Dissertations / Theses on the topic 'Capital adequacy ratio management'

Philosophiae Doctor - PhD
In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods.

Dans l'industrie bancaire, plusieurs études ont montré l'existence de la gestion du ratio de solvabilité. Toutefois, elles se sont focalisées pour l'essentiel sur la manipulation des provisions et avancent généralement que la gestion du ratio de solvabilité est mise en œuvre en vue d'éviter les coûts réglementaires associés à un ratio inférieur au seuil minimum. Notre thèse examine la pratique de gestion du ratio de solvabilité à travers les ajustements prudentiels qui sont des retraitements que la banque doit opérer pour passer des fonds propres comptables aux fonds propres réglementaires. Les ajustements prudentiels sont composés de déductions et de filtres prudentiels destinés à atténuer l'impact de la volatilité des fonds propres induite par la juste valeur liée à l'application des IFRS. Adoptant une démarche diachronique et une approche instrumentale, l'étude se base sur un échantillon de banques européennes et utilise des méthodes de régression par données de panel, ainsi que des tests de robustesse tels que le bootstrap et la régression quantile. Le principal apport de cette thèse est de montrer que la transformation de l'information comptable en information réglementaire passe par les ajustements prudentiels qui constituent un pont sur lequel une gestion opportuniste du ratio de solvabilité peut être effectuée à travers des variables relatives à la qualité du capital et à la performance opérationnelle de la banque. L'étude montre que la gestion du capital n'est pas l'exclusivité des banques présentant un ratio faible. Enfin, elle permet de ne plus considérer le ratio de solvabilité comme une boîte noire et de l'examiner à travers ses composantes
Through Earnings Management practices applied to banking industry, several studies have shown existence of Capital Adequacy Ratio Management (CARM). However, they are mainly focused on loss loan provision (LLP) manipulation's and suppose that Capital adequacy ratio management motivation is to reduce regulatory costs imposed when the bank's capital adequacy ratio falls below the minimum. This thesis deals with the possibilities of banks to manage the regulatory ratio via the prudential adjustments, which are corrections made to equity items in the statement of financial position, to safeguard the quality of the supervisory capital and to reduce potential volatility induced by fair value accounting (application of IFRS). Adopting diachronic and instrumental approaches, the study is based on a sample of European banks and uses regression methods by panel data and bootstrap and quantile regression as post estimation and robustness tests. The main contribution of this thesis is to show that the necessary transformation of accounting information into regulatory information by prudential adjustments constitutes a bridge on which a timely CARM could be carried out through variables relating to the quality of the capital and the operational performance of the bank. Furthermore, the results show that CARM is not exclusively dedicated to banks with ratio close to minimum. Finally the results make possible to no longer consider the capital adequacy ratio as a black box and to examine it through its components

Historically, banks have always had a central role in the economy. Their decisions do not only affect their shareholders and customers but the whole economic system. As a consequence, the financial crisis of 2007-2008 has shown that bank management is a huge matter and that the failure of one bank can affect tremendously the whole banking system and the economy. For these reasons, banks need to be regulated by external organisations that constrain them to adjust their regulatory capital via their risk weighted assets. This paper examines the significant factors of the spread between the scenarios on Common Equity Tier 1 (CET1) of the 2016 stress test for EU banks. CET1 is a component of capital adequacy ratio and measures the connections between capital euntens’ris-weighted assets. On a methodological standpoint, this research is based on a positivist approach this meaning that a quantitative analysis has been performed. The sample used in this research is composed of 51 banks from 15 countries across EU and European Economic Area. All of these banks have been analysed by the European Banking Authority (EBA) which has conducted stress test in order to assess CET1 as regards to Basel III framework. The researchers have elaborated a conceptual model in order to select the most relevant variables that might affect the spread of CET1. The hypotheses are based on previous researches and take into account the following independent variables: Size, Stock Exchange Listed, Leverage ratio, Loans on Assets, Net Interest Margin, Risk-Weighted Assets to Total Assets and Profitability. Simple linear regression and multiple linear regressions have been performed to test the impact of all the independent variables on the spread of CET1. The statistical analyses have revealed that there are no significant relationships between the selected variables, except for size that has a significant negative impact on the spread as part of the multiple regression. Therefore, none of the hypotheses can be supported. These results provide new insights in the banking sector and to a larger extent for finance. They may be considered as a basis for future research on the spread of CET1.

