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Dissertations / Theses on the topic 'Bank balance sheet'
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Meder, Anthony Alan. "SFAS 115, Bank Balance Sheet Liquidity and Loan Growth." The Ohio State University, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=osu1312309973.
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Lekishvili, Salome. "Central bank’s balance sheet and its relationship to monetary policy effectiveness." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-263865.
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The diploma thesis deals with the issue of financial performance of central banks. Central banking is generally considered as a profitable part of financial system. However, this paper focuses on the loss-making central banks and emphasizes the examples of central banks with large accumulated financial losses. Relationship between the quality of balance sheet assets and financial performance of central banks is closely examined in the thesis. Alongside, it analyses the impact of negative financial performance on the main objectives of central bank, in the role of monetary authority. Effectiveness of monetary policy is conditioned by many factors, among them are independence of central bank, the level of development of financial markets - central bank operates in, analytical skills of employees and etc. However, the case, where financial performance of central bank is discussed in connection with monetary policy performance, is extremely rare. The primary goal of this diploma thesis is to reveal and describe the main ways in which financial performance of the central bank influences monetary policy decisions. It also tries to find out whether there is hidden threat of a damaging impact on the decisions in case the central bank accumulates the negative financial results.
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Jaffar, Kalsoom. "An examination of British bank balance sheet dynamics from 1945-2012." Thesis, Glasgow Caledonian University, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.701007.
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Ziadeh, Mikati Noma. "Low interest rates, off balance sheet activities and bank risk-taking : evidence from U.S. commercial banks." Limoges, 2013. http://aurore.unilim.fr/theses/nxfile/default/0a846811-ee16-47d4-b879-d6b6120d6db5/blobholder:0/2013LIMO1005.pdf.
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This research study focus on two of the widely discussed culprits of instability in the banking system: the first concern the possible relation between policy rates and bank risk-taking incentives, the second investigates off balance sheet activities (OBS) and their implication on bank soundness. The dissertation is divided in two parts: in part 1 I study the transmission channel of monetary policy through the risk-taking channel. Chapter 1 of this part is devoted to present a better understanding of the risk-taking channel, to present the different theoretical foundations that back up this channel and to discuss potential difficulties related to empirical evidence. Chapter 2 and 3 present empirical studies on the risk-taking channel using US loan surey and call report data. The key finding is that loan officers relax lending standards when interest rates are low also longer periods of negative real interest rates are characterised by asset expansion with a move to riskier assets. Part 2 studies banks' OBS activites and investigate their implication for the soundness of US commercial banks. Chapter 1 in Part 2 provides a detailed account of these activites showing the widespread use of credit substitutes and other derivative instruments. Chapter 2 investigates the implication of different types of OBS activites on bank risk exposure and bank failure during the 2001-2010 period. The main finding is that different types of off balance sheet activities impact differently bank risk exposure: Credit subsitutes enhance bank loans portfolio and bank performance but put more pressure on bank liquidity. Derivatives contracts implicate higher risk exposure for small banks<br>Cette thèse étudie deux facteurs susceptibles de fragiliser le secteur bancaire : d'une part le laxisme de la politique monétaire pouvant modifier la perception ou l'aversion pour le risque des banques, d'autre part le développement des activités hors bilan et leurs implications sur la stabilité bancaire. La thèse se compose de deux parties : la partie 1 constituée de trois chapitres étudie la transmission de la politique monétaire par la canal de la prise de risque pour le cas des banques commerciales américaines. Les résultats empiriques présentés dans les chapitres 2 et 3 montrent que des niveaux bas de taux d'intérêts sont associés à un assouplissement des politiques d'octroi de crédit pratiquées par les banques et une expansion de l'actif caractérisé par une préférence pour les investissements risqués. La partie 2 étudie l'implication des activités hors bilan des banques commerciales américaines sur la stabilité des banques. Le chapitre 1 présente en détail ces activités montrant la large utilisation des substituts de crédit et autres instruments dérivés par les banques américaines. Le chapitre 2 examine l'implication des différents types d'activités hors bilan sur l'exposition au risque des banques au cours de la période 2001-2010. Les résultats empiriques montrent que l'incidence des activités hors bilan diffère selon le type de l'activité en question : les substituts de crédits diminuent le risque de crédit, améliore la performance des banques en revanche ils mettent plus de pression sur la liquidité bancaire. Les produits dérivés impliquent une plus grande exposition au risque pour les petites banques
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Pather, Shrinesan. "The impact of Basel III on bank balance sheet structure in South Africa." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64907.
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The global financial crisis cost the world economy an estimated 17 trillion dollars. (Wiese, 2012). This crisis was partly due to banks inability to have the required liquidity on hand to meet their necessary obligations. The Bank of International Settlements (BIS) released Basel III requirements in 2010 to mitigate the risk of the liquidity problems that banking sectors experienced during the 2007-2008 financial crisis, happening again. This research seeks to understand the impact of one aspect of the Basel III regulation, namely the Liquidity Coverage Ratio (LCR), on the South African (SA) banking sectors balance sheet structure.
This research aims to ascertain whether there has been a significant reduction in credit extension in the SA economy, whether there has been a significant increase in the maturity term structure of bank liabilities from asset managers and whether the type of depositor that banks seek to attract has significantly changed in line with previous research done in the US, UK and the EU.
The research follows a case study methodology which analyses the SA banking sector as a single case. Monthly, publically available data was sourced from the SA Reserve Bank and the testing of the hypotheses was carried out using an Autoregressive Integrated Moving Average Approach (ARIMA).
The results show that the implementation of the LCR has not had a significant impact on credit extension in the SA economy. The SA banking sectors reliance on funding from asset managers did reduce, however, not significantly as a result of the regulations. The proportion of medium and long term funding that bank receive from asset managers decreased contradicting the literature on the subject<br>Mini Dissertation (MBA)--University of Pretoria, 2017.<br>km2018<br>Gordon Institute of Business Science (GIBS)<br>MBA<br>Unrestricted
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Gumede, Nomdumiso Beryl. "The bank lending and balance sheet channels of monetary policy: a theoretical analysis." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1001864.
