Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační práce/ Dissertation title Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Anglický překlad / Title in English Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic Autor/ka/ Author Mag. Hana Džmuráňová Rok zpracování/ Year 2021 Školitel / Advisor Doc. Ing. Zdeněk Tůma CSc. Počet stran / No. of pages 197 Abstract in English The thesis Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic deals with the management of interest rate risk and liquidity risk stemming from the core banking system purpose - the maturity transformation. Across five articles, we provide comprehensive theoretical description, regulatory background, and develop models for embedded behavioural options of client products such as non-maturity deposits, with special focus on savings accounts in the Czech Republic in one of our case studies, or loans with prepayment option. We apply our models on the major Czech and Slovak banks and we calculate the exposure of those banks to interest rate risk in terms of regulatory guidelines. We derive that all banks in our analysis are positioned to benefit when interest rates increase as demand deposits like current accounts are...

Post-crisis banking regulation development in the EU Abstract (EN) After the Global Financial Crisis and the subsequent European sovereign debt crisis, there was a clear need for changes in the EU regulatory framework. Insufficient regulation was identified as one of the main reasons why the crisis led to such far-reaching negative consequences in the financial system. This work aims to analyse the developments in the financial regulation in the EU banking system following the aforementioned crisis. It starts by outlining the banking regulation in place before the Global Financial Crisis, follows with the description of the crisis itself and the reasons behind it, and, finally, examines in detail the changes in the regulatory framework that were implemented in the EU in order to prevent the same scenario from happening in the future. This thesis presents the most significant regulatory changes that have occurred, such as the European System of Financial Supervision, implementation of Basel III in the EU through the Capital Requirements Directive and the Capital Requirements Regulation, creation of the Banking Union and the Deposit Guarantee Schemes Directive. It further analyses the reasons for the implementation of the aforementioned changes to the regulation, and, ultimately, tries to assess whether the...

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The aim of the thesis on Supervision in banking industry is to define the nature of banking regulation and banking supervision, including the rationale for their existence and the analysis of their goals. Another task of this work is to explain the ways of functioning of the basic components of banking regulation and supervision encountered in countries with market economies. The work also highlights the different perspectives, as well as some shortcomings of selected issues and outlines possible solutions. Finally, the aim of the thesis is to critically evaluate selected arguments for and against implementation of the European concept of the Single Supervisory Mechanism, including the assessment of the appropriateness of the Banking Union as a whole. The work is divided into three main parts. The first part is theoretical in nature and focuses on fundamental bases of banking regulation and supervision, with emphasis on their nature, reasons, objectives and possibilities of institutional arrangements. The chapter is supplemented with a discussion of selected regulatory and supervisory authorities which operate internationally. The second part deal with the basic components of the system of bank regulation and supervision which are entry into banking sector, basic rules of banking activities,...

O mercado financeiro brasileiro é caracterizado pela elevada concentração bancária, onde os cinco maiores bancos detêm a maior parte dos ativos financeiros. Bancos pequenos e médios têm que disputar espaços com os grandes conglomerados financeiros. Questões como economia de escala e custo de observância às normas são essenciais para a sobrevivência destas instituições menores. A aprovação para a constituição de instituições financeiras no País é dada pelo Banco Central do Brasil, que estabelece os valores de capital mínimo, em função da modalidade de instituição. Por sua vez, o Comitê de Supervisão Bancária de Basiléia estabelece os padrões máximos de alavancagem, o que indica qual volume de carteira pode ser contratado, dado este patrimônio. Este trabalho tem como objetivo verificar se os valores de capital mínimo estabelecidos pelo Banco Central do Brasil são compatíveis com a estrutura de custo das instituições, e com o objetivo de retorno dos acionistas. Serão utilizados dados dos demonstrativos das instituições financeiras e, com base em modelo de regressão de dados em painel estático, será construída uma curva de retornos em função do porte da instituição. Este retorno, comparado com o custo de capital calculado pelo CAPM indicará a partir de que porte uma instituição financeira é viável. / The Brazilian financial market is characterized by its huge banking concentration, where the five largest banks hold most part of the assets. Small and medium size financial institutions have to compete with the larger financial conglomerates. Economy of scale and cost of compliance issues are essential for the survival of the smaller institutions. The approval of a new financial institution is given by the Brazilian Central Bank, who establishes the minimum equity value, depending on the type of institution intended. Additionally, the Basle Committee on Banking Supervision fixes the maximum leverage standards, what indicates the maximum credit portfolio possible, given this equity value. This thesis aims to verify if the minimum equity value established by the Brazilian Central Bank is compatible with the banks operational cost and the shareholder return objective. Data of the financial statements will be used in conjunction with static panel regressions, to construct the return curve regarding the dimension of the institution. This will be compared with the shareholder cost of capital, estimated by de CAPM, to indicate the minimum dimension, which makes feasible the institution.