This thesis shows the changes the new Basel III banking regulation from the original Basel II regulation in Czech and European legislation. The next section brings the results of foreign studies concerning the effect of changes in spreads on lending rates, gross domestic product and unemployment. These studies are based on various input data and assumptions. The practical part analyzes three selected Czech banks through scenarios and identifies possible impact of the new regulation in lending rates in 2012 - 2019th.

Mestrado em Finanças
O Turismo é uma atividade económica importante em muitos países do mundo, mas assume um papel fundamental em países de pequena dimensão como Portugal dado o impacto positivo na economia através da criação de emprego e riqueza. Este estudo pretende investigar os determinantes dos current ratio na indústria do turismo em Portugal. A análise baseou-se nos dados extraídos dos relatórios de contas anuais das empresas de turismo Portuguesas no período de 2010-2013. De modo a testar a hipótese presente neste estudo foi utilizado um modelo robusto de análise de dados em painel, no qual se usou as metodologias OLS, efeitos fixos e efeitos aleatórios. Os resultados do primeiro modelo, utilizando a metodologia de efeitos aleatórios, revelam um impacto positivo e estatisticamente significativo no current ratio por parte a rentabilidade e a idade, e negativo no caso da alavancagem financeira, tamanho da empresa, número de dias de contas a pagar e número de dias de inventário. O segundo modelo apresenta um impacto positivo da rentabilidade, idade e ciclo de conversão de liquidez, e negativo da alavancagem financeira e tamanho da empresa sobre a variável dependente. Estes resultados são consistentes com vários estudos anteriores, embora não haja provas estatisticamente significativas da relação entre o número de dias de recebimentos e o current ratio.
Tourism is an important economic activity in most countries around the world but, for small countries like Portugal, it has a fundamental role due to its positive impact in the economy through the creation of jobs and wealth. This study aims to investigate the determinants of current ratio on the Portuguese tourism industry. The analysis was based on data extracted from the annual reports of the Portuguese tourism companies for the period of 2010-2013. In order to test the study hypothesis a robust panel data analysis was used, including pooled OLS, fixed effects and random effects methodologies. The results from the first model, using the random effects methodology, reveal a significant positive statistical impact on current ratio by profitability and age, and a negative by leverage, size, account payable days and inventory days. The second model presents a positive impact of profitability, age and cash conversion cycle and a negative of leverage and size on the dependent variable. These findings are consistent with several previous studies, although there is no prove of statistically significant relationship between account receivable days and current ratio.

Research issue: The transition from Basel II to Basel III becomes consuming for banks, financially. But Basel III should be profitably for financial market economy. Risks in the financial world is very complex. Is Basel III is sufficient to manage risk and future crises Purpose: The purpose of this paper is to examine the application of Basel II and the transition to Basel III in Sweden with the banking system in focus. Method: The study has a qualitative research methodology for the collection of empirical data. The study is based on interviews with four large banks of Sweden (Swedbank, SEB, Nordea, Handelsbanken) and with Finansinspektionen. We also used previous studies, books and rapports. Conclusions: Basel has no direct connection to the profitability of the banks. The translation to Basel III was an obvious step for a more stable financial market. With Basel III it became more expensive for the banks; the more cost the less returns and hence led dividends for shareholders. But the banks will not bear the costs themselves, the costumers will get affected. Banks have begun to adapt to Basel III. There are requirements to save equity immediately not only in crisis. Which leads to the return is not likely to be lowered at bad times.

