<p>Konkurrensen på den svenska bankmarknaden har efter en rad avregleringar på 1990-talet förbättrats, mycket på grund av nya nischbanker som på allvar börjat tävla med de stora aktörerna på marknaden. I februari år 2007 inträdde ett nytt regelverk för banker, Basel II, som bland annat reglerar hur mycket kapital en bank måste hålla i förhållande till den risk den tar. Regelverket öppnar upp för banker att använda olika metoder, som kostar olika mycket att implementera och underhålla, för att beräkna detta kapitalkrav. Som en följd av detta kommer mindre banker att ha svårt att bära de kostnader som mer avancerade metoder för med sig. Valet av beräkningsmetoder kommer också leda till att banker beläggs med olika stora kapitalkrav.</p><p>Denna studie syftar till att beskriva den förväntade effekt införandet av Basel II kommer att ha på nischbankernas ställning på den svenska bankmarknaden. För att kunna besvara detta syfte har en kvalitativ studie genomförts, där intervjuer med nio nischbanker och två storbanker gjorts. Dessutom har representanter från Finansinspektionen, Svenska Bankföreningen, Konkurrensverket samt KPMG Financial Services intervjuats, för att få en djupare inblick i regelverkets konkurrenspåverkande effekter på olika typer av banker.</p><p>Studien har visat på att de aspekter i Basel II som kan komma att påverka konkurrensen på marknaden är de kostnader som implementering och tillämpning av regelverket kommer att innebära samt det faktum att banker tillåts använda olika metoder för beräkning av kapitalkravet för kreditrisker, med en ökad prisdifferentiering baserad på risk som följd. Nischbankerna har möjlighet att behålla och förstärka sin ställning på marknaden förutsatt att de anpassar sin verksamhet efter de nya förutsättningar som regelverket innebär.</p><p>Vidare har ur studien framkommit att det finns fördelar med att vara en nischaktör, oavsett storlek, över att vara en liten aktör. För banker som konkurrerar om lågriskkunder innebär regelverket fördelar för dem som antingen är riktigt stora fullsortimentsbanker eller riktigt nischade banker som då kan vara stora inom ett specifikt område. En bank som nischar sig mot ett kundsegment med högre risk måste inte nå samma volymer, då marginalerna där förväntas bli högre, men banken måste begränsa sin verksamhet för att fortsatt kunna använda mindre kostnadskrävande beräkningsmetoder utan att tappa konkurrensmässigt på detta. </p> / <p>The competition level on the Swedish bank market has increased after an extended deregulation in the 1990s, much due to niche players entering the market, competing with the large players on the field. In February 2007, a new regulation, Basel II, regulating the level of capital a bank must keep in relation to its risks taken, was implemented. The regulation allows banks to use different methods to calculate this capital requirement, methods that cost different amounts to implement and maintain. As a result of this, many smaller banks will have difficulties in implementing more advanced methods since the costs associated with these are too high for a smaller bank to handle. Different methods will also result in different capital requirements for different banks.</p><p>The purpose of this study is to describe the expected effect the introduction of Basel II will have on the positions of the niche banks on the Swedish bank market. To be able to fulfil this purpose, a qualitative study has been made, where interviews have been held with nine niche banks and two large ones. People from The Swedish Financial Supervisory Authority, The Swedish Banker’s Association, The Swedish Competition Authority and KPMG Financial Services have also been interviewed to receive a better view of the competitive effects of Basel II.</p><p>The study has shown that the aspects of Basel II that will effect the competition on the market are the implementation and maintenance costs that come with the regulation, and the fact that banks are allowed to use different methods to calculate the capital requirements for credit risks, with an increased risk-based pricing differentiation as a result. Niche banks have a possibility to keep and strengthen their positions on the market if they adjust their activities in relation to the new conditions Basel II involves.</p><p>Moreover, this study has shown advantages in being a niche actor, regardless of size, over being a small actor. Banks that compete for customers with lower risks will have advantages due to Basel II if being large, or a bank working within one area and therefore has a possibility to be large in this specific area. Niche players that choose to compete in areas involving high risk customers do not need the same volumes since the margins in these areas are expected to rise, but the banks need to limit their activity to specific business areas to be able to keep using less costly methods to calculate the capital requirements without loosing in competitive strength as a result of this. </p>

台灣的銀行業目前呈現過度競爭的情況，加上政府極力推動金融改革，銀行為了拓展版圖，不惜降低徵、授信標準，擴張信用貸款，使得很多銀行的逾期放款增加。加上國內銀行多以消費性金融業務為主，造成雙卡風暴嚴重影響金融市場的秩序，導致銀行緊縮無擔保貸款並增加房屋貸款現象，加上96年初美國爆發次級房貸風暴，為降低銀行因過度擴張房貸業務對銀行經營造成負面影響，本研究以國內某商業銀行為主要研究對象，並以巴塞爾協定為基礎，針對消費者房屋貸款的授信評量做一研究與分析，試圖利用統計方法建構一信用風險內部評等模型，客觀評估房屋抵押貸款之違約風險因子。 本研究所得結論如下: 1.本研究所使用的模型為Logistic Regression，利用銀行實際之進件資料和交易行為資料進行分析，透過此模型找出和違約有關的風險因子，並計算每個客戶之違約率。 2.交叉分析顯示變數「3個月平均繳款率」、「觀察期帳戶逾期情形」、「地區」、「學歷」、「貸款成數指標」、「3個月貸款餘額比率」、「是否超過法定貸款額度」和違約間有顯著的差異，且在Logistic Regression模型中顯示這些因子對於違約有一定影響 3.經由本研究所建構的內部模型，可以及早發現高風險群組的客戶，並做適當處理，提升銀行房貸業務的授信品質，降低銀行整體的逾放比。

One of the biggest problems South African banks are experiencing when managing operational risk is the lack of a single definition for operational risk. Operational risk can take many forms; for example computer system failure, the malfunction of an ATM or in same instances the long queues at a bank can be an operational risk It is clear that banks lack sufficient information to distinguish between different operational risk events as well as other risk events like credit risk, market risk, etc. In other words, banks are experiencing great difficulties with the identification of operational risk in South Africa The study therefore aims to determine and construct a single definition of operational risk that will be sufficient for the assessment of operational risk management in South Africa. The study also aims to examine the existing as well as the possible methods to identify, quantify and measure operational risk The main goal of this study is therefore to investigate the feasibility of capital provisions as a way of managing operational risk in South African banks, in other words the viability of the New Basel Capital Accord on South African banks. The methodology used includes a literature review, in-depth interviews and a case study on South African Retail Bank to determine and evaluate some of the most renowned indicators of operational risk in South Africa. The first objective was to determine a single definition of operational risk in South Africa. As mentioned, South African banks are having great difficulties to find a single definition of operational risk and this is causing problems in identifying operational risks in South Africa. It is the view of this study that the Basel Committee's definition is not sufficient enough for operational risk management in South Africa; therefore there is a great need to find a single definition of operational risk in South African banks. The second objective is to provide an overview of the Base1 Committee and its Capital Accord, by focusing on one of the outstanding changes to the existing accord, which is the proposed explicit capital requirement for operational risk. It has been established that the Base1 Capital Accord is widely adopted around the world. Consequently, from the viewpoint of being competitive, it is to the advantage of a bank to adhere to the prescriptions of the Base1 Capital Accord. However, to stay relevant, the Basel Capital Accord was due for a review. The Basel Committee released a proposal to replace the existing Basel Capital Accord with a more. risk sensitive framework. The new framework intends to improve safety and soundness in the financial system by placing more emphasis on banks' own internal control and management, the supervisory review process, and market discipline. The third objective of this research was to present the theory of asset and liability management (ALM) within the unifying theme of operational risk management. It was indicated that capital is used to absorb an operational risk loss. The Asset and Liability Committee (ALCO) is responsible for the strategic management of a bank's balance sheet, therefore also ALM, and as capital forms part of the banks balance sheet, it is also the responsibility of the ALCO to manage the capital that is used as provision for an operational risk. The fourth objective was to determine and evaluate the key risk indicators of operational risk in South Africa theoretically and then also by means of a case study on a South African Retail Bank and then to made some recommendations regarding the effective identification of the key indicators of operational risk in South Africa. It was indicated the challenge in identifying key operational risk indicators is to find indicators that is not only business-specific but are also fm wide indicators of operational risk. Recommendations on the effective identification of key operational risk indicators were made. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2004.