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The credit channel and its significance in the monetary policy transmission mechanism has been a point of contention among policy makers and economists for many years. In the early stages of this debate the monetarist view shaped thinking on the topic and cultivated the belief that the money supply is exogenously determined and that commercial banks playa minor role in the monetary transmission process. However, over the years, the credit view presented by Bernanke and Blinder (1988) has gained momentum. In contrast to the monetarist view, the credit view abandons the assumption of perfect substitutability and argues that due to their credit provision activities, financial institutions playa significant role in the transmission of monetary policy. The credit channel consists of two sub channels, the bank lending and balance sheet channels. In both, deposits drive loans and changes in monetary policy are effected through interest rates and their impact on borrowers' balance sheets, bank reserves, bank deposits and ultimately the quantity of bank loans supplied. Disyatat (2010) re-examines the conventional view and presents an argument against the foundation upon which the theories are based. Using this as a basis, and motivated by the vast amount of empirical literature that already exists on this topic, both in South Africa and abroad, this research provides a theoretical analysis of the credit channel and its relative importance in the monetary policy transmission mechanism. The exogenous/endogenous nature of money supply is considered and its implications for the existence and operation of the credit channel set out. It is found that, in order for a credit channel to operate efficiently in an economy, money supply should be endogenously determined. Moreover, a theoretical argument supporting Disyatat's (2010) revised credit channel is presented; it is concluded that, with a slight variation to Disyatat's proposed model, a single, unified channel exists.
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Mendes, Arthur Galego. "Central bank balance sheet concerns and credible optimal escape from the Liquidity trap." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11285.
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Previous issue date: 2001-06-13<br>I show that when a central bank is financially independent from the treasury and has balance sheet concerns, an increase in the size or a change in the composition of the central bank's balance sheet (quantitative easing) can serve as a commitment device in a liquidity trap scenario. In particular, when the short-term interest rate is up against the zero lower bound, an open market operation by the central bank that involves purchases of long-term bonds can help mitigate the deation and a large negative output gap under a discretionary equilibrium. This is because such an open market operation provides an incentive to the central bank to keep interest rates low in future in order to avoid losses in its balance sheet.
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Osborne, Matthew. "Essays on bank capital and balance sheet adjustment in the UK and US, and implications for regulatory policy." Thesis, City University London, 2013. http://openaccess.city.ac.uk/2381/.
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The financial crisis prompted widespread interest in developing a better understanding of how market and regulatory driven capital targets affect bank behaviour. Such considerations are important to assessing the effects of shocks to banks' capital ratios on their supply of financial intermediation services to the real economy, whether those shocks originate in higher regulatory capital requirements, unexpected losses, or demands from investors or counterparties. In particular, my research is relevant to the effects of changes in capital requirements or the imposition of explicitly counter-cyclical capital requirements, as proposed by the Basel III agreement. In this thesis, I describe three related research chapters focusing on how banks' actual capital ratios and long-run capital ratio targets affect bank behaviour. The first chapter uses a unique, comprehensive database of regulatory capital requirements on all UK banks to examine their effects on capital, lending and balance sheet management behaviour in the pre-crisis period 1996-2007. We find that capital requirements that include firm-specific, time-varying add-ons set by supervisors affect banks‘ desired capital ratios and that resulting adjustments to capital and lending depend on the gap between actual and target ratios. We use these results to measure the effects of a capital regime that includes features similar to those embedded in the UK framework. Our results suggest that countercyclical capital requirements may be less effective in slowing credit activity when banks can readily satisfy them with lower-quality (lower-costing) capital elements versus higher-quality common equity. Finally, we apply a simple version of our model to a small sample of large banks in the crisis period 2007-2011 and find that balance sheet adjustments to achieve target tier 1 capital ratios focused on risk-weighted assets, and changes in tier 1 and total capital played a reduced role compared to the pre-crisis period. Given the size of the UK banking sector and the global nature of many of the largest institutions in the UK banking sector, the results have implications for the ongoing debate surrounding the design and calibration of international capital standards. The second chapter assesses the relation between bank capital ratios and lending rates for the 8 largest UK banks over the period 1998-2011. The methods differ from previous literature in that they employ a dynamic error correction specification and a unique regulatory database to disentangle long- and short-run effects. There is no long-run link in pre-crisis boom times, but a strongly negative association is revealed during the stressed conditions of 2007-11 when well-capitalised banks may have benefited from lower funding costs. Higher capital ratios also have positive short-run effects on lending rates which are sizeable during crisis times. These results imply that countercyclical variations in bank capital requirements, as envisaged by Basel III, need to be very substantial to offset the procyclical reduction in the supply of bank lending during a crisis. In the third chapter the focus moves to the United States to examine the effect of capital ratios on profitability spanning several economic cycles going back to the late 1970s. Theory suggests that this relationship is likely to be time-varying and heterogeneous across banks, depending on banks‘ actual capital ratios and how these relate to their optimal (i.e., profit-maximising) capital ratios. We employ a flexible empirical framework that allows substantial heterogeneity across banks and over time. We find that the relationship is negative for most banks in most years, but turns less negative or positive under distressed market conditions. Banks with surplus capital relative to their long-run targets have strong incentives to reduce capital ratios in all periods. Similar to the second research chapter, these results have the policy implication that counter-cyclical reductions in capital requirements during busts may not be effective since, in such conditions, banks have incentives to raise capital ratios.
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Doig, Gregory Graham. "The interest rate elasticity of credit demand and the balance sheet channel of monetary policy transmission in South Africa." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006482.
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It has long been accepted that changes in monetary policy have real economic effects; however, the mechanism by which these policy changes are transmitted to the real economy has been the subject of much debate. Traditionally the transmission mechanism of monetary policy has consisted of various channels which include the money channel, the asset price channel and the exchange rate channel. Recent developments in economic theory have led to a relatively new channel of policy transmission, termed the credit channel. The credit channel consists of the bank lending channel as well as the balance sheet channel, and focuses on the demand for credit as the variable of interest. The credit channel is based on the notion that demanders and suppliers of credit face asymmetric information problems which create a gap between the cost of external funds and the cost of internally generated funds, referred to as the wedge. The aim here is to determine the size and lag length effects of changes in credit demand, by both firms as well as households, as a result of changes in interest rates. A secondary, but subordinate, aim is to test for a balance sheet channel of monetary policy transmission. A vector autoregressive (VAR) model is used in conjunction with causality tests, impulse response functions and variance decompositions to achieve the stated objectives. Results indicate that the interest rate elasticity of credit demand, for both firms and households, is interest inelastic and therefore the monetary policy authorities have a limited ability to influence credit demand in the short as well as medium term. In light of the second aim, only weak evidence of a balance sheet channel of policy transmission is found.
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Barkhanskyy, Kostyantyn. "Měnová a finanční statistika v ČNB - statistika peněžních agregátů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-81930.
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This work focuses on the problems of monetary aggregates in the Czech Republic within compilation of balance sheet items statistics of monetary financial institutions. The content of this paper comprises the methodological basis for the compilation of monetary aggregates and the overall balance sheet statistics with focus on detailed description of the procedure of compiling of this statistics in the Czech National Bank. The goal is to provide an overview of the methodology of balance sheet statistics, practical aspects of its composition and compiling of monetary aggregates.