I ett försök att förhindra framtida bankkriser och göra banker stabilare mot svängningar i ekonomin upprättade Baselkommittén 1993 ett regelverk som kom att benämnas Basel-1. Bankerna skulle bli stabilare genom att stärka kapitaltäckningsreglerna. Dessa regler lyckades inte uppnå sitt syfte och regelverket ansågs otillräckligt. Nya regler utformades och Baselkommittén arbetade fram ett åtstramat regelverk, Basel-2. Den finansiella krisen 2008 visade dock att även Basel-2 regelverket var otillräckligt. Med anledning av detta så har nu Baselkommittén arbetat fram, nya, mer åtstramade regler med högre kapitalkrav för banker som kommer att införas med start 2013 och som kallas Basel-3. För att få en förståelse för hur Basel-3 kan komma att påverka bankerna och några av dess intressenter har två problemformuleringar tagits fram. Hur tror bankkontorschefer att banker kommer att påverkas av det nya regelverket Basel-3? Hur tror bankkontorschefer att deras kunder kommer att påverkas av det nya regelverket Basel-3? Studien har avgränsat sig till banker på Gotland och intervjuer är gjorda med kontorschefer på Handelsbanken, Nordea och Swedbank. Detta för att få svar på hur de tror att regelverket kan komma att påverka bankerna och deras kunder. Vi har använt oss av noggrant utvalda frågor och skapat ett frågeformulär som besvarats av respondenterna. I teoridelen presenteras intressentmodellen för att få en ökad förståelse för vilka intressenter som kan beröras av en organisations förändringar. Den intressent vi tittar närmare på är framförallt bankens kunder. Teori om Baselregelverken baseras i huvudsak på rapporter och artiklar från Sveriges Riksbank, Finansinspektionen och Basels respektive hemsidor. Undersökningen visar att regelverket Basel-3 kommer påverka bankerna och deras kunder på flera sätt. De högre kapitalkraven samt de nya likviditetsreglerna innebär att bankerna måste skaffa mer kvalitativt kapital för att kunna stå emot negativa förändringar i ekonomin. Detta kräver att bankerna måste förändra sina risksystem vilket leder till höga kostnader. Respondenterna tror att dessa kostnader framförallt kommer att läggas på kunderna genom högre räntor. De tror även att regelverket Basel- 3 kommer att påverka de mindre bra kunderna genom att det blir svårare för dessa att få lån.
To prevent the emergence of bank crises and to help banks resist turbulent economy, the Basel Committee created a regulation framework. This framework was introduced in 1993 and was called Basel-1. During the years this framework has been changed to suite new situations. The latest change was done after the financial crises in 2008 and is going to be implemented in 2013. This, latest edition is called Basel-3 and includes among other things a strong capital requirement. Before the implementation of Basel-3 many questions has come to light. To answer some of these, two problem formulations have been created in this thesis. How do the bank office managers think that they will be affected by the new regulations of Basel-3? How do the bank office managers think that their customers will be affected by the new regulations of Basel-3? To seek the answers to these questions, three bank directors have answered quite many questions in interviews and by e-mail. These answers have been formed and put together to get an idea of what they think will happen when the new regulations of Basel-3 will be implemented. When analyzing these answers the authors have found out that both the banks and their customers probably and already have been affected by these new regulations in quite many ways.

The aim of my thesis is to evaluate the risk management system of Czech banks according to the Basel II rules. In my thesis I also deal with the ability of the Czech banking system to accept new Basel III rules. The first part of my thesis focuses on definition of risks and methods of risk management according to Basel rules. They discuss diferent risks that they fall within activity to the rules on the capital adequacy of the bank. The second part of thesis focuses on characteristics of Basel II and III and how the rules are implemented to the law of the EU and then to the law of Czech Republic. Part of the second part is also shortages of Basel II. On this shortage, Basel Committee on banking supervision responded to introduce new accord Basel III. In the final part, both of part is connected on the samples of three banks. After analysis, the thesis rates readiness Czech banks on the new capital accord and new risk management. The thesis summarizes readiness of the Czech banking system on the Basel III rules.