One of the biggest problems South African banks are experiencing when managing operational risk is the lack of a single definition for operational risk. Operational risk can take many forms; for example computer system failure, the malfunction of an ATM or in same instances the long queues at a bank can be an operational risk It is clear that banks lack sufficient information to distinguish between different operational risk events as well as other risk events like credit risk, market risk, etc. In other words, banks are experiencing great difficulties with the identification of operational risk in South Africa The study therefore aims to determine and construct a single definition of operational risk that will be sufficient for the assessment of operational risk management in South Africa. The study also aims to examine the existing as well as the possible methods to identify, quantify and measure operational risk The main goal of this study is therefore to investigate the feasibility of capital provisions as a way of managing operational risk in South African banks, in other words the viability of the New Basel Capital Accord on South African banks. The methodology used includes a literature review, in-depth interviews and a case study on South African Retail Bank to determine and evaluate some of the most renowned indicators of operational risk in South Africa. The first objective was to determine a single definition of operational risk in South Africa. As mentioned, South African banks are having great difficulties to find a single definition of operational risk and this is causing problems in identifying operational risks in South Africa. It is the view of this study that the Basel Committee's definition is not sufficient enough for operational risk management in South Africa; therefore there is a great need to find a single definition of operational risk in South African banks. The second objective is to provide an overview of the Base1 Committee and its Capital Accord, by focusing on one of the outstanding changes to the existing accord, which is the proposed explicit capital requirement for operational risk. It has been established that the Base1 Capital Accord is widely adopted around the world. Consequently, from the viewpoint of being competitive, it is to the advantage of a bank to adhere to the prescriptions of the Base1 Capital Accord. However, to stay relevant, the Basel Capital Accord was due for a review. The Basel Committee released a proposal to replace the existing Basel Capital Accord with a more. risk sensitive framework. The new framework intends to improve safety and soundness in the financial system by placing more emphasis on banks' own internal control and management, the supervisory review process, and market discipline. The third objective of this research was to present the theory of asset and liability management (ALM) within the unifying theme of operational risk management. It was indicated that capital is used to absorb an operational risk loss. The Asset and Liability Committee (ALCO) is responsible for the strategic management of a bank's balance sheet, therefore also ALM, and as capital forms part of the banks balance sheet, it is also the responsibility of the ALCO to manage the capital that is used as provision for an operational risk. The fourth objective was to determine and evaluate the key risk indicators of operational risk in South Africa theoretically and then also by means of a case study on a South African Retail Bank and then to made some recommendations regarding the effective identification of the key indicators of operational risk in South Africa. It was indicated the challenge in identifying key operational risk indicators is to find indicators that is not only business-specific but are also fm wide indicators of operational risk. Recommendations on the effective identification of key operational risk indicators were made. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2004.