nÃo hà / Esta pesquisa investiga o relacionamento entre o nÃvel de risco e o grau de competiÃÃo bancÃria. O trabalho define a estatÃstica-H do modelo de Panzar & Rosse e o Ãndice de BasilÃia como medidas de competiÃÃo e risco, e utiliza o modelo de Bolt & Tieman para esclarecer o relacionamento entre competiÃÃo e risco. Dada a relevÃncia do debate entre Allen & Gale, Grochulski & Kareken e Kahn, foi mensurada uma segunda medida de competiÃÃo que identifica os efeitos da concentraÃÃo (Ãndice de Herfindahl-Hirschman). Os resultados desta pesquisa sÃo: (a) a conclusÃo do modelo teÃrico de Bolt & Tieman no mercado brasileiro à vÃlida, a maior competiÃÃo implica em maior exposiÃÃo ao risco independente da medida de competiÃÃo utilizada, (b) nÃo mostrou significÃncia na relaÃÃo entre competitividade (estatÃstica H) e oferta de crÃdito e (c) os bancos brasileiros operam em concorrÃncia monopolista. / This paper investigates the relationship between risk and competition in banking. The competition is measure with statistic-H of Panzar & Rosse model. The risk is quantified in Brazilian Central Bank Index, Ãndice de BasilÃia. The discussion of Allen & Gale, Grochulski & Kareken and Kahn must measure a second competition index to identify concentration (Herfindahl-Hirschman Index). The results are: (a) the conclusion of the Bolt & Tieman model is valid in Brazilian banking, biggest competition implies bigger risk, (b) competitiveness (statistics H) did not significance to credit supply and (c) Brazilian banks operate in monopolistic competition

Os Bancos Centrais executam a primordial função de buscar a estabilidade monetária em seus respectivos países. Além disto, são também responsáveis pela condução e gerenciamento do sistema de pagamentos e pela condição de prestamista de última instância. As atividades de fiscalização do sistema bancário, no entanto, podem ou não ser de incumbência das autoridades monetárias. Percebe-se, ao longo das décadas mais recentes, que alguns países vêm promovendo mudanças em suas estruturas de alocação das áreas de supervisão, tanto no sentido de delegar esta responsabilidade a uma agência quanto na possibilidade de integrar a supervisão bancária com outras áreas, tais como a de seguros e a do mercado de capitais e títulos. Estas questões, como a de deixar ou não a supervisão inserida dentro dos bancos centrais, e a da sua integração ou não com outras áreas, têm proporcionado diversos debates, tendo sido apontados tanto pontos favoráveis quanto desfavoráveis, em cada uma das situações propostas. No entanto, estes discursos são ainda incipientes, e tal análise ainda carece de novas reflexões. Foi a dificuldade teórica em se definir um modelo de maior eficiência institucional para os países que serviu como ponto de partida e incentivo para o presente estudo. Desta forma, o trabalho aqui apresentado teve como objetivo principal o de identificar características comuns entre alguns dos países que adotam modelos similares. Com base em testes econométricos, foram buscadas associações por meio de probabilidades. Os demais objetivos foram os de mostrar e discutir as experiências de alguns destes países, bem como evidências empíricas encontradas até o presente momento relacionadas ao tema principal deste trabalho. Além disto, a pesquisa descrita também procurou levantar as vantagens e as desvantagens de cada modelo. Os resultados encontrados mostraram haver relação entre os modelos adotados e os poderes do órgão supervisor, os poderes da auditoria externa, a localização geográfica, os índices de inflação, de renda, de nível de consolidação da supervisão financeira, de envolvimento do banco central no processo de supervisão e avaliação do sistema legal. Foi possível concluir que, seja qual for o modelo escolhido, a autoridade monetária deve continuar com alguma forma de participação no processo, seja de forma direta ou indireta, através de canais de comunicação abertos entre esta e os demais órgãos ou agências envolvidos. Isto se deve, principalmente, à ligação estreita que existe entre a solidez do sistema financeiro e a estabilidade monetária de um país, bem como pelo fato das funções de prestamista de última instância e de responsável pelos sistemas de pagamento permanecerem inseridas dentro dos bancos centrais. / Central Banks perform as their main function the search for monetary stability in their respective countries. Besides, they are also responsible for conducting and managing the national payments systems as well as for the condition of lender of last resort. The activities of banking supervision, however, may fall or not under the responsibility of Central Banks. One can realize, along the last decades, that some countries have been implementing some changes in their institutional allocation of banking supervision, either by delegating this responsibility to an agency (external to Central Bank) or by integrating banking supervision with different areas, such as supervision of insurance companies and capital/securities markets. Questions such as “to leave or not banking supervision under the responsibility of central banks?” or “to integrate or not banking supervision with different areas?” have generated several debates, and different aspects, favourable or not, have been pointed out, in each of the proposed situations. However, those discussions are still incipient, and this analysis is still lacking further reflection. It was exactly the theoretical challenge to define a model which should present a bigger institutional efficiency for different countries that has served both as a starting point and as a motivation for the present study. This way, the main goal of the present work was to identify some characteristics in common among some of the countries which have adopted similar models. Based in econometric tests, some associations between selected variables were searched, by means of probabilities estimation. The remainder objectives of the present research are described as follows: to present and to discuss the related experiences of a few selected countries which had adopted some of the analyzed models; to show some empirical evidences which are associated to the same analysis. Moreover, the here described research was also directed to collect the advantages and disadvantages that could be found out in each model. The achieved results pointed out to the existence of a relationship between the adopted model and the powers that the supervisory agency may possess; the powers of external auditing; geographical localization; income indexes; inflation indexes; indexes of level of consolidation of financial supervision; indexes to estimate the involvement of a central bank in the banking supervision process; and finally, an evaluation of the respective national legal system. It was also possible to conclude that, whatever is the selected model, the monetary authority should maintain some sort of participation in this process, either directly or indirectly; by means of communication channels that must be established between this authority and the remainder involved hierarchical structures or agencies. This conclusion is chiefly due to the close link that exists between the strength of a financial system and the monetary stability of a country, as well as to the fact that the functions of lender of last resort and the responsibility for the national payments system are still being under the responsibility of central banks.