The master's thesis is devoted to assessment and analysis of the economic capital of a commercial bank in conditions of increasing risk load. The purpose of the research is to develop a methodological approach to assessment of economic capital based on the account of typical banking risks. The paper concludes that the amount of economic capital, which includes all types of risks, may exceed the amount of regulatory capital. Proper assessment of "risk capital" directly affects the financial stability of a credit institution.
Магистерская диссертация посвящена вопросам оценки и анализа экономического капитала коммерческого банка в условиях повышения рисковой нагрузки. Целью исследования является разработка методического подхода к оценке экономического капитала на основе учета типичных банковских рисков. В работе сделан вывод о том, что величина экономического капитала, включающая все виды рисков, может превышать величину регулятивного капитала. Грамотная оценка «капитала под риск» напрямую влияет на финансовую устойчивость кредитной организации.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009.
ENGLISH ABSTRACT: Tobin's q value is widely used by financial analysts as a performance indicator ratio. The market value of a firm over the replacement cost of fixed assets and inventory serves as an indication of whether value is created by investing internally in the firm, or whether value is destroyed by investing in negative net present value projects. Where Tobin's q is greater than one (q > 1), the market value of the firm is greater than what it would cost to replace fixed assets and inventory. Therefore value is created. Firms that have a Tobin's q value of less than one are advised to pay dividends rather than invest in negative net present value projects. Over 200 different methods exist of calculating Tobin's q. By increasing the complexity of the algorithm to determine q, very little is achieved to improve the measurement quality. A strong link exists between excess market returns, free cash flow spending announcements and Tobin's q value for the firm. Firms with a high Tobin's q value should ensure that good investment possibilities are pursued. The use of internal funds to fund new investment is viewed in a positive light by the market and above average returns are generated. Firms with a high Tobin's q value and high free cash flow show lower returns. These lower returns happen as a result of the market recognising the firm's failure to capitalise on favourable internal investment opportunities.
AFRIKAANSE OPSOMMING: Tobin se q-waarde word wyd gebruik as prestasie aanwyser deur finansiele ontleders. Die markwaarde van 'n firma gedeel deur die vervangingskoste van vaste bates en voorraad, dien as 'n maatstaf om aan te dui of waarde geskep word deur intern in die firma te belê en of waarde vernietig word deur in projekte met 'n negatiewe netto teenswoordige waarde te belê. Waar Tobin se q-waarde groter is as een (q > 1) is die markwaarde van die firma groter as wat dit sal wees om die vaste bates en voorraad te vervang. Sodoende word waarde geskep. Firmas met 'n q-waarde van minder as een word aanbeveel om eeeder dividende uit te betaal as om die beskikbare fondse in projekte met 'n negatiewe netto teenswoordige waarde te investeer. Meer as 200 verskillende metodes bestaan om Tobin se q-waarde te bereken. Deur die kompleksiteit van die algoritme te vergroot om q te bereken, dra min by tot groter akkuraatheid van die meting. 'n Sterk verband bestaan tussen bo-gemiddelde markopbrengste, aankondigings oor die besteding van vrye kontantvloei en die Tobin q-waarde van die firma. Firmas met 'n hoë Tobin q-waarde moet verseker dat goeie investeringsgeleenthede aangegryp word. Die gebruik van interne fondse om nuwe investering te finansier word deur die mark in 'n positiewe lig beskou en bogemiddelde opbrengste word gelewer. Firmas met 'n hoë Tobin q-waarde en hoë vrye kontantvloei toon laer opbrengste. Hierdie laer opbrengste is as gevolg van die mark wat besef dat die firma nalaat om gunstige interne investeringsgeleenthede te gebruik.

The diploma thesis is focused on analysis of the banking portfolios quality evolution of the Czech market in observed period from 2004 to 2014. In the first part related regulatory rules and their changes are defined. The rules are listed for the categorization of the receivables due from customers, the creation of allowances, the portfolio concentration and the amount of capital. Next part of the thesis is focused on the analysis of the banking portfolios quality evolution of the whole banking sector. In this part are described factors, which influenced the banking sector in observed time period. In the last chapter the thesis examines quality of banking portfolio of three banks in related areas. For the comparison were used chosen financial ratios.

