Detail práce

An alternative view on Czech banking sector´s riskiness

Autor: Bc. Jan Kubeš
Rok: 2017 - letní
Vedoucí: doc. PhDr. Petr Teplý Ph.D.
Konzultant:
Typ práce: Bakalářská
Jazyk: Český
Stránky: 63
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/185474/
Abstrakt: Riskiness of Czech banking sector is subject of interest of this thesis. Since the beginning of 21st
century, there is moderately growing number of banks and their overall profitability expressed in
absolute values is increasing. Ratio of non-performing loans to total loans is also displaying
optimistic values. Four indicators of riskiness are studied through data about Czech banks from
2008 to 2015. These indicators are: z-score, leverage ratio, RWA density and ratio of nonperforming
loans to total loans. Rather low correlations among these indicators are found, the
highest correlation (0,670) is between leverage ratio and RWA density, on the other hand the lowest
one (0,093) is between z-score and NPL ratio. In aggregate form are three of the indicators
displaying stable trend to lower riskiness in 2008-2015 period, the same can be stated about NPL
ratio in 2010-2015 period. Then is regression analysis employing fixed effects estimation and
random effects estimation used, with the aim to identify determinants of the four indicators. Size
of banks expressed in logarithm of total assets is significant in only one model with RWA density
on the place of dependent variable. This significance is at 10 per cent level and corresponding
coefficient is negative. In contrary, growth of assets and dummy variable indicating building
society were often significant

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF
EY