Banks perform the essential economic task of collecting funds from net savers (such as households) and lending funds to net borrowers (such as firms). In doing so, banks transform assets with respect to size, maturity, and risk. As a result, banks are exposed to a variety of risks. This thesis consists of two parts where particular aspects of bank risk are discussed. The first part is concerned with the question how banks themselves deal with certain aspects of bank risk by using the interbank market. An important issue for bank risk and financial stability is the structure of interbank markets and thus the determinants of banks' choice of their interbank market partner. Information between banks is a crucial factor for explaining bank behavior. More precisely, heterogeneity in information can explain the formation of widely observed structures. Another important issue concerns the conditions under which an interbank trade takes place once a bank has found an interbank market partner. The central bank is able to influence these conditions, for example, by adapting the policy rates related with the standing facilities. Contrary to the current belief, it is shown that not only a narrow but also a wide corridor between these policy rates can prevent interbank lending. The second part of the thesis is concerned with the question how regulators deal with certain aspects of bank risk when banks are internationally active. Regulation of multinational banks causes regulatory externalities from the country which is responsible for the bank's supervision to other countries where the bank is active. An obvious way to internalize these externalities is the setting-up of a banking union. The incentive of a single country to join a banking union depends on the size and structure of the banking sector. This can be verified by considering the current situation in the European Banking Union. Without a banking union, national regulators do not internalize regulatory externalities. This may result in a “race to the top” in regulatory standards because higher regulatory standards imply a saver banking sector and relocate losses to the foreign country.

Final qualifying work (master's thesis) is devoted to the study of banking technologies in the conditions of interbank competition. The subject of the research is the economic relations arising between commercial banks in the market of banking technologies in the conditions of interbank competition. The main purpose of the master's thesis is to develop a comprehensive concept of improving banking technologies in the conditions of interbank competition based on the study of theoretical and practical aspects of the competitive environment in the market of banking technologies. In conclusion, the recommendations for improving the competitive advantages in the field of banking technologies are outlined. / Выпускная квалификационная работа (магистерская диссертация) посвящена исследованию банковских технологий в условиях межбанковской конкуренции. Предметом исследования выступают экономические отношения, возникающие между коммерческими банками на рынке банковских технологий в условиях межбанковской конкуренции. Основной целью магистерской диссертации является разработка комплексной концепции совершенствования банковских технологий в условиях межбанковской конкуренции на основе изучения теоретических и практических аспектов конкурентной среды на рынке банковских технологий. В заключении обозначены рекомендации по совершенствованию конкурентных преимуществ в области банковских технологий.

Final qualification work (the master thesis) is devoted to a research of the market of interbank crediting in the Russian Federation at the present stage. An object of research is the set of the economic relations arising between participants of a banking system in the market of interbank crediting. The purpose of the master thesis – on the basis of studying and the analysis of theoretical and practical aspects of the market of interbank crediting in the Russian Federation to reveal the problems characteristic of the credit relations of this type and to develop recommendations for improvement of a system of crediting of commercial banks both from the Central bank of the Russian Federation, and from other credit institutions. / Выпускная квалификационная работа (магистерская диссертация) посвящена исследованию рынка межбанковского кредитования в Российской Федерации на современном этапе. Предметом исследования является совокупность экономических отношений, возникающих между участниками банковской системы на рынке межбанковского кредитования. Цель магистерской диссертации – на основе изучения и анализа теоретических и практических аспектов рынка межбанковского кредитования в Российской Федерации выявить проблемы, характерные для данного вида кредитных отношений, и разработать рекомендации для улучшения системы кредитования коммерческих банков как со стороны Центрального банка Российской Федерации, так и со стороны других кредитных организаций.

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.