Dissertation (PhD)--University of Stellenbosch, 2001.
ENGLISH ABSTRACT: Financial performance ratios are generally based on a set of financial statements without taking cognisance of other factors that could affect the measurement of performance. The behaviour of financial performance indicators during an upswing and decline phase of the economic cycle, together with the nature and scope of an enterprise's activities may have an effect on the manner in which financial performance indicators are used by an enterprise. The question may arise whether or not a ratio's behaviour for capital intensive (CI) and labour intensive (LI) enterprises could capture the essence of external factors such as an upswing or decline in the economic cycle as measured by the Gross Domestic Product (GOP). In this study an upswing phase (1987-1989) of three years and a decline phase (1990-1992) of three years have been selected after an analysis of the economic cycle over the period 1970 to 1996. The distinction between the capital and labour intensity of an enterprise is based on an analysis of the total assets, fixed assets and number of employees of industrial enterprises listed on the Johannesburg Stock Exchange (JSE). The initially selected 62 financial performance indicators categorised under profitability, growth, cash flow, value-added and inflation-adjusted ratios are calculated for each enterprise of the CI (33) and LI (36) groups and for each year of the research period. The primary objectives of the research are: • To distinguish between the CI and LI nature of enterprises listed in the industrial sector of the JSE by using measures of capital and labour intensity; • To obtain patterns and identify differences in the behaviour of the selected financial indicators between CI and LI enterprises during an upswing and decline phase of the economic cycle, as measured by the GOP; • To analyse and investigate patterns and differences to determine whether or not there is specific justification(s) for the behaviour exhibited by the CI and LI enterprises for a particular ratio during either or both the upswing and decline phases of the economic cycle; • To identify key financial indicators, which could possibly be used by CI and LI enterprises to forecast financial performance and to identify lead and lag patterns in the economic cycle. An elaborate statistical analysis is conducted of the ratios to satisfy the objectives stipulated above. The first part of the analysis is based on a single representative measure, which represents an average of the three-year upswing and three-year decline phases respectively. Mean and median values are calculated for the CI and LI enterprises for both the upswing and decline phases. A profile analysis based on Hotelling's T2 test is used for the analysis of ratios that exhibit approximate normal distributions. Non-parametric tests, Mann-Whitney Utest and Wilcoxon matched-pairs test, are used for the analysis of ratios that do not indicate approximately normal distributions. The second part of the study focuses on an analysis of the ratios based on the individual years of the research period. The statistical techniques used for the analysis of the ratios based on a single representative measure are also used in the analysis of the ratios based on the individual years. The limitations identified during the analysis based on a single representative measure are addressed to a large extent in this section of the statistical analysis. By analysing the mean and median values based on the individual years, it is possible to classify the ratios as one of five pattern groups exhibited by the CI and LI enterprises, i.e. normal expected, lag, lead, cyclical and mixed. The patterns of the various ratios within each of the pattern groups are also analysed from a financial management perspective. The findings of the study confirm the stated hypothesis that there are differences in the behaviour of financial indicators based on a single representative measure and over the individual years of the research period between CI and LI enterprises during either or both an upswing and decline phase of the economic cycle. Furthermore, the analysis highlights several ratios based on a single representative measure that could not be used universally by all enterprises to measure financial performance and only during either an upswing or decline phase of the economic cycle. Ratios which are part of this category include return on total net assets (before tax), return on total net operating assets, dividend per share, sales to total net assets and interest-bearing debt to total shareholders' interest. The results based on the individual years of the analysis indicate that a large number of ratios exhibit normal expected patterns. Among the traditional profitability indicators, 80% exhibit normal expected patterns for the CI and LI enterprises during the upswing and decline phases. Traditional profitability ratios such as return on total net assets, return on net operating assets, return on total shareholders' interest and the value-creation ratio, economic value added form part of the normal expected group of patterns. All the inflation-adjusted ratios indicate normal expected patterns. These ratios indicate relative stability over the economic cycle and may be appropriate for