The dissertation consists of two essays. In the first essay we study the efficiency of banks during the period of (2000-2017) that witnessed a fierce financial crisis in the light of the regulatory acts enacted in response to the crisis (Basel III 2010). We investigate the combined impact of compliance with Tier 1 and Tier 2 capital, common equity Tier 1, and leverage requirements on bank operating efficiency. We measure operational efficiency of 68 insured, U.S. federally and state-chartered, commercial banks, with consolidated assets of $15 billion or more, over a sampling period of 18 years. We seek to identify whether different dimensions of bank regulation are efficient in stabilizing US financial system by improving efficiency of large commercial banks; whether they impede bank efficiency by limiting its risk-taking endeavors and tightening its capital usage; or whether no impact on efficiency exists altogether. We build an empirical model measuring the impact of capital and leverage regulation and credit risk on banks’ operational efficiency. Empirical findings show a positive and statistically significant impact of capital adequacy on operating efficiency of large U.S. commercial banks, with common equity Tier 1 having more power in determining efficiency. Leverage requirements and net charge-offs are also found to be significant determinants that promote bank operating efficiency. In the second essay we investigate determinants for government’s choice of sovereign Sukuk over conventional bonds. Using a sample of 143 sovereign Sukuk and 602 sovereign conventional bonds issued in 16 OIC countries during (2000-2015), we analyze factors affecting the government's choice of employing sovereign Sukuk structure as substitute to sovereign bonds instruments. Results suggest that countries having developed financial markets, higher credit quality, and strong economic and financial prospects are more likely to issue sovereign Sukuk rather than sovereign bonds, mainly as a strategy to diversify and develop their current debt markets by introducing newly-developed debt tools. However, countries with weaker economic and financial indicators are more likely to opt for the classic sovereign bonds. We conclude that government’s choice of sovereign debt is mainly determined by a country’s financial characteristics, macroeconomic indicators and certain specific events.