The measurement of operational risk has surely been one of the biggest challenges for banks worldwide. Most banks worldwide have opted for a value-at-risk (VaR) approach, based on the success achieved with market risk, to measure and quantify operational risk. The problem banks have is that they do not always find it difficult to calculate this VaR figure, as there are numerous mathematical and statistical methods and models that can calculate VaR, but they struggle to understand and interpret the values that are produced by VaR models and methods. Senior management and normal staff do not always understand how these VaR values will impact their decision-making and they do not always know how to incorporate these values in their day-to-day management of the bank. This study therefore aims to explain and discuss the calculation of VaR for operational risk as well as the factors that influence this figure, and then also to discuss how this figure is managed and the impact that it has on the management of a bank. The main goal of this study is then to explain the management of VaR for operational risk in order to understand how it can be incorporated in the overall management of a bank. The methodology used includes a literature review, in-depth interviews and a case study on a South African Retail Bank to determine and evaluate some of the most renowned methods for calculating VaR for operational risk. The first objective of this study is to define operational risk and all its elements in order to distinguish it from all the other risks the banking industry faces and to better understand the management thereof. It is the view of this study that it will be impossible to manage and measure operational risk if it is not clearly defined, and it is therefore important to have a clear and understandable definition of operational risk. The second objective is to establish an operational risk management process that will ensure a structured approach to the management of operational risk, by focusing on the different phases of operational risk. The process discussed by this study is a combination of some of the most frequent used processes by international banks, and is intended to guide the reader in terms of the steps required for managing operational risk. The third objective of this study is to discuss and explain the qualitative factors that play a role in the management of operational risk, and to determine where these factors fit into the operational risk process and the role they play in calculating the VaR for operational risk. These qualitative factors include, amongst others, key risk indicators (KRIs), risk and control self-assessments and the tracking of operational losses. The fourth objective is to identify and evaluate the quantitative factors that play a role in the management of operational risk, to distinguish these factors from the qualitative factors, and also to determine where these factors fit into the operational risk management process and the role they play in calculating VaR for operational risk. Most of these quantitative factors are prescribed by the Base1 Committee by means of its New Capital Accord, whereby this new framework aims to measure operational risk in order to determine the amount of capital needed to safeguard a bank against operational risk. The fifth objective is to discuss and explain the calculation of VaR for operational risk by means of discussing all the elements of this calculation. This study mainly bases its discussion on the loss distribution approach (LDA), where the frequency and severity of operational loss events are convoluted by means of Monte Carlo simulations. This study uses real data obtained from a South African Retail Bank to illustrate this calculation on a practical level. The sixth and final objective of this study is to explain how VaR for operational risk is interpreted in order for management to deal with it and make proper management decisions based on it. The above-mentioned discussion is predominantly based on the two types of capital that are influenced by VaR for operational risk. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2007.

The measurement of operational risk has surely been one of the biggest challenges for banks worldwide. Most banks worldwide have opted for a value-at-risk (VaR) approach, based on the success achieved with market risk, to measure and quantify operational risk. The problem banks have is that they do not always find it difficult to calculate this VaR figure, as there are numerous mathematical and statistical methods and models that can calculate VaR, but they struggle to understand and interpret the values that are produced by VaR models and methods. Senior management and normal staff do not always understand how these VaR values will impact their decision-making and they do not always know how to incorporate these values in their day-to-day management of the bank. This study therefore aims to explain and discuss the calculation of VaR for operational risk as well as the factors that influence this figure, and then also to discuss how this figure is managed and the impact that it has on the management of a bank. The main goal of this study is then to explain the management of VaR for operational risk in order to understand how it can be incorporated in the overall management of a bank. The methodology used includes a literature review, in-depth interviews and a case study on a South African Retail Bank to determine and evaluate some of the most renowned methods for calculating VaR for operational risk. The first objective of this study is to define operational risk and all its elements in order to distinguish it from all the other risks the banking industry faces and to better understand the management thereof. It is the view of this study that it will be impossible to manage and measure operational risk if it is not clearly defined, and it is therefore important to have a clear and understandable definition of operational risk. The second objective is to establish an operational risk management process that will ensure a structured approach to the management of operational risk, by focusing on the different phases of operational risk. The process discussed by this study is a combination of some of the most frequent used processes by international banks, and is intended to guide the reader in terms of the steps required for managing operational risk. The third objective of this study is to discuss and explain the qualitative factors that play a role in the management of operational risk, and to determine where these factors fit into the operational risk process and the role they play in calculating the VaR for operational risk. These qualitative factors include, amongst others, key risk indicators (KRIs), risk and control self-assessments and the tracking of operational losses. The fourth objective is to identify and evaluate the quantitative factors that play a role in the management of operational risk, to distinguish these factors from the qualitative factors, and also to determine where these factors fit into the operational risk management process and the role they play in calculating VaR for operational risk. Most of these quantitative factors are prescribed by the Base1 Committee by means of its New Capital Accord, whereby this new framework aims to measure operational risk in order to determine the amount of capital needed to safeguard a bank against operational risk. The fifth objective is to discuss and explain the calculation of VaR for operational risk by means of discussing all the elements of this calculation. This study mainly bases its discussion on the loss distribution approach (LDA), where the frequency and severity of operational loss events are convoluted by means of Monte Carlo simulations. This study uses real data obtained from a South African Retail Bank to illustrate this calculation on a practical level. The sixth and final objective of this study is to explain how VaR for operational risk is interpreted in order for management to deal with it and make proper management decisions based on it. The above-mentioned discussion is predominantly based on the two types of capital that are influenced by VaR for operational risk. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2007.