the purposes of medium- and long-term financial forecasting as they follow the trade cycle. Approximately 39% of the ratios indicate mixed patterns, i.e. different patterns for the CI and LI enterprises. The growth in attributable earnings, cash flow to interest payments, market value of equity to book value of equity and market value added ratios indicate behaviour patterns for the CI and LI enterprises which may lead the economic cycle. These ratios may indicate the possibility of anticipating upswing and decline phases in the economic cycle. The relevance of the results for a CI enterprise alludes to the use of more debt financing during the decline phase to cover costs and working capital requirements when demand for products and services decreases as a result of a slow-down in the economy. The pattern exhibited by EPS may allude to an anticipated upswing phase in the economic cycle. An increase in the cash flow to interest payments ratio during the decline phase may indicate an imminent change in the cycle of the economy. The relevance of the results for LI enterprises indicates that an upswing in the economic cycle may be anticipated by an increase in the working capital to operating cash flow ratio. More debt financing is used during the upswing period, which may be attributed to greater demand and consequently results in a higher gearing position for LI enterprises. An increase in the cash flow to interest payments ratio during the decline phase may indicate an imminent upswing in the economic cycle. Several limitations of the study include the use of a single upswing and decline phase to represent the movements of the economic cycle; the approach used to distinguish between the CI and LI enterprises requires further analysis, and the large number of ratios could in future research be limited to several indicators. The more important recommendations of the study include the use of multiple upswing and decline phases of the economic cycle; more research into the lags and leads exhibited by the CI and LI enterprises for specific ratios should be conducted; the possibility of adopting a different approach to distinguish between CI and LI enterprises could also be considered; and further research is required to ascertain the reliability of indicators that highlight lead patterns for forecasting an upswing or decline phase in the economic cycle.
AFRIKAANSE OPSOMMING: Finansiele verhoudingsgetalle word algemeen op 'n stel finansiele state gebaseer sonder dat ander faktore wat die meting van prestasie kan beinvloed, in ag geneem word. Die gedrag van finansiele verhoudingsgetalle tydens 'n opswaai en afswaai-fase van die ekonomiese siklus, tesame met die aard en omvang van 'n ondememing se aktiwiteite, mag die manier waarop 'n ondememing finansiele verhoudingsgetalle gebruik, beinvloed, Die vraag mag ontstaan of 'n verhoudingsgetal se gedrag vir kapitaalintensiewe (KI) en arbeidsintensiewe (AI) ondememings die essensie van eksteme faktore soos 'n opswaai en afswaai in die ekonomiese siklus soos gemeet deur die Bruto Binnelandse Produk (BBP), sal kan omvat. In hierdie studie is 'n opswaai-fase van driejaar (1987-1989) en 'n afswaai-fase van driejaar (1990-1992) geselekteer na 'n analise van die ekonomiese siklus vir die peri ode 1970-1996. Die onderskeid tussen die kapitaal- en arbeidsintensiteit van 'n ondememing is op 'n analise van totale bates, vaste bates en die aantal werknemers van nywerheidsondememings wat op die Johannesburg Aandelebeurs (JAB) genoteer is, gebaseer. Die 62 gekose finansiele verhoudingsgetalle wat as winsgewindheid-, groei-, kontantvloei-, toegevoegdewaarde- en inflasie-aangepaste verhoudingsgetalle gegroepeer is, is vir elkeen van die 33 KI ondememings en die 36 AI ondememings, sowel as vir elke jaar van die ondersoekperiode, bereken. Die primere doelstellings van die navorsing is: • Om tussen die KI en AI aard van ondememings wat in die industriele sektor van die JAB genoteer is, te onderskei deur maatstawe van kapitaal- en arbeidsintensiwiteit te gebruik. • Om patrone te verkry en verskille in die gedrag van die gekose verhoudingsgetalle gedurende opswaai- en afswaai-fases van die ekonomiese siklus soos gemeet deur die BBP, tussen KI en AI ondememings te identifiseer. • Om patrone en verskille te ontleed en ondersoek ten einde te bepaal of daar spesifieke regverdiging is vir die gedrag wat deur KI en AI ondememings vir 'n bepaalde verhoudingsgetal gedurende een of albei van die opswaai- en afswaai-fases van die ekonomiese siklus getoon word. • Om bepaalde finansiele verhoudingsgetalle vir KI en AI ondememings te identifiseer wat moontlik gebruik kan word om finansiele prestasie te voorspel en om lei- en sloerpatrone in die ekonomiese siklus te identifiseer. 'n Omvattende statistiese analise van die verhoudingsgetalle is uitgevoer om bogenoemde doelwitte te bevredig. Die eerste deel van die analise is op 'n enkel verteenwoordigende maatstaf gebaseer wat 'n gemiddelde van die drie-jaar opswaai en drie-jaar afswaai-fases onderskeidelik verteenwoordig. Gemiddelde en mediaanwaardes is vir die KI en AI ondememings vir die opswaai- en afswaai-fases bereken. 