Os Bancos Centrais executam a primordial função de buscar a estabilidade monetária em seus respectivos países. Além disto, são também responsáveis pela condução e gerenciamento do sistema de pagamentos e pela condição de prestamista de última instância. As atividades de fiscalização do sistema bancário, no entanto, podem ou não ser de incumbência das autoridades monetárias. Percebe-se, ao longo das décadas mais recentes, que alguns países vêm promovendo mudanças em suas estruturas de alocação das áreas de supervisão, tanto no sentido de delegar esta responsabilidade a uma agência quanto na possibilidade de integrar a supervisão bancária com outras áreas, tais como a de seguros e a do mercado de capitais e títulos. Estas questões, como a de deixar ou não a supervisão inserida dentro dos bancos centrais, e a da sua integração ou não com outras áreas, têm proporcionado diversos debates, tendo sido apontados tanto pontos favoráveis quanto desfavoráveis, em cada uma das situações propostas. No entanto, estes discursos são ainda incipientes, e tal análise ainda carece de novas reflexões. Foi a dificuldade teórica em se definir um modelo de maior eficiência institucional para os países que serviu como ponto de partida e incentivo para o presente estudo. Desta forma, o trabalho aqui apresentado teve como objetivo principal o de identificar características comuns entre alguns dos países que adotam modelos similares. Com base em testes econométricos, foram buscadas associações por meio de probabilidades. Os demais objetivos foram os de mostrar e discutir as experiências de alguns destes países, bem como evidências empíricas encontradas até o presente momento relacionadas ao tema principal deste trabalho. Além disto, a pesquisa descrita também procurou levantar as vantagens e as desvantagens de cada modelo. Os resultados encontrados mostraram haver relação entre os modelos adotados e os poderes do órgão supervisor, os poderes da auditoria externa, a localização geográfica, os índices de inflação, de renda, de nível de consolidação da supervisão financeira, de envolvimento do banco central no processo de supervisão e avaliação do sistema legal. Foi possível concluir que, seja qual for o modelo escolhido, a autoridade monetária deve continuar com alguma forma de participação no processo, seja de forma direta ou indireta, através de canais de comunicação abertos entre esta e os demais órgãos ou agências envolvidos. Isto se deve, principalmente, à ligação estreita que existe entre a solidez do sistema financeiro e a estabilidade monetária de um país, bem como pelo fato das funções de prestamista de última instância e de responsável pelos sistemas de pagamento permanecerem inseridas dentro dos bancos centrais. / Central Banks perform as their main function the search for monetary stability in their respective countries. Besides, they are also responsible for conducting and managing the national payments systems as well as for the condition of lender of last resort. The activities of banking supervision, however, may fall or not under the responsibility of Central Banks. One can realize, along the last decades, that some countries have been implementing some changes in their institutional allocation of banking supervision, either by delegating this responsibility to an agency (external to Central Bank) or by integrating banking supervision with different areas, such as supervision of insurance companies and capital/securities markets. Questions such as “to leave or not banking supervision under the responsibility of central banks?” or “to integrate or not banking supervision with different areas?” have generated several debates, and different aspects, favourable or not, have been pointed out, in each of the proposed situations. However, those discussions are still incipient, and this analysis is still lacking further reflection. It was exactly the theoretical challenge to define a model which should present a bigger institutional efficiency for different countries that has served both as a starting point and as a motivation for the present study. This way, the main goal of the present work was to identify some characteristics in common among some of the countries which have adopted similar models. Based in econometric tests, some associations between selected variables were searched, by means of probabilities estimation. The remainder objectives of the present research are described as follows: to present and to discuss the related experiences of a few selected countries which had adopted some of the analyzed models; to show some empirical evidences which are associated to the same analysis. Moreover, the here described research was also directed to collect the advantages and disadvantages that could be found out in each model. The achieved results pointed out to the existence of a relationship between the adopted model and the powers that the supervisory agency may possess; the powers of external auditing; geographical localization; income indexes; inflation indexes; indexes of level of consolidation of financial supervision; indexes to estimate the involvement of a central bank in the banking supervision process; and finally, an evaluation of the respective national legal system. It was also possible to conclude that, whatever is the selected model, the monetary authority should maintain some sort of participation in this process, either directly or indirectly; by means of communication channels that must be established between this authority and the remainder involved hierarchical structures or agencies. This conclusion is chiefly due to the close link that exists between the strength of a financial system and the monetary stability of a country, as well as to the fact that the functions of lender of last resort and the responsibility for the national payments system are still being under the responsibility of central banks.

A atividade bancária é intensamente regulada e supervisionada em grande parte do mundo. Atualmente uma das discussões mais importantes que vem sendo travadas no mundo acadêmico reside nos instrumentos de política prudencial: de um lado, o Acordo de Basiléia, que utiliza o requerimento de capital próprio; de outro, os defensores de emissões de dívidas de diversos graus de subordinação. Além de voltar especial atenção aos 25 Princípios para uma Supervisão Eficaz, recentemente divulgado pelo BIS (“Bank for International Settlements”), o objetivo deste trabalho é tentar elaborar um modelo formal que tente compatibilizar as duas formas de políticas prudenciais. / The banking activity is intensely regulated and supervisioned throughout the world. Nowadays, one of the most important discussions that can be found among the prudential policies’ studies concerns the type of prudential instrument that shall be used: Capital requirement as the basis of the Basel Accord, and subordinated debt issues. Our main objective will be to construct a model that can be compatible to both approaches. Besides that, we will pay attention to the Core Principles for an Effective Supervision recently published by the BIS (Bank for International Settlements).