<p>Problem: How has Nordea been adapted and influenced by the change of Basel II and how have the employees reacted on the new change?</p><p>Purpose: This essay has a purpose to study how Basel II has influenced the credit rating at Nordea. We also want to study how the employees have reacted to the new change.</p><p>Method: To receive the information that was necessary for this study interviews were performed with the employees at Nordea. The interviews were an effective way to start a discussion and by that we received important information.</p><p>Basel II is new capital cover rules that the Swedish banks have introduced. These new rules mean that it will become more important with safety when it comes to risk management and credit giving. Nordea is one of the largest banks in Sweden and they introduced Basel II in the beginning of 2007. This change means hard work for the management when they produce statistics and mathematics models. These models have a purpose to help the customer relation managers at Nordea with their daily work. The change can be seen as an imposed strategy because Basel II is an EU-directive which all banks have to comply to. The change can also be seen as a planned strategy. Nordea has been aware of the coming change and from this Nordea has been able to plan their strategy. An important factor with strategic change is the competence in the organization. It is important that the employees get the right education and information that is necessary to commit to the changes. The changes in Nordea are difficult to get an overview of because they are in the beginning of the implementation of Basel II.</p>

Práce se zabývá problematikou spojenou s rozšířením konceptu kapitálové přiměřenosti o prvek operačního rizika. Rámcově popisuje novou basilejskou dohodu Basel II a způsob, jakým je do ní operační riziko zasazeno. Detailněji pak popisuje nejpokročilejší přístup pro výpočet kapitálového požadavku k operačnímu riziku, tzv. AMA přístup. Na závěr je podrobně charakterizována jedna ze složek nejpokročilejšího přístupu, analýza scénářů, pomocí které je také vypočítán kapitálový požadavek a identifikovány některé kvalitativní dopady na modelovou banku.

Nové regulatórne pravidlá BASEL II, ktorých hlavným cieľom je zvýšiť bezpečnosť a stabilitu finančných systémov, posilniť konkurenciu medzi bankami a umožniť väčšiu rizikovú citlivosť definujú nový typ rizika, ktoré je potrebné pokryť dodatočným kapitálom - riziko operačné. BASEL II vymedzuje 3 prístupy (základný, štandardizovaný a pokročilý), ktoré je možné použiť k výpočtu regulatórneho kapitálu, potrebného na pokrytie strát vzniknutých v dôsledku realizácie operačného rizika. V prvej časti diplomovej práce je popísaný nový koncept bankovej regulácie, v časti druhej je vymedzený pojem operačné riziko a základné prístupy k jeho kvantifikácii. Tretia kapitola obsahuje návrh zjednodušeného teoretického modelu, ktorý umožní kapitálovú požiadavku na pokrytie operačného rizika kvantifikovať.

Diplomová práce pojednává o souvislostech mezi bankovním systémem a financováním podniku. Zaměřuje se na faktory, které ovlivňují získání bankovního úvěru, jeho cenu a profitabilitu z těchto bankovních obchodů z pohledu banky a to vše při respektování zásad dohody BASEL II.