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Ansari, Mohammad Tanvir. "Three essays on banks trading activities." Thesis, Queensland University of Technology, 2014. https://eprints.qut.edu.au/78132/1/Md%20Tanvir_Ansari_Thesis.pdf.
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With a fair share of the blame for the subprime crisis pointing to banks' extensive involvement in trading, this thesis examines three closely related issues. The first essay shows that regulatory capital arbitrage, insolvency risk, and non-interest income are all important motivations for banks to become involved in trading. The second essay support the widely held perception that trading activities such as off-balance sheet derivatives, securitization, and assets sales all are making banks more opaque. With banks' business model changing from ''originate and hold'' to ''originate, repackage, and sell'', the last essay show that trading channel exist and it has weakened the effectiveness of monetary policy transmission through banks' capital and lending channel.
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Pinter, Julien. "Essays on two new central banking debates : central bank financial strength and monetary policy outcome : the instability of the transmission of monetary policy to deposit rates after the global financial crisis." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E051.
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Cette thèse traite de deux nouveaux débats sur le central banking qui ont émergé après la crise financière de 2008: le débat sur les pertes financières aux bilans des banques centrales, et le débat sur le niveau élevé des taux bancaires par rapport aux taux de marché après la crise. Les deux premiers chapitres s’inscrivent dans le premier débat. Le lien entre la solidité financière des banques centrales et l’inflation est étudié empiriquement dans le premier chapitre, en se basant sur un large panel de 82 pays. Théoriquement, ce lien est potentiellement présent lorsque le gouvernement ne soutient pas financièrement la banque centrale et que celle-ci ne peut donc compter que sur elle-même pour améliorer sa situation financière. Les résultats du premier chapitre montrent qu’en pratique tel est effectivement le cas: les détériorations aux bilans des banques centrales s’accompagnent d’une inflation plus forte lorsque la banque centrale n’a pas de soutien fiscal. Les résultats ne montrent pas de lien dans un contexte général, comme la théorie le suggère. Dans le second chapitre, il est analysé et conceptualisé l’argument selon lequel une banque centrale peut mettre fin à un régime de change fixe ou quasi-fixe par peur de futures pertes financières. L’analyse est ensuite appliquée au cas du cours plancher mis en place par la Banque Centrale de Suisse (BNS) entre 2011 et 2015 vis-à-vis de l’euro. Cet argument a été avancé par beaucoup pour expliquer la fin de la politique de cours plancher en Suisse, sans qu’aucune recherche avant celle-ci n’évalue sa pertinence. Les estimations empiriques du Chapitre 2 permettent de montrer que cet argument avait une crédibilité: elles montrent que dans des scénarios crédibles, en cassant le peg avec l’euro 17 mois plus tard, la BNS aurait essuyé une perte considérable, dépassant un seuil perçu comme limite par beaucoup de banquiers centraux. Le dernier chapitre de cette thèse s’intéresse à l’écart entre les taux de dépôts et le taux de marché en zone euro (l’EURIBOR) qui est devenu significativement positif après la crise, conduisant certains à parler de « sur-rémunération » des dépôts. Ce chapitre soutient que la majorité de cet écart ne s’explique non pas par un comportement anormal des dépôts comme certains l’ont avancé, mais au contraire par une perte de pertinence de l’EURIBOR. Construisant une alternative à l’EURIBOR, ce chapitre conclut que le risque bancaire a eu une influence primordiale sur le niveau de rémunération des dépôts dans le monde d’après-crise<br>This thesis deals with the new debates on central banking which arose after the 2008 global financial crisis. More particularly, two of such debates are addressed: the debates on the financial losses in central banks’ balance sheets, and the debates on the high level of bank rates compared to market interest rates following the financial crisis. The two first chapters are related to the first debate. The link between central bank financial strength and inflation is empirically examined in a large sample of 82 countries. Theoretically, this link is potentially present when the government does not fiscally support the central bank, so that the central bank can only rely on itself to improve its financial situation. The results show that in practice central bank balance sheet deteriorations indeed lead to higher inflation when fiscal support is absent. The results, based on a particularly meticulous and consistent sample selection, do not show the presence of a link between the two variables in a general context, as the theory suggests. In the second chapter, I analyze and conceptualize the argument according to which a central bank can end a peg exchange rate regime by fear of making significant losses in the future, and I apply this analysis to the Swiss franc peg between 2011 and 2015. This argument was brought forward by many commentators to explain the Swiss move, while no research before this one did study the relevance of this argument. The empirical estimates in Chapter 2 show that this argument indeed had some credibility: under some credible scenarios the Swiss central bank would have incurred significant losses by breaking its peg 17 months later, with losses exceeding a threshold judged as relevant by many central bankers. The last chapter of this thesis focuses on the spread between deposit rates and market interest rates in the Eurozone (more specifically, the EURIBOR), which became significantly positive after the financial crisis, leading some commentators to claim that deposits were over-remunerated. This chapter upholds that the major part of this spread is not due to an « abnormal » behavior of deposits but is rather due to the fact that the EURIBOR has become irrelevant after the global financial crisis. Building an alternative to the EURIBOR, the chapter concludes that banking risks have been having a major influence on the level of deposit remuneration
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Melander, Ola. "Empirical essays on macro-financial linkages." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2009. http://www2.hhs.se/efi/summary/790.htm.
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Bulíčková, Andrea. "Audit účetní závěrky vybrané firmy." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-319479.
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The thesis deals with the audit of the financial statements of the selected company. In the theoretical part, there is the general knowledge about the auditing, the audit legislation, the procedure of financial statements audit and the auditing issues from the audited company's perspective. The next separate part concerns Austrian auditors. The practical part applies the selected audit procedures in the audited company and analyzes the preparation of the audited company for the audit. The proposal part contains the recommendations for the organization of accounting work within this preparation.
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Poramapojn, Pituwan Ratti Ronald. "On- and off-balance sheet credit risk and capital in U.S. banks evidence of unbalanced panel data /." Diss., Columbia, Mo. : University of Missouri--Columbia, 2009. http://hdl.handle.net/10355/6174.
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Title from PDF of title page (University of Missouri--Columbia, viewed on Feb 16, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Dissertation advisor: Dr. Ronald Ratti. Vita. Includes bibliographical references.
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Antipa, Pamfili. "The Interactions between Monetary and Fiscal Policies in Britain during the French Wars." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLEH080.
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Cette thèse étudie les politiques monétaires et budgétaires mises en place en Angleterre pour financer les Guerres Napoléoniennes (1793-1815). Le recours à une étude de cas historique permet d’élucider les effets de la politique fiscale sur le niveau des prix. Les variations du déficit publique affectent les prix de certains actifs et le niveau général des prix. Cet effet passe par le bilan de la banque centrale, quand cette dernière achète de la dette publique que les agents supposent ne pas être soutenue par des revenus fiscaux<br>This dissertation studies the monetary and fiscal policies implemented in Britain to finance the French Wars (1793-1815). The historical case study demonstrates how variations in the public deficit affect certain asset prices and the general price level. This effect materializes through the central bank's balance sheet, i.e. when the latter purchases public debt, which agents anticipate not to be backed by tax revenues
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Gent, John. "Abundance and scarcity : classical theories of money, bank balance sheets and business models, and the British restriction of 1797-1818." Thesis, London School of Economics and Political Science (University of London), 2016. http://etheses.lse.ac.uk/3435/.
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The thesis looks through the lens of bank balance sheet accounting to investigate the structural change in the British banking system between 1780 and 1832, and how classical quantity theorists of money attempted to respond to the ensuing financialisation of the wartime economy with its growing reliance on credit funded with paper-based instruments (the ‘Vansittart system’ of war finance). The thesis combines contributions to three separate fields to construct a holistic historical example of the challenges faced by monetary economists when ‘modelling’ financial innovation, credit growth, ‘fringe’ banking, and agent incentives – at a time of radical experimentation: the suspension of the 80-year-old gold standard (“the Restriction”). First, critical text analysis of the history of economics argues that the 1809-10 debate between Ricardo and Bosanquet at the peak of the credit boom, bifurcated classical theory into two timeless competing policy paradigms advocating the ‘Scarcity’ or ‘Abundance’ of money relative to exchange transactions. The competing hypotheses regarding the role of money and credit are identified and the rest of the thesis examines the archival evidence for each. Second, the core of the thesis contributes to the historical literature on banking in relation to money by reconstructing a taxonomy of bank business models, their relationships with the London inter-bank settlement system, and their responses to the Restriction - drawing on some 17,000 mostly new data points collected from the financial records of London and Country banks. The final section contributes to the economic history of money by constructing aggregated views of total bank liabilities from the firm-level data, scaled to recently available British GDP estimates. These are examined to establish (with hindsight) the relative merits and lacuna of the competing theoretical hypotheses postulated by political economists. It was the period of deleveraging after 1810 that revealed the lacuna of both paradigms.
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Diabate, Alassane. "Liquidity risk and fair value accounting : implications for banks capital structure, lending and stability." Thesis, Limoges, 2020. http://www.theses.fr/2020LIMO0002.
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Cette thèse comprend trois essais empiriques fondés sur des données de banques commerciales américaines. Elle vise à mettre en évidence les implications du risque de liquidité et de la comptabilisation à la juste valeur sur la structure du capital, les prêts et la stabilité des banques. Ainsi, le premier chapitre examine si les épisodes de pénurie de liquidité sur le marché influencent l'ajustement de la structure du capital des banques. Les résultats révèlent que seules les petites banques réagissent à de tels épisodes en augmentant leur ratio de capital. Pour ce faire, elles réduisent la part des prêts dans le total de l’actif, diminuent la part des actifs ayant une pondération de risque plus élevée et réduisent la taille de leur bilan. Ces résultats donnent à penser que les exigences en matière de liquidité pourraient être redondantes pour les petites banques, mais semblent nécessaires pour les grandes banques. Le deuxième chapitre analyse si l’impact d'un flux inattendu de dépôts sur la création de prêts dépend du degré d'exposition des banques au risque de liquidité provenant du hors bilan. Les résultats montrent que seules les petites banques augmentent leurs prêts lorsqu'elles sont soumises à des entrées de dépôts imprévues. Cette augmentation des prêts dépend de leur degré d'exposition au risque de liquidité découlant de leurs activités de hors bilan. Les petites banques plus exposées à ce risque de liquidité ont tendance à accorder moins de nouveaux prêts. Ces résultats indiquent que les entrées inattendues de dépôts pourraient ne pas être aussi facilement redistribuées aux emprunteurs. Le troisième chapitre examine l'effet des actifs de niveau 2 et de niveau 3 détenus par les banques sur la prise de risque et le risque d'insolvabilité. Les résultats révèlent que les banques ayant des proportions plus importantes d'actifs de niveau 2 et de niveau 3 prennent des risques plus élevés et sont plus exposées au risque d'insolvabilité. Ces résultats suggèrent que le système bancaire pourrait devenir plus fragile lorsque les investisseurs perçoivent des problèmes de fiabilité au niveau des actifs bancaires<br>This thesis comprises three empirical essays based on U.S. commercial banks’ data. It aims to highlight the implications of liquidity risk and fair value accounting on banks’ capital structure, lending and their stability. Thus, the first chapter investigates if episodes of liquidity squeeze on the market affect banks’ capital structure adjustment. The findings reveal that only small banks react to such episodes by increasing their capital ratio. To do so, they reduce the share of loans in total assets, decrease the share of assets with higher risk weights and they downsize their overall balance sheets. These results suggest that liquidity requirements might be redundant for small banks but appear to be necessary for large banks. The second chapter analyses whether the impact of an unexpected flow of deposits on loan origination depends upon the degree of banks’ off-balance sheet funding liquidity risk exposure. The results show that only small banks increase their lending when they are subject to unexpected deposit inflows. The increase in lending depends on how much they are exposed to funding liquidity risk stemming from their off-balance sheets. Small banks more exposed to such funding liquidity risk tend to extend fewer new loans. These results indicate that unexpected deposit inflows might not as easily be fueled again to borrowers. The third chapter examines the effect of banks’ holdings of Level 2 and Level 3 fair value assets on risk-taking and insolvency risk. The results reveal that banks with larger proportions of Level 2 and Level 3 fair value assets take on higher risk and are more exposed to insolvency risk. These findings suggest that the banking system may become more fragile when investors perceive reliability concerns in banks’ assets
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Sun, Jiaqi. "A modelling process of short-term interest rate risk management for the South African commercial banking sector." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6747.
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Thesis (MComm (Business Management))--University of Stellenbosch, 2011.<br>ENGLISH ABSTRACT: This study focuses on banking book interest rate risk management, more specifically shortterm
interest rate risk management problems. This type of risk is induced by the inflation
targeting policy of the South African Reserve Bank. As a result, inflation leads to an uncertain
interest rate cycle and a period of uncertain interest rate levels as it relates to lending and
borrowing products in the South African commercial banking sector.