'n Profiel-analise gebaseer op Hotelling se T2 toets is gebruik om die verhoudingsgetalle wat benaderd normaal verdeel is, te ontleed. Die nie-parametriese toetse "Mann-Whitney U-test" en "Wilcoxon matched-pairs test" is gebruik om die verhoudings wat nie benaderd normaal verdeel is nie, te ontleed. Die tweede dee I van die studie fokus op 'n analise van die verhoudingsgetalle wat op die individuele jare van die navorsingsperiode gebaseer is. Die statistiese tegnieke wat in die analise van die verhoudingsgetalle gebaseer op 'n enkel verteenwoordigende maatstaf gebruik is, is ook vir die analise van die verhoudingsgetalle gebaseer op die individuele jare gebruik. Die beperkings wat deur die analise gebaseer op 'n enkel verteenwoordigende maatstaf geidentifiseer is, word tot 'n groot mate in hierdie afdeling van die statistiese analise aangespreek. Deur die gemiddelde en mediaanwaardes gebaseer op die individuele jare te ontleed, is dit moontlik om die verhoudingsgetalle as een van 'n aantal patroongroepe, naamlik normaal verwagte, sloer-, lei-, sikliese en gemengde patrone, vir die Kl en AI ondememings te klassifiseer. Die patrone van 'n verskeidenheid van verhoudingsgetalle binne elk van die patroongroepe word ook uit 'n finansiele bestuursperspektief ontleed. Die bevindings van die studie bevestig die gestelde hipotese dat daar verskille in die gedrag van finansiele verhoudingsgetalle, gebaseer op 'n enkel-verteenwoordigende maatstaf en vir individuele jare van die navorsingsperiode, tussen Kl en AI ondememings gedurende een of albei van die opswaai- en afswaai-fases van die ekonomiese siklus is. Die analise beklemtoon verder dat 'n aantal verhoudingsgetalle wat op 'n enkel verteenwoordigende maatstaf gebaseer is, nie universeel vir alle ondememings en slegs gedurende 6f 'n opswaai- 6f 'n afswaai-fase van die ekonomiese siklus gebruik kan word nie. Verhoudingsgetalle wat deel van hierdie kategorie vorm, sluit ondememingsrentabiliteit (voor belasting), rentabiliteit van totale netto vaste- en bedryfsbates, dividend per aandeel, verkope tot totale netto bates, en rentedraende skuld tot totale aandeelhouersbelang in. Die resultate gebaseer op die individuele jare van die analise toon dat die oorgrote meerderheid van die verhoudingsgetalle normaal verwagte patrone volg. Van die tradisionele winsgewindheidsverhoudingsgetalle vertoon 80% normaal verwagte patrone vir die KI en AI ondememings gedurende die opswaai- en afswaai-fase. Tradisionele winsgewindheidsverhoudingsgetalle soos ondememingsrentabiliteit, rentabiliteit van netto vaste- en bedryfsbates, rentabiliteit van eie kapitaal en die waardeskeppingsverhoudingsgetal EVA, vorm deel van die normaal verwagte groep van patrone. Al die inflasie-aangepaste verhoudingsgetalle toon ook normaal verwagte patrone. Hierdie groep van verhoudingsgetalle toon relatiewe stabiliteit gedurende die ekonomiese siklus en is vir medium- en langtermyn finansiele vooruitskatting geskik omdat hulle die besigheidsiklus volg. Ongeveer 39% van die verhoudingsgetalle toon gemengde patrone, m.a.w. verskillende patrone vir die KI en AI ondememings. Die groei in verdeelbare inkomste, kontantvloei tot rentebetalings, markwaarde van aandeelhouersbelang tot boekwaarde van aandeelhouersbelang en mark-toegevoegde waarde verhoudingsgetalle toon gedragspatrone vir die KI en AI ondememings wat moontlik die ekonomiese siklus kan lei. Hierdie verhoudingsgetalle mag 'n aanduider van verwagte opswaai- en afswaai-fases in die ekonomiese siklus wees. Die relevansie van die resultate vir KI ondememings dui op die groter gebruik van vreemde kapitaal gedurende die afswaai-fase om kostes en bedryfskapitaal behoeftes te dek wanneer die vraag na produkte en dienste afneem as gevolg van 'n daling in die ekonomie. Die patroon wat deur verdienste per aandeel aangedui word, gee 'n moontlike aanduiding van 'n verwagte opswaai-fase in die ekonomiese siklus. 'n Toename III die kontantvloei-totrentebetalingsverhoudingsgetal gedurende die afswaai-fase mag 'n aanduider van 'n naderende opswaai in die ekonomiese siklus wees. Die relevansie van die resultate vir AI ondememings toon dat 'n opswaai in die ekonomiese siklus deur 'n toename in die bedryfskapitaal tot kontant uit ondememingsaktiwiteite verhoudingsgetal verwag kan word. Meer vreemde kapitaal word gedurende die opswaai-fase gebruik wat aan 'n toename in die vraag toegeskryf kan word en gevolglik tot 'n hoer hefboomsituasie vir AI ondememings lei. 'n Toename in die kontantvloei tot die rente betaal verhoudingsgetal gedurende die afswaai-fase mag 'n aanduider van 'n naderende opswaai in die ekonomiese siklus wees. 'n Aantal beperkings van die studie sluit in: die gebruik van 'n enkele opswaai- en afswaaifase wat die ekonomiese bewegings verteenwoordig; die benadering wat gevolg is om tussen die KI en AI ondememings te onderskei benodig verdere ondersoek; en die groot aantal verhoudingsgetalle kan in toekomstige studies tot 'n sekere aantal indikatore beperk word. Die belangrikste aanbevelings van die studie sluit in: die gebruik van veelvoudige opswaai- en afswaai-fases van die ekonomiese siklus; meer navorsing op die sloer- en leipatrone wat deur die KI en AI ondememings vir spesifieke verhoudingsgetalle getoon word; die moontlikheid om 'n ander benadering te volg om tussen KI en AI ondememings te onderskei, kan oorweeg word; en verdere navorsing word benodig om die betroubaarheid te bepaal van die indikatore wat dui op lei patrone wat 'n opswaai- of afswaai-fase in die ekonomiese siklus kan voorspel.