Uma característica dominante do sistema financeiro contemporâneo é a intrincada rede de conexões entre instituições financeiras, destacando-se a rede de empréstimos do mercado interbancário, através da qual é feita a transferência de recursos líquidos de bancos com superavit de liquidez para bancos deficitários. Ao mesmo tempo em que o mercado interbancário é responsável pela alocação eficiente de liquidez, a estrutura das exposições interbancárias pode ser considerada fator de risco sistêmico por ser fonte de contágio em caso de crise financeira. A insolvência de um banco pode se propagar na rede levando à insolvência de um grande subconjunto conectado de bancos. Estudos empíricos tem evidenciado que algumas redes interbancárias apresentam características de redes livres de escala. O presente trabalho explora as características de contágio financeiro em redes cuja distribuição de links se aproxima a uma lei de potência, através de um modelo deliberadamente simplificado que define a estrutura patrimonial dos bancos a partir de informações de conectividade da rede. Variando os parâmetros de formação das redes obtemos distribuições com diferentes concentrações de dívidas e de direitos, criando três perfis principais, que foram analisados quanto a sua resistência ao contágio. Testamos também o efeito da variação da conectividade em conjunto com a variação da concentração dos links. Os resultados encontrados sugerem que redes mais conectadas e com alta concentração de direitos (com nodos caracterizados por serem grandes credores do sistema) apresentam maior resistência ao contágio. Avaliando alguns índices topológicos de risco sistêmico sugeridos na literatura, pudemos verificar sua capacidade de explicar o impacto da quebra de um nodo sobre o sistema. Embora fique evidente a relação positiva entre os índices e o valor do impacto para os casos de maior magnitude de perdas, a relação é mais fraca para os menores valores de impacto, sugerindo um poder menor de previsão em redes mais resistentes. / One of the most striking characteristics of modern financial systems is its complex interdependence, standing out the network of bilateral exposures in interbank market, through which institutions with surplus liquidity can lend to those with liquidity shortage. While the interbank market is responsible for efficient liquidity allocation, it also introduce the possibility for systemic risk via financial contagion. Insolvency of one bank can propagate through interlinkages leading to insolvency of other banks. Empirical studies have shown that some interbank networks have features of scalefree networks. This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a deliberately simplified model that defines banks balance sheets from information of network connectivity. Varying the parameters of the network creation we obtained links distributions with different concentrations of debts and rights, creating three main network types, which were analyzed for their resilience to contagion. We also tested the effect of a variation in connectivity in conjunction with variation in concentration of links. The results suggest that more connected networks with high concentration of rights (featuring nodes that are large creditors of the system) present greater resilience to contagion. Evaluating some topological indices of systemic risk suggested in the literature, we could verify its ability to explain the impact on the system caused by the failure of a node. While it is clear the positive relationship between the indexes and the impact value for cases of greater magnitude of losses, the relationship is weaker for smaller values of impact, suggesting a lower predictive power in more resilient networks.

The current intellectual climate regarding economics seems to be at an agreement regarding the theory of uncovered interest parity and its unreliability within real life application. The purpose of this thesis is to test how the theory holds over periods with varying economic stability, both using a short- and long-horizon test in order to establish the usefulness of uncovered interest parity as a predictor for exchange rate movements. The short-horizon test will utilize the interbank offering rate, and the long-horizon test the yield to maturity of government 10-year benchmark bonds as the interest rate. The sample period is 2000 to 2018, covering the financial crisis of 2007. We will focus on three different time periods: pre-crisis, crisis and post-crisis. We will use ordinary least squares (OLS) regression and an extreme sampling. From the regressions we conclude that most of the time periods move against the uncovered interest parity, where only the crisis period is in line with the theory. The extreme sampling supports this result, as larger interest differentials provide the rational expectations with more predictive power of the future spot exchange rate.

