Work detail

Banking Regulation: Assessment and Simulation of Regulatory Measures

Author: Bc. Tomáš Klinger
Year: 2011 - summer
Leaders: doc. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 85
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good bachelors diploma thesis.
Link:
Abstract: This thesis focuses on international banking regulation, particularly the capital adequacy
requirements known as the Basel Accords. In the first part, we study the rationale for
regulating the banks and describe the evolution of the Basel Accords, including the newly
presented measures known as Basel III. The main conclusion of this part is that the
regulation is heavily shaped by the banks themselves and does not always serve the best for
protecting the financial system. In the second part dedicated to systemic risk modelling, we
first introduce the used methodology and then build an agent-based model which enables us
to simulate the impacts of various types of negative shocks given various settings of the
banking system and the regulatory environment, including the capital and liquidity
measures. Our simulations show firstly that sufficient capital buffers are crucial for systemic
stability, secondly that the discretionary measures have little effect once a crisis breaks out
and thirdly that liquidity measures are a relevant regulatory tool.
Downloadable: Bachelor Thesis of Klinger

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