Work detail

Basel Risk Weights: Revising the Czech banking sector

Author: Mgr. Tereza Nováčková
Year: 2014 - summer
Leaders:
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 72
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/138437/
Abstract: This thesis provides the empirical analysis of the second Basel regulatory framework
implementation in Czech banks together with the economic performance inspection of the
Czech banking sector. With Basel II, banks face the possibility to implement internal models to calculate capital adequacy related to bank’s risk exposure. This possibility opens a discussion of its economic effect, transparency and potential misuse of the internal models. The empirical part of this thesis examines how the profitability and the reported riskiness
change with internal models implementation. Furthermore, the role of cost efficiency to
bank’s profitability and risk adequacy ratio is evaluated. The panel data analysis of all Czech
banks over a period 2006 to 2012 demonstrates
that internal models for capital adequacy
calculation increase bank’s profitability together with a decrease of the reported riskiness measured by risk weighted assets. Moreover, the cost efficiency has proven to be a significant indicator of both profitability and capital adequacy ratio

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance