The banking sector plays a pivotal role in the economy in which it operates. It is therefore imperative to institute international regulatory bodies and regulations which will ensure the protection of all stakeholders in the sector. The adoption and implementation of the Basel Accords and their revised versions has been encouraged at The World Bank level, but the opinions and studies regarding the impact of the tightened regulations on the banking sector generated varied reactions. The objective of this research was to establish whether the increased capital requirements regulations, as guided by The Basel Accords, had negatively impacted the bank domestic lending of the countries which implemented the regulations by 2012. This quantitative research involved comparison of the domestic lending rates as a percentage of GDP of the countries which implemented Basel II for the years before, and after the implementation. The study has revealed that, despite the concerns that the increased capital requirements regulations would increase the lending costs, the implementation of these regulations did not negatively affect domestic lending from the banking sector. This research document concludes by recommending a few process guidelines which the global banking regulators might consider during the implementation of Basel III. / Dissertation (MBA)--University of Pretoria, 2013. / ccgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

The subject of the diploma thesis "Analysis of Systemically Important Italian Banks and the overall stability of the banking sector" is the analysis of the current situation and the latest developments in the Italian banking sector with a focus on systemically important institutions. The first part describes the general state of current banking in Italy after the global crisis, including a brief historical introduction and pre-crisis development. It provides information on entity and ownership structure, capital adequacy and liquidity, and the overall structure of assets and liabilities of the sector. Particular attention is paid to the problem of non-performing loans and the impact on banks' profitability. The second part begins with the definition of systemically important banks and focuses on the analysis of individual banks with an emphasis on those systemically important. In the bank's stability and health assessment, the development of the portfolios of non-performing loans is highlighted. The final part of the thesis deals with the summary of Italian banking problems and assesses the stability of the sector in the context of the euro area.

The master's thesis deals with the topic of the regulatory reform based on Basel III framework created by Basel Committee on Banking Supervision. The target of this thesis is to present tools and components of Basel III standard and focus on the identification and analysis of the key factors for classifying banks as systemically important. The issue is described from global perspective and special attention is given to European specification of regulatory rules. One part of this study is dedicated to the monitoring of the fulfillment of new regulatory rules and tools by global and European banking system. Diploma thesis includes also the chapter monitoring macroeconomic impact of regulatory reforms.

Germany’s position of power within the European Union disguises how impacted the German economy was by the 2008 Financial Crisis and Europe’s subsequent Sovereign Debt Crisis. Two of Germany’s major banks-Commerzbank and Bayerische Landesbank- suffered major losses and required emergency liquidity assistance (ELA) to survive. Walter Bagehot wrote the theory underpinning lenders of last resort (LLRs) in 1873 but how has the development of systemically important banks affected the usefulness of Bagehot’s theory? This paper aims to explain why Germany is in need of updated LLR recommendations through an analysis of the ELA Germany at large, Commerzbank and Bayerische Landesbank received. It also aims to empirically prove the stigma and public distrust of ELA through a regression of Commerzbank’s daily stock returns using an augmented Fama/French model. I find that Bagehot’s theory and recommendations are out of date for our current global financial sector. I cannot empirically prove any stigma or public distrust of Commerzbank, there is no relationship between Commerzbank stock returns and the augmented Fama/French factors.

The diploma thesis deals with stress testing as a specific tool which is used by European Banking Association for banking sector financial stability assessment. The main aim is to provide reader with analysis of EBA stress testing. Both the EBA methodology and 2016 results are analyzed in second part. Due to high costs spend on stress testing process I consider practical usage from the bank point of view as very important. This issue is discussed in fourth part of this thesis.

A failure of systemically important bank was up to the present time in most cases avoided through providing financial support by government because there were concerns about destroying the financial stability followed by decline in economic activity because of size, interconnectedness and limited substitutability of the failing bank. However, the implicit governmental guarantees for systemically important banks create many distortions in an economy which are desirable to eliminate. Considering restriction of moral hazard, no increase in systemic risk and preservation of social benefits of G-SIBs the parallel implementation of higher capital requirements and recovery and resolution policy seems to be the most effective measure from proposed regulatory measures for systemically important banks. The future benefits and costs of these measures will be dependent in a high degree on the form and way in which the new rules will be incorporated by governments to their national regulatory frameworks.

