Work detail

Economic capital management of top-ranked world banks

Author: Mgr. Ondřej Vejdovec
Year: 2011 - summer
Leaders: prof. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 118
Awards and prizes:
Link:
Abstract: The thesis is focused on economic capital management of top-ranked world banks. A basic theoretical framework is summarised at the beginning. The theoretical framework is then utilised in the main - empirical part. Since economic capital is not a figure commonly reported in any available database, we have created our own database based on annual reports of top fifty world banks of the year 2008. Based on this database we provide an extensive empirical study focused on years 2007-2010. Even though one third of the banks disclose economic capital only, thanks to our approach combining both quantitative and qualitative analysis we were able to study the topic in detail. Within quantitative part the development of economic capital and its allocation is studied, the differences between regulatory and economic capital in time is measured, a relationship between quality of economic capital disclosure and rating is searched for and relationship between the value of economic capital and changes in profits during financial crisis is studied. The qualitative part consists of case studies of fourteen banks. It is focused on special and unique features of economic capital management of individual financial institutions.
Downloadable: Diploma Thesis of Vejdovec

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