The lending rates of most South African commercial banks are tied to the prime overdraft
rate. The borrowing rates are linked to the money market rates such as the Johannesburg
Interbank Agreed Rate (JIBAR) which is indirectly affected by the prime overdraft rate.
Hence, lending and borrowing rates are related to the repo-rate. Furthermore, a fixed
relationship exists between the prime overdraft rate and the repo-rate. The monetary policy
committee meets every two months during the year to make inflation and repo-rate
adjustments, as stipulated in the inflation targeting policy. A subject portfolio containing
fixed-rate loans, advances and floating-rate deposits is exposed to the change of the repo-rate.
This short-term banking book interest rate risk is defined based on the fact that the repo-rate
adjustment occurs every two months, the banking book risk management is short term
focused, and hedging instruments against interest rate risk are short term dated contracts. Such
a short term risk may have a negative impact on the bank’s profitability.
The study starts with a review of the bank risk management processes, and then discusses the
enterprise risk management framework that guides the formation of the risk management
processes and systems. In order to benchmark against international risk management practices,
a comparative analysis is carried out to evaluate the risk management tendencies of bank risk
management in South Africa and globally.
The empirical findings reveal that most banks (i.e. eighty per cent of all local banks) manage
the short-term interest rate risk by following the same process as the interest rate risk in
general. The key elements (risk identification, measurement, mitigation and monitoring and
reporting) of the banking book interest rate risk management are not linked together as a
systematic process. This is not in line with the Basel II Accord to manage market risks
through a process approach.
The study also proposes a generic short-term interest rate risk management framework and in doing so, addresses some of the weaknesses of current risk management practices. Based on
this framework, the South African banks may develop their own processes to manage such
short-term banking book interest rate risk exposure.
Some of the problems of bank risk management that come to light from the empirical findings,
are summarised in the last chapter and may be considered for future research.<br>AFRIKAANSE OPSOMMING: Hierdie studie fokus op die probleme van die bankboek rentekoersrisikobestuur, meer
spesifiek die korttermyn rentekoers risikobbestuursprobleme. Hierdie tipe risiko word deur
die inflasieteikenraamwerk beleid van die Suid-Afrikaanse Reserwebank veroorsaak. Dit
veroorsaak ‘n tydperk van onsekere rentekoersvlakke veral sover dit uitleen- en leenprodukte
in die Suid-Afrikaanse kommersiële banksektor aangaan.
Die uitleenkoerse van die meeste Suid-Afrikaanse kommersiële banke is aan die prima
bankoortrekkingskoers gekoppel. Die leningstariewe is aan die geldmarkkoerse soos die
Johannesburgse Interbank Ooreengekome Koers (JIBOK) gekoppel wat indirek geraak word
deur die prima bankoortrekkingskoers. Uitleen- en leenkoerse is redelik afhanklik van die
repo-koers waar laasgenoemde ‘n redelike vaste verwantskap met die prima
bankoortrekkingskoers het. Die monetêre beleidkomitee vergader elke twee maande van die
jaar om inflasie en repokoers aanpassings te maak, ooreenkomstig die inflasieteiken beleid. 'n
Bepaalde portefeulje met vasterente lenings, voorskotte en vlottende koers deposito’s is
blootgestel aan die verandering in die repokoers. Hierdie korttermyn rentekoersrisiko van die
bankboek word gedefinieer op grond van die feit dat die repo-koers aanpassing elke twee
maande gebeur. Die bankboek risikobestuur het ‘n korttermyn fokus, en
verskansingsinstrumente teen rentekoersrisiko is korttermyn kontrakte. So 'n korttermyn
risiko kan 'n negatiewe impak op die bank se winsgewendheid hê.
In hierdie studie word bankrisikobestuur prosesse beskou. Die risikobestuursraamwerk wat
die basis vorm van die risikobestuursprosesse en stelsels word aangespreek. Om 'n idee te
vorm van die huidige internasionale risikobestuurspraktyke of tendense by banke, word die
state van internasionale en oorsese banke kortliks beskou.
Die empiriese bevindinge uit die opname dui daarop dat die meeste banke (d.w.s tagtig
persent van alle plaaslike banke) die korttermyn rentekoersrisiko nie afsonderlik van
rentekoersrisikobestuur in die algemeen bestuur nie. Die sleutelelemente van die
risikobestuursproses (risiko identifisering, mitigasie, implementering, monitering en
verslagdoening) kom wel voor maar die bankboek rentekoersrisikobestuur is nie gekoppel as
'n sistemastiese proses nie. Dit blyk dat hierdie situasie na alle waarskynlikheid nie in lyn is
met die Basel II akkoord om markrisiko's deur 'n prosesbenadering, te bestuur nie. Die studie stel ook ‘n generiese raamwerk voor vir die bestuur van korttermyn
rentekoersrisiko wat dan ook van die swakhede van die huidige risikobestuurspraktyke
aanspreek. Op grond van hierdie raamwerk, kan die Suid-Afrikaanse banke dit oorweeg om
hul eie prosesse te ontwikkel vir die bestuur van bankboek rentekoersrisiko blootstelling.
Sommige navorsingsprobleme van bank risikobestuur wat uit die empiriese bevindinge aan
die lig gekom het, word in die laaste hoofstuk opgesom en kan vir verdere navorsing in die
toekoms oorweeg word.
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Draisaitl, Michael. "Krize eurozóny a její paralela s japonskou ztracenou dekádou." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-193206.
Full textAbstract:
The thesis analyses problems of eurozone after the beginning of financial crisis in 2008, which continuously changed into economic and debt crisis. The thesis considers eurozone in aggregate and closer focuses on so called GIIPS (Greece, Ireland, Italy, Portugal, Spain) countries. Recent eurozone economic situation is compared to Japanese "lost decade" during 1990s, I seek for parallels and differences. Theoretical part shows approaches by economic schools to causes of cycle and to role of policymakers. Main challenges of fiscal and monetary policy are considered, specifically fiscal policy in time of high public indebtedness, monetary policy in liquidity trap etc. Applicative part considers causes of the economic situation at the beginning, more specifically devoted to balance sheets recession. Key part of the practical part it is analysis of applied fiscal and monetary policy, including helping efforts to financial system. Concluding remarks summarizes key understanding from the thesis, proposals are included and it is considered whether eurozone is going to follow Japanese path since 90's or not. It seems highly probable that eurozone is going to follow Japanese in terms of sluggish economic growth, parallels can be seen in weak impact of monetary policy in liquidity trap, but recommendations to fiscal policy from Japanese experience should be taken into account in very cautious way because of both specifics of eurozone and Japanese economy.
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LIN, YI-JU, and 林怡茹. "The Study of Off-Balance-Sheet and Bank Risks." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/20724876883698416842.
Full textAbstract:
碩士<br>國立臺北大學<br>企業管理學系<br>104<br>Global financial institutions increasing their off balance sheet activities will
make the bank’s performance better by earning the noninterest incomes or help
banks to make risk management well or increase bank risks and causes the financial
crisis? Therefore, our study is to analysis global commercial banks’ off balance
sheet activities and relation with bank risks. The contributions are classifying the off
balance sheet activities, and the samples are cross American, Europe, and Asia in
the same time.
First, I collect the data from banks financial reports and classify off balance
sheet activities into four categories includes OBS, contingent liabilities,
commitment, and derivatives. Then, discuss each categories the relationship with
bank risks. Second, analysis different period, before financial crisis and during
financial crisis, how off balance sheet activities changes will effect banks risk. Last,
the data I collect cross three states, so we analysis the different regions, and how off
balance sheet activities will effect bank risk.
According our study, derivatives will help banks to reduce failure risk, total
risk, and insolvency risk. Also, we can find that commercial banks use more
derivatives than other off balance sheet activities. And other off balance sheet
activities will increase bank risks. Next, the results of how off balance sheet
activities will affect bank risks in different periods. During the financial crisis,
commercial banks significantly decrease off balance sheet activities to decease bank
risks. Commitments will increase total risk. Derivatives can help banks to hedge
before and during financial crisis. We also find out that some of the hedging
becomes insignificantly, because banks decrease the quantities of derivatives.
Last, the results of how off balance sheet activities will affect bank risks in different
regions. Derivatives can help banks to hedge in different states. This result is
consistent with previous results.
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Tsai, Ji-Yi, and 蔡吉益. "The Study of Off-Balance-Sheet Financial Derivatives and Bank Risks." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/61991581234665215138.
Full textAbstract:
碩士<br>國立臺北大學<br>金融與合作經營學系<br>101<br>Numerous studies have evaluated the relationship between the financial derivatives and bank risks and have provided inconsistent conclusions. Alternative to the previous literature, we apply Vector Autoregression Model (VAR) to explore the dynamic relationship between financial derivatives and bank risks for 29 Taiwan banks using monthly bank financial data, from January 2006 to December 2012.
Our results suggest that both off-balance-sheet activities and total derivatives activities may reduce bank’s total risks effectively in the long run. If we further examine the dynamic relationships between bank risks and various derivatives activities, including interest trading derivatives activities, exchange trading derivative activities, interest non-trading derivatives activities and exchange non-trading derivatives activities. We find that bank’s exchange risks cannot be reduced effectively through any derivatives activities. Also, all derivatives activities may reduce bank’s interest risks effectively. The interest trading derivatives activities may reduce bank’s credit risks while interest non-trading derivatives activities increase bank’s credit risks. At the end, the interest non-trading derivatives activities may increase bank’s total risks.
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Gooley, Nathan John. "Evergreen, bank funding & liquidity management." Thesis, 2016. http://hdl.handle.net/1959.13/1310643.
Full textAbstract:
Research Doctorate - Doctorate of Business Administration (DBA)<br>Government mandated institutions in Australia and Canada have continuously progressed banking regulation throughout time by making gradual alterations to prudential frameworks and supervisory practices. This has included the prompt domestic adaptation of the three Basel accords. A main objective is to ensure banking organisations become more resilient to stresses that impact their capital and liquidity adequacy. Banking organisations are faced with the task of transforming their balance sheets and funding profiles to not only strengthen their balance sheets but to curb heighted liquidity costs that have been brought on by regulatory reform. A review of existing literature on the components of bank funding, liquidity and procyclicality recognises their significance in ensuring individual bank stability and the prevarication of broader systemic implications in the wider economy. This dissertation has examined the historical evolution of the regulatory environments in both Australia and Canada and compared the components of bank balance sheets that offer insights into their funding preference and liquidity holdings, and provide early indicators for procyclicality within the banking sector. It has also had the goal of developing existing research and knowledge of liquidity stresses within bank balance sheets. This research has endeavoured to further balance sheet innovation, through action research that has been carried out over a five year period, to provide banking organisations with options to alter their balance sheets in order to meet the Basel III package of reforms and better deal with liquidity pressures, such as those that were evident in many countries throughout the most recent financial crisis. A new methodology for balance sheet transformation under Basel III, “<i>evergreen</i>” is articulated, with a suite of evergreen asset and liability products and balance sheet exposures being assessed for impact and acceptance within the banking industry. Verification of the evergreen method is demonstrated by the banking industry including it within their strategy for future balance sheet innovation; banks designing and constructing evergreen capability; the regulator encompassing it within prudential standards; and widespread acceptance of evergreen by investors and other financial market participants. Whilst components of evergreen are increasingly becoming a greater part of the banking industry within Australia, it is recognised that the concepts and models of evergreen, are at a primary juncture in their development and require substantial additional focus and research. The usefulness of this dissertation will be established through the particulars of future research settings and must be appraised to the degree that it appears correct, original and apt. Regarding deposits, this dissertation finds that: the existence of voluntary deposit insurance schemes would allow the competitive landscape for retail deposits to become about more than just price; operational deposits are not immune from procyclical competition; Australian banks have a much greater appetite and tolerance for at-call deposit raising; liquidity regulation has permanently shifted the ‘market rate’ for deposit funding above its ‘natural rate’; and foreign currency deposit raising may lead to banks running unhedged positions or developing a larger reliance towards United States Dollars. For wholesale funding, it is observed that: liquidity regulation has increased the reliance of banks on domestic financial markets to fulfil their financing needs; the volume of short-dated prime bank paper being issued in Australia has declined where there are consequences for the Bank Bill Swap Rates; and large differentials in the semi/quarterly spread can substantially impact the profitability of banking book products. The domestic implementation of the Basel III package of reforms on liquidity in both Australia and Canada has, in many ways, imitated the historical approach taken towards bank capital regulation. This dissertation deducts that, as there is for capital, the concept of ‘regulatory’ and ’economic’ liquidity now exists. Furthermore, regulation has introduced a predisposition to government bonds, which may have unintended consequences for both government sponsored issuers and bank investors. Finally, procyclicality must be monitored and managed by the government sponsored institution tasked with the role of implementing monetary policy, rather than institutions that implement and enforce prudential regulation.
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Fanico, Manuel do Carmo Lopes. "Essays on banks liquidity risk." Doctoral thesis, 2020. http://hdl.handle.net/10071/22405.