Tvirtos tarpvalstybinės ir nacionalinės tarpbankinės rinkos yra svarbios gerai veikiančioms finansų sistemoms. Neprižiūrimos tarpbankinės pozicijos gali sukelti domino efektą. Paprastai tarpbankinė skolinimo rinka prisideda prie finansų rinkų efektyvumo, ji atlieka svarbų vaidmenį užtikrinant likvidumą visai finansų sistemai. Būtent šioje rinkoje, bankai skolinasi ir skolina lėšas tarpusavyje, taip suteikdami likvidžias lėšas kitam bankui kuriam tuo metu reikia. Tačiau tarpbankinės paskolų rinkos yra neapdraustos, tokiu būdu jų poveikis skolininkams yra didelis, nes jie yra neapsaugoti. Darbe sprendžiama problema – kaip teisingai vertinti valstybės tarpbankinę rinką, jos sandorius, ir kaip jie priklauso nuo kitų finansinių rinkų. Tyrimo objektas – 2008-2010 m. Lietuvos finansinių institucijų tarpbankiniai sandoriai. Tyrimo tikslas – atlikti vidutinių tarpbankinių skolinimo sandorių sumų Lietuvoje 2008 – 2011 metais ekonometrinę analizę ir atlikti prognozę. Siekiant įgyvendinti šį tikslą, išsikelti šie uždaviniai: 1. Išanalizuoti finansinių institucijų veiklos įtaką ekonomikai. 2. Išnagrinėti finansinių institucijų priežiūros ypatumus. 3. Išanalizuoti finansinių institucijų sisteminės rizikos valdymo teorinius ir empirinius tyrimus. 4. Išanalizuoti veiksnius, kurie daro įtaką vidutinėms tarpbankinio skolinimo sandorių sumoms. 5. Sudaryti vidutinių tarpbankinio skolinimo sandorių sumų Lietuvoje ekonometrinį modelį. Šiame darbe iškeltos hipotezės: 1. Tarpbankinių sandorių... [toliau žr. visą tekstą] / Strong cross border and national interbank market are important for well-functioning financial systems. Unsupervised interbank exposures may lead to a domino effect. Usually interbank lending market is contributing to the efficiency of financial markets, it plays an important role in the market to ensure liquidity in the financial system as a whole. In this market, banks borrow and lend money among themselves, and providing liquidity to another bank which at the time of need. However, the interbank lending markets are not covered, so their impact on borrowers is high, because they are ex-posed. Main problem of final master’s work - how to correctly assess the state inter-bank market, the transactions and how they depend on other financial markets. The object of research – 2008-2010 Li-thuanian financial institutions' interbank transactions. The purpose of work – a medium-sized inter-bank lending transactions in amounts of Lithuania 2008 - 2011 was an econometric analysis and estimates. Tasks of the work: 1. Analyze the financial institutions in the economy. 2. Examine the features of supervision of financial institutions. 3. Analyze the financial institution of systemic risk management theory and em-pirical research. 4. Analyze the factors that influence medium-sized inter-bank lending transaction amounts. 5. Develop a medium-sized inter-bank lending transactions in Lithuania amounts of an eco-nometric model. The hypothesis of the paper: 1. Volume of interbank transactions... [to full text]