2007-2008的金融大海嘯中，影子銀行及系統重要性金融機構(systemically important financial institutions, SIFIs)扮演重要角色。金融機構證券化移轉資產的個別風險，以資產池最低報酬作為擔保品，發行高品質債權證券。隨投資人財富愈多，對安全資產需求愈大，金融機構擴大槓桿及風險資產投資。SIFIs數量少但規模大，相對於其他小型金融機構有較好的投資效率，其投資、證券化及其他業務與經濟體系具有複雜而規模大的關係，具有太大、太複雜以致不能倒的性質。SIFIs透過證券化移轉個別風險，在景氣蕭條及經濟個體普遍忽略尾端風險下，金融體系具有脆弱性。在已經存在SIFIs的金融體系下，金融脆弱性隨SIFIs及其他小型金融機構投資效率差距愈大愈加增強。 / The shadow banking system and systemically important financial institutions (SIFIs) play important roles in recent financial crisis. Financial institutions (FIs) securitize risky assets and use the lowest payoffs of the securitized assets as collateral to issue riskless debts. As the demand for riskless assets increases, FIs initiate more risky assets and increase leverage. SIFIs are large and advantageous to invest in risky assets compared to small FIs. The complex connection between SIFIs and economy make them too big or complex to fail. SIFIs transfer idiosyncratic risk and undertake systemic risk via securitization. Financial system is fragile to recession when entities neglect tail risks. In the financial system in which SIFIs exist,the financial fragility is severer when the gap of the investment ability between SIFIs and other small FIs becomes larger.

Le risque systémique a joué un rôle clé dans la propagation de la dernière crise financière mondiale.Un grand nombre de mesures de ce risque ont été développées pour évaluer la contribution d’une institutionfinancière au risque de l’ensemble du système. Toutefois, de nombreuses questions concernantles capacités de ces mesures à identifier les institutions financières d’importance systémique (SIFIs) ontété soulevées puisque le risque systémique possède de multiples facettes et certaines d’entre elles sontdifficiles identifier, telles que les similitudes entre institutions financières.L’objectif général de cette thèse en finance est donc (i) de proposer une solution empirique pour identifierles SIFIs au niveau nationale, (ii) de comparer théoriquement et empiriquement différentes mesures durisque systémique et (iii) de mesurer les changements d’expositions au risque des banques.Tout d’abord, le chapitre 1 propose un ajustement de trois mesures de risque systémique basées sur desdonnées de marchés et conçues dans un cadre international, afin d’identifier les SIFIs au niveau national.Ensuite, le chapitre 2 introduit un modèle commun dans lequel plusieurs mesures du risque systémiquesont exprimées et comparées. Il y est théoriquement établi que ces mesures de risque systémique peuventêtre exprimées en fonction de mesures traditionnelles de risque. L’application empirique confirme cesrésultats et montre que ces mesures ne sont pas capables de saisir la nature multidimensionnelle durisque systémique. Enfin, le chapitre 3 présente la méthodologie appelée Factor Implied Risk Exposures(FIRE) permettant de décomposer une variation de la mesure de risque d’une banque en deux éléments,le premier représentant la volatilité de marché et le second correspondant à l’exposition au risque de labanque. Ce chapitre illustre empiriquement que les changements d’expositions au risque sont corréléspositivement entre les banques, ce qui est cohérent avec le fait que les banques présentent des similitudesdans leurs prises de positions sur le marché. / Systemic risk has played a key role in the propagation of the last global financial crisis. A large number ofsystemic risk measures have been developed to quantify the contribution of a financial institution to thesystem-wide risk. However, numerous questions about their abilities to identify Systemically ImportantFinancial Institutions (SIFIs) have been raised since systemic risk has multiple facets, and some of themare difficult to gauge, such as the commonalities across financial institutions.The main goal of this dissertation in finance is thus (i) to propose an empirical solution to identifydomestic SIFIs, (ii) to compare theoretically and empirically different systemic risk measures, and (iii)to measure changes in banks’ risk exposures.First, chapter 1 offers an adjustment of three market-based systemic risk measures, designed in a globalframework, to identify domestic SIFIs. Second, chapter 2 introduces a common framework in whichseveral systemic risk measures are expressed and compared. It is theoretically shown that those systemicrisk measures can be expressed as function of traditional risk measures. The empirical application confirmsthese findings and shows that these measures fall short in capturing the multifaceted nature of systemicrisk. Third, chapter 3 proposes the Factor Implied Risk Exposures (FIRE) methodology which breaksdown a change in risk disclosure into a market volatility component and a bank-specific risk exposurecomponent. This chapter empirically illustrates that changes in risk exposures are positively correlatedacross banks, which is consistent with banks exhibiting commonality in trading.

Diploma thesis deals with the issue of systemic risk and its impact on the financial system. In terms of the explanation of the individual regularities analyses principles of systemic risk and its impact on the financial sector. The first part of this work is dedicated to a complex analysis of the systemic risk sources and a description of different measurement methods among others also dedicated to detection of systemically important institutions. The analytical part demonstrates an application of one of the model for systemic risk measurement on the real data from the United States of America between years 1990 and 2011 and the analysis of the newly adopted Dodd-Frank Act regulation. The main merit of this work is to describe and evaluate the complex perspective of the systemic risk, which is a prerequisite for its successful application and management.