Full textAbstract:
The most adequate measure for banks liquidity is still to be defined and remains a subject
susceptible to various studies and analyzes, by regulatory authorities, financial institutions and
academics.
This thesis is thus composed of three research articles on bank liquidity. The first article is
in chapter 2 and aims to analyze the evolution of bank balance sheet structures from 2003 to
2015. The scope includes a global analysis for the entire sample period and the pre-crisis, crisis
and post-crisis periods. The study aims to clarify the evolution of banks' financial statements,
identifying possible structural breaks and patterns, together with the revelation of trends,
through liquidity risk. Despite all the studies and analyzes carried out, this work contributes to
the compilation and systematization of a data panel referring to commercial banks worldwide.
Regarding long-term liquidity, it was found that only 10% of the commercial banks analyzed
comply with the recommendations of the regulators. It was also noted the impact of balance
sheet variables on liquidity.
The second article is in Chapter 3 and for the period from 2003 to 2015 aims to identify
and analyze the liquidity determinants. The results of the analysis show that the size of the bank,
capitalization, credit quality, sources of financing, profitability and efficiency can have an
impact on the management of long-term liquidity risk. It was also found that capitalized banks
have better long-term liquidity, which translates into more stable institutions and better able to
deal with systemic crisis scenarios.
The third article is in Chapter 4 and aims to provide information on measuring systemic
liquidity risk through the “Liquidity Mismatch Index”. The result of the analysis made it
possible to consider the “Liquidity Mismatch Index” as a good approach to be used as a measure
of systemic liquidity risk.<br>A medida mais adequada para a liquidez das instituições financeiras continua por definir e
mantem-se um tema suscetível a diversos estudos e análises, quer por parte das autoridades
reguladoras, quer por parte das instituições financeiras quer por parte dos académicos.
Esta tese é assim composta por três artigos de investigação sobre a liquidez nos bancos. O
primeiro artigo consta do capítulo 2 e tem como objetivo analisar a evolução da estrutura do
balanço dos bancos de 2003 a 2015. O intervalo de tempo inclui uma análise global para todo
o período da amostra e os subperíodos de pré-crise, crise e pós-crise. O estudo pretende
esclarecer sobre a evolução das demonstrações financeiras dos bancos, identificando possíveis
quebras estruturais e padrões, juntamente com a revelação de tendências, através do risco de
liquidez. Apesar de todos os estudos e análises realizados, este trabalho contribui para a
compilação e sistematização de um painel de dados referente a bancos comerciais a nível
mundial. Em relação à liquidez de longo prazo constatou-se que apenas 10% dos bancos
comerciais analisados cumprem com as recomendações dos reguladores. Constatou-se também
sobre o impacto das variáveis de balanço na liquidez.
O segundo artigo consta do capítulo 3 e tem por objetivo, para o período de 2003 a 2015,
esclarecer sobre os determinantes da liquidez. Os resultados da análise evidenciam que o
tamanho do banco, a capitalização, a qualidade do crédito, as fontes de financiamento, a
rentabilidade e a eficiência podem ter impacto na gestão do risco de liquidez de longo prazo.
Constatou-se também que os bancos capitalizados têm uma melhor liquidez de longo prazo que
se traduz em instituições mais estáveis e mais aptas a lidar com cenários de crise sistémica.
O terceiro artigo consta do capítulo 4 e tem por objetivo fornecer informação sobre a
medição do risco sistémico de liquidez através do “Liquidity Mismatch Index”. O resultado da
análise efetua permite avaliar o “Liquidity Mismatch Index” como uma medida alternativa para
ser utilizada como indicador de risco sistémico de liquidez.
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Chang_Lung, Liu, and 劉昌隆. "The Effects of Off-Balance-Sheet Financial Derivatives on Banks'' Risk." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/52589430610965416529.
Full textAbstract:
碩士<br>大葉大學<br>事業經營研究所<br>92<br>The international financial environment is fast changing and the local banks compete intensively. The demand for financial manipulation and hedging causes financial derivatives to become one of niche businesses of the banks. The Basel Accord assumes the off-balance-sheet activities to increase the bank risk and gives the weights. The rates of the weights range from 0﹪ to 100﹪to risk-based capital. However, the findings of many empirical studies on the relation of off-balance-sheet activities and bank risk reveal their negative relationship instead. The main purpose of this research is to analyze the effects of off-balance-sheet financial derivatives on banks’ risk.
The measures for risk include beta risk, equity risk, and implied volatility in this study. The sample consists of exchange-traded and OTC banks that are involved with the financial derivatives from 1998 to the third quarter of 2003. The regression models take into account the cross-section and time series effects simultaneously in the panel data methods so as to examine the influence of trading financial derivatives on the risk of banks. The results show that negative relationship exists between financial derivatives and bank risk； that is, involving with off-balance-sheet financial activities reduces the risk of banks.
The results also imply that the assumption that the Basel Accord sees the financial derivatives could increase the bank risk is probably unreasonable. Therefore, bank regulators should rethink the effects of financial derivatives on bank risk when assigning the weights to risk- based capital. On the other hand, based on the capital gap management, the best way to improve the deposit-loan structure is to take advantage of interest rate swap, futures, options, and asset securitization. Information disclosure and financial supervision is worthy another thought.
26
Tsai-Lien, Yeh, and 葉彩蓮. "Off-Balance Sheet Activities and Cost Inefficiency in Taiwan''s Banks." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/88704403051888634833.
Full textAbstract:
博士<br>國立臺灣科技大學<br>企業管理系<br>93<br>In this study, we adopt a stochastic cost frontier method to investigate the influence of off-balance sheet (OBS) activities on cost efficiency of Taiwan’s banks. We estimate and compare cost inefficiency with or without OBS outputs of 46 Taiwanese commercial banks during the period, 1998 through 2001. The conclusions of this empirical study are: First, omitting off-balance sheet outputs in estimating the cost frontier function of banks results in an underestimation of bank efficiency by approximately 5%. Second, large banks are associated with a higher cost efficiency and have an increased ability to develop OBS activities. This is consistent with Taiwan’s regulatory policies, which focus on promoting efficiency in the banking industry of emerging markets. Third, a high concentration of market power can reduce cost efficiency, banks with higher employee productivity are also more cost efficient. Fourth, the correlation between cost inefficiency and non-performing loan ratio is significantly negative, revealing that banks are more efficient when associated with a higher bad loan. This may be due to the fact that banks allocate fewer resources to credit information gathering. Finally, we observe evidence of economies of scale in both models with or without OBS specification in Taiwan’s bank industry. Economies of scope between loans and OBS outputs are also observed.
