkommande teman och ämnen har presenterats i resultatavsnittet, så väl somavvikande uppfattningar. Resultatet visar att det finns ett tydligt samband mellan riskpremium ochhyresgästrisker gällande kommersiella fastigheter. Sambandet beror på ett flertal faktorer där läge ochfastighetssegment har störst inverkan på riskpremien. Gällande obligationsmarknaden går det inte attlikställa ett hyresavtal med en obligation under något förhållande. Däremot om avtalet avser enkontraktslängd på 20 år eller längre och en offentligt finansierad hyresgäst så kan kassaflödet bli ettintressant investeringsalternativ till befintliga obligationer på marknaden. Detta beror till stor del pånuvarande ränteläge. Slutligen måste ett hyresavtal bli lättare att omsätta för att kunna jämföras meden alternativ obligation. Vetenskaplig relevans: Transaktionsaktiviteten på den svenska fastighetsmarknaden har varit relativtdefensiv för flertalet segment med undantag för samhällsfastigheter de senaste tolv månaderna. Dengenerella uppfattningen är att samhällsfastigheter avser ”stabila hyresgäster” och därmed ses som enmindre riskfylld investering. Detta medför frågeställningen, vad avses för att klassificera en hyresgästsom stabil, och hur resonerar konsulter samt fastighetsägare vid investerings- och värderingsbeslut?Efter att ha genomfört undersökningen går det att konstatera att en allmän uppfattning bland experterinom området är att hyresgästrisken till största del beror på vilket segment, lokalisering ellerkontraktslängd som avses. Den akademiska litteraturen förklarar hur diskonteringsräntan härleds förinvesteringsbeslut, men denna undersökning visar att den tillgängliga litteraturen antingen utelämnarflera viktiga koncept eller inte tillräckligt belyser fenomen som investerare och värderare möter i sittpraktiska arbete. Det grundläggande avsnittet som svensk litteratur till viss del utelämnar är sambandetmellan risk premium och hyresgästrisk på specifikt den svenska marknaden. Det finns utländsk litteratursom belyser denna typ av frågeställningar, men just för den svenska marknaden är litteraturen till vissdel ej tillräcklig och därmed har ett potentiellt forskningsgap inom området identifieras.

This thesis is interested in relative performance of highly criticized Czech credit unions. Theoretical part comments on their historical development, makes international comparison and shows possible development of legislation. We created two unique datasets to assess financial performance of Czech credit unions in subsequent empirical part. The first one contains Czech credit unions' and commercial banks' data. The second one is established to make a comparison of Czech credit unions with cooperative banks operating elsewhere in the EU. Both are based on annual data between 2007 and 2012 period. System GMM method is employed as main instrument of our empirical analysis and alternative panel data methods are used as supplementary techniques. We focused our analysis on comparison of relative profitability and stability measures of Czech credit unions. The results revealed their poor performance in the given time period. According to our estimates, they resembled rather small commercial banks than cooperative ones. The negative relationship between Czech credit unions' stability measure (Z-score) and their asset size is especially striking. Moreover, Z- score of Czech credit unions decreased sharply in 2012. Such development was observed neither in case of Czech commercial banks nor in other...