Submitted by Diego Martins Silva (diego3martins@gmail.com) on 2015-04-22T19:03:54Z No. of bitstreams: 1 Dissertacao_final.pdf: 597953 bytes, checksum: 1bcdbee77f3bef20b251a0774042ebbf (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-04-27T13:02:20Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 597953 bytes, checksum: 1bcdbee77f3bef20b251a0774042ebbf (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-05-04T12:52:18Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 597953 bytes, checksum: 1bcdbee77f3bef20b251a0774042ebbf (MD5) / Made available in DSpace on 2015-05-04T12:52:33Z (GMT). No. of bitstreams: 1 Dissertacao_final.pdf: 597953 bytes, checksum: 1bcdbee77f3bef20b251a0774042ebbf (MD5) Previous issue date: 2015-03-12 / In this work, we analyze network formation with wary agents. The model consists of two regions with (n/2) banks in each, where the connection between them occurs through interbank deposits. A bank run is possible to occur in each bank, due to an increase not expected of impatient agents, or due to contagion from run in another bank. If all banks form a high number of interconnections, they can eliminate possibility of contagion. If one does not prevent a contagion, it imposes all the others banks a positive possibility in the worst case. There are two well-defined regions of symmetric nash equilibrium with stable network, one in which all banks prevents the contagion in the worst case and the other in which no bank prevents. As a result of the coordination problem, equilibrium with contagion in the worst case can occur even pareto dominated by the equilibrium without contagion. Under certain conditions, contagion in the worst case occurs with a network pareto efficient, nevertheless the network is not the most resilient one. / Neste trabalho investigamos a formação de network considerando agentes cautelosos. O modelo consiste em duas regiões com (n/2) bancos em cada, onde a interligação entre eles ocorre através e depósitos interbancários. Cada banco está sujeito a corrida bancária, ou devido a um choque negativo de agentes impacientes, ou devido a contaminação da corrida de um banco pertencente a infraestrutura bancária. Os bancos podem tentar eliminar a possibilidade de contágio ao fazer um número alto de inter-ligações. Para isso, é necessário uma coordenação entre todos os bancos. Se um banco não se prevenir de um contágio, ele impõe a todos os outros a possibilidade de contágio no pior cenário. Há duas regiões bem definidas de equilíbrio de nash simétrico com network estável, uma na qual todos os bancos se previnem do cenário de contágio no pior cenário e a outra na qual nenhum banco se previne. Devido ao problema de coordenação, o equilíbrio com contágio no pior cenário pode ocorrer mesmo sendo pareto dominado pelo equilíbrio sem contágio. Sob certas condições, o equilíbrio com contágio ocorre com um network pareto eficiente. Neste caso o network eficiente é diferente do network mais resiliente ao contágio.

Uma característica dominante do sistema financeiro contemporâneo é a intrincada rede de conexões entre instituições financeiras, destacando-se a rede de empréstimos do mercado interbancário, através da qual é feita a transferência de recursos líquidos de bancos com superavit de liquidez para bancos deficitários. Ao mesmo tempo em que o mercado interbancário é responsável pela alocação eficiente de liquidez, a estrutura das exposições interbancárias pode ser considerada fator de risco sistêmico por ser fonte de contágio em caso de crise financeira. A insolvência de um banco pode se propagar na rede levando à insolvência de um grande subconjunto conectado de bancos. Estudos empíricos tem evidenciado que algumas redes interbancárias apresentam características de redes livres de escala. O presente trabalho explora as características de contágio financeiro em redes cuja distribuição de links se aproxima a uma lei de potência, através de um modelo deliberadamente simplificado que define a estrutura patrimonial dos bancos a partir de informações de conectividade da rede. Variando os parâmetros de formação das redes obtemos distribuições com diferentes concentrações de dívidas e de direitos, criando três perfis principais, que foram analisados quanto a sua resistência ao contágio. Testamos também o efeito da variação da conectividade em conjunto com a variação da concentração dos links. Os resultados encontrados sugerem que redes mais conectadas e com alta concentração de direitos (com nodos caracterizados por serem grandes credores do sistema) apresentam maior resistência ao contágio. Avaliando alguns índices topológicos de risco sistêmico sugeridos na literatura, pudemos verificar sua capacidade de explicar o impacto da quebra de um nodo sobre o sistema. Embora fique evidente a relação positiva entre os índices e o valor do impacto para os casos de maior magnitude de perdas, a relação é mais fraca para os menores valores de impacto, sugerindo um poder menor de previsão em redes mais resistentes. / One of the most striking characteristics of modern financial systems is its complex interdependence, standing out the network of bilateral exposures in interbank market, through which institutions with surplus liquidity can lend to those with liquidity shortage. While the interbank market is responsible for efficient liquidity allocation, it also introduce the possibility for systemic risk via financial contagion. Insolvency of one bank can propagate through interlinkages leading to insolvency of other banks. Empirical studies have shown that some interbank networks have features of scalefree networks. This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a deliberately simplified model that defines banks balance sheets from information of network connectivity. Varying the parameters of the network creation we obtained links distributions with different concentrations of debts and rights, creating three main network types, which were analyzed for their resilience to contagion. We also tested the effect of a variation in connectivity in conjunction with variation in concentration of links. The results suggest that more connected networks with high concentration of rights (featuring nodes that are large creditors of the system) present greater resilience to contagion. Evaluating some topological indices of systemic risk suggested in the literature, we could verify its ability to explain the impact on the system caused by the failure of a node. While it is clear the positive relationship between the indexes and the impact value for cases of greater magnitude of losses, the relationship is weaker for smaller values of impact, suggesting a lower predictive power in more resilient networks.