27
Grigiac, Yonathan. "Portuguese banks and the economic adjustment programme: balance sheet adjustments and impact on profitability." Master's thesis, 2014. http://hdl.handle.net/10362/14904.
Full textAbstract:
Double Degree. A Work Project presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics and a Masters Degree in Finance from Louvain School of Management<br>This thesis studies the different strategies and initiatives followed by Portuguese banks to achieve the targets set by the economic adjustment programme and their impact on the banking sector’s profitability. I analyse what banks have undertaken in terms of capital level and other sources of financing. I also address the issue of deleveraging by studying the evolution of the loan portfolio as well as risk weighted assets. Finally, I analyse the impact of those changes on the bank’s net interest incomes and cost to income ratio. Using a sample composed of four major Portuguese banks, I conclude that banks have become safer but still need to make some effort to achieve stability.<br>NSBE - UNL
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Шишкін, В. Г. "Управління ліквідністю банку та оптимізація фінансового результату". Thesis, 2019. http://dspace.oneu.edu.ua/jspui/handle/123456789/11083.
Full textAbstract:
У роботі розглядаються теоретичні аспекти ліквідності та оптимізації фінансових результатів діяльності банку; виявлення факторів впливу на банківську ліквідність; оцінка діючої системи нормативів та додаткових показників ліквідності, прибутковості банку; визначення елементів управління ліквідністю банку.
Проаналізовано сучасні тенденцій управління ліквідністю; досліджено процес регулювання ліквідності у конкретному банку; зроблена оцінка фінансових результатів діяльностібанку.
Запропоновано напрямки покращення використання трансформаційних властивостей ресурсів, пропозиції щодо удосконалення процесу управління ліквідністю банку, оптимізації фінансових результатів його діяльності.<br>Diploma thesis deals the theoretical aspects of liquidity and optimization of financial results of a bank; identified factors affecting bank liquidity; the current system of standards and additional indicators of liquidity and profitability of the bank were evaluated; elements of bank liquiditymanagement have been identified.
Current trends in liquidity management have been analyzed; the process of regulating liquidity in a particular bank is investigated; the financial results of the bank's activity are evaluated.
Directions for improving the use of transformational properties of resources, proposals for improving the bank's liquidity management process, optimizing the financial results of its activities are offered.
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LEXA, David. "Nekonvenční měnové politiky v teorii a empirii." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-173787.
Full textAbstract:
The Diploma thesis deals with unconventional monetary policies,that important central banks used in order to cope with global financial and economic crisis in recent years. Goals of the paper is to introduce the most significant unconventional monetary policies, analyze their effectivity in selected countries (Japan, USA, Great Britain, eurozone and Czech republic), and statistically test impact of these nonstandard approaches on international trade.
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Kuan, Tzu Ling, and 官姿伶. "The Analysis on the Impacts of Liquidity Regulations under BASEL III on Banks’ Balance Sheet Structures：Evidence from Taiwan." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/59922598134105066787.
Full textAbstract:
碩士<br>國立政治大學<br>金融研究所<br>104<br>After financial crisis, the turmoil in global financial markets raises issues with macroeconomic policies, financial stabilities and regulations. Hence BASEL III has been introduced. BASEL III is a comprehensive set of reform measures, proposed by the BASEL Committee on Banking Supervision (BCBS). It builds on the BASEL I and BASEL II documents, and seeks to enhance the banking sector's ability, improve risk management and banks' transparency. Besides, it introduced two required liquidity ratios, i.e. the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). This paper investigates the impact of new liquidity regulations on banks’ balance sheet structure by two methodologies. First, we study the case of bank in Taiwan to find out how LCR affects bank’s operation. Secondly, we select 18 commercial banks in Taiwan and classify them into three categories based on the type of ultimate controller to tell differences among three samples concerning the components of NSFR. Finally, we applied NEWEY-WEST HAC method with samples of 18 commercial banks in Taiwan to figure out the factors that may affects bank’s risk-taking, we utilize and analysis each bank’s financials during the period from 2010 to 2013. Our results show that the object of the study can reach the minimum requirement of LCR. Besides, BASEL III capital stability requirement, if implemented in the sample period, probably would diminish risk-taking by banks. This research can also provide banks with the information about how the liquidity regulations affect banks’ balance sheet structure.
31
HUNG, SHENG-YUAN, and 洪聖淵. "The Impact of Off-balance Sheet Activities on Taiwan''s Banks Performance: An application of ARCH-M Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/51373833942899799981.
Full textAbstract:
碩士<br>國立中山大學<br>財務管理學系研究所<br>100<br>This paper investigates the influence of the shares of non-interest income and the diversification, which result from off-balance sheet activities, on the performance of banking in Taiwan. I also use ARCH-M model in this study. The sample period is from January 2000 to December 2011. I find that all sample banks and private banks do not benefit from off-balance sheet activities, but government banks benefit from off-balance sheet activities. In this paper, I also use CUSUM test to find the structural breakpoint and discuss the situation in accordance with it. The result shows that the structural breakpoint is at July 2002, which closes to the founded time of lots of financial holding companies. After the structural breakpoint, the positive impact of shares of non-interest income and diversification on the performance disappear.
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PAULUS, Jan. "Trh s hypotečními zástavními listy a trh hypotečních úvěrů." Master's thesis, 2008. http://www.nusl.cz/ntk/nusl-48985.
Full textAbstract:
This thesis deals with the problem of banks in connection with mortgage loans and mortgage bonds. Its main aim is the research and analysis ot the market with mortgage bonds and mortgage loans in the Czech and Slovak Republic. The work also takes into concern the so discussed integration of European mortgage markets. The thesis is divided into five chapters. The first two chapters are theoretical and are focused on the legislature and the feature of bonds and mortgage bonds. One of the components is the problem of mortgage banks and mortgage loans. The practical section is divided into three chapters. The first chapter is focused on the position of mortgage banks in the Czech and Slovak Republics in the framework of the bank´s sector in the given country. The banks are evaluated on the basis of economic criteria including balance sheets, net profit, initial capital, capital feasibility, number of branches and number of employees. The final part of this section is the evaluation and comprison of the Czech and Slovak bank sectors and their comparison with the European Union. The second chapter deals with entities conducting in the field of mortgage banking and the evaluation of their position in the framework of the Czech and Slovak Republic. The third chapter evaluates the present state and predicts further developments of the bank market in the area of mortgage bonds and mortgage loans. The problem of the integration of mortgage markets in the European Union is included.
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Kuo, Hsien-chung, and 郭獻中. "Empirical Study on the Relationship of the Off-balance Sheet to Risk for Banks which are Listed on the Stock Market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/59165050820559625116.
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