Uma característica dominante do sistema financeiro contemporâneo é a intrincada rede de conexões entre instituições financeiras, destacando-se a rede de empréstimos do mercado interbancário, através da qual é feita a transferência de recursos líquidos de bancos com superavit de liquidez para bancos deficitários. Ao mesmo tempo em que o mercado interbancário é responsável pela alocação eficiente de liquidez, a estrutura das exposições interbancárias pode ser considerada fator de risco sistêmico por ser fonte de contágio em caso de crise financeira. A insolvência de um banco pode se propagar na rede levando à insolvência de um grande subconjunto conectado de bancos. Estudos empíricos tem evidenciado que algumas redes interbancárias apresentam características de redes livres de escala. O presente trabalho explora as características de contágio financeiro em redes cuja distribuição de links se aproxima a uma lei de potência, através de um modelo deliberadamente simplificado que define a estrutura patrimonial dos bancos a partir de informações de conectividade da rede. Variando os parâmetros de formação das redes obtemos distribuições com diferentes concentrações de dívidas e de direitos, criando três perfis principais, que foram analisados quanto a sua resistência ao contágio. Testamos também o efeito da variação da conectividade em conjunto com a variação da concentração dos links. Os resultados encontrados sugerem que redes mais conectadas e com alta concentração de direitos (com nodos caracterizados por serem grandes credores do sistema) apresentam maior resistência ao contágio. Avaliando alguns índices topológicos de risco sistêmico sugeridos na literatura, pudemos verificar sua capacidade de explicar o impacto da quebra de um nodo sobre o sistema. Embora fique evidente a relação positiva entre os índices e o valor do impacto para os casos de maior magnitude de perdas, a relação é mais fraca para os menores valores de impacto, sugerindo um poder menor de previsão em redes mais resistentes. / One of the most striking characteristics of modern financial systems is its complex interdependence, standing out the network of bilateral exposures in interbank market, through which institutions with surplus liquidity can lend to those with liquidity shortage. While the interbank market is responsible for efficient liquidity allocation, it also introduce the possibility for systemic risk via financial contagion. Insolvency of one bank can propagate through interlinkages leading to insolvency of other banks. Empirical studies have shown that some interbank networks have features of scalefree networks. This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a deliberately simplified model that defines banks balance sheets from information of network connectivity. Varying the parameters of the network creation we obtained links distributions with different concentrations of debts and rights, creating three main network types, which were analyzed for their resilience to contagion. We also tested the effect of a variation in connectivity in conjunction with variation in concentration of links. The results suggest that more connected networks with high concentration of rights (featuring nodes that are large creditors of the system) present greater resilience to contagion. Evaluating some topological indices of systemic risk suggested in the literature, we could verify its ability to explain the impact on the system caused by the failure of a node. While it is clear the positive relationship between the indexes and the impact value for cases of greater magnitude of losses, the relationship is weaker for smaller values of impact, suggesting a lower predictive power in more resilient networks.