Syftet är att evaluera Baselramverkets riskreglering i en konjunkturcykel med hänsyn till Östersjöregionens storbankers systemviktiga funktion.

Studien antar främst en kvantitativ ansats i de två första delarna, nyckeltalsanalysen och buffertsimuleringen men även en kvalitativ ansats antas i den tredje delen, intervjuer. 

Studien utgår från teorierna om Basel I och Basel II, nyckeltalsteori samt från tidigare forskning.

Resultatet i studien består av nyckeltalanalys och simulering av åtta, i Östersjöregionen verksamma, bankers nyckeltal och buffert under 21 år samt sex djupintervjuer med representanter för såväl banker som regulatorer.

 Slutsatser

Att det inte finns något samband mellan Baselregleringens kapitaltäckning och bankernas risk eller konjunktur, att riskvägningen tenderar till att vara godtycklig och har större påverkan på buffert än Baselregleringens kapitaltäckning samt att mer transparens behövs i bankerna tyder på att Baselregleringens kapitaltäckningskrav i mycket liten utsträckning visar Östersjöregionens storbankers faktiska risk.

The purpose is to evaluate the Basel framework risk regulation in an economic cycle, in account to the systemic function of the large banks in the Baltic Sea region.

The study mainly adopts a quantitative approach in the two first parts, the key ratio analysis and the buffer simulation. A qualitative element is also implemented in the third part, interviews.

In a theoretical perspective the study is based on the Basel I and Basel II framework, key ratio theories and previously conducted research. 

The result consists of key ratios analysis and buffer simulation for eight banks in the Baltic Sea region for a period of 21 years and interviews with six representatives of banks and regulatory institutions.

 Conclusion                                  

The absence of correlation between the Basel regulation capital adequacy and the bank risk nor economic cycle, that risk weighting tends to be arbitrary and have greater impact on bank buffer than capital adequacy regulation has, and that more transparency is needed in banking; suggests that the Basel capital adequacy to a small extent reflect actual risk.

Bakgrund: En ny reglering har införts den 1 januari 2018, vilket är IFRS 9 finansiella instrument som ersätter IAS 39. Värdering och redovisning förändras från en objektiv till en subjektiv bedömning av kreditförluster. Syfte: Syftet med studien är att undersöka vilken effekt IFRS 9 har på svenska banker efter införandet. Studien undersöker även om effekten varierar beroende av bankers storlek. Metod: För att uppnå studiens syfte har en kvantitativ studie med deduktiv ansats tillämpats. Sekundärdata har inhämtats ur bankernas årsredovisningar för 2018 från respektive hemsida. Banker som ingår i studien är 43 svenska banker som står under Finansinspektionens tillsyn. Studiens tre hypoteser testades med hjälp av ttest, där parvis observation gjordes mellan åren 2017 och 2018. Resultat och slutsats: Resultatet visade en signifikant förändring av totala kapitalrelationen och kärnprimärkapitalrelationen i de större bankerna, vilka nyckeltalen var lägre efter införandet av IFRS 9. Egna kapitalet, kreditförlusterna och soliditeten kunde inte visa någon signifikant förändring. Slutsats av studiens resultat är att införandet av IFRS 9 haft en marginell effekt på svenska banker.
Background: The new regulation IFRS 9 has replaced IAS 39. The new regulation is subjective, forward-looking, compared with the old, objective model. Purpose: The purpose of our study was to investigate the effect IFRS 9 has on Swedish banks after the transition. Another aim is to study the effect of IFRS 9 on different bank sizes. Method: To achieve the purpose of the study, a quantitative method has been applied. Data has been obtained from annual reports for the year of 2018. The data consist of shareholders equity, balance sheet total and reported loan losses. Hypothesis testing has been done by using t-test Result and conclusion: The results can support a week significant positive effect on Tier 1 capital and capital adequacy ratio from large banks. No results could be found for Shareholders equity, Credit loss or Solidity.

First part of this thesis content basic information about an audit, its history and present, relation between internal and external audit, an internal audit and its function, an Internal Auditor. Separate part is applied to risk management. Second part of this thesis characterize a company, the securities trader, present specifics of an internal audit and risk management in this company and briefly clarify a conception of a capital adequacy. Further describe execution of an internal audit and risk management, judge their benefits for the company and content suggestions for more efficient execution and usage of an internal audit and risk management.

Denna studies syfte var att analysera sex nyckeltal och se vilka samband dessa hade på riskbuffert sysselsatt kapital. Studien utfördes på 796 små byggbolag i Sverige under perioden 2009–2016 med hjälp av en binär logistisk regressionsanalys. Som teoretisk referensram användes working capital management och finansiell oro. Studien resulterade i att kapitalets omsättningshastighet, skuldränta och rörelsekapital/totala tillgångar uppvisade signifikanta negativa samband med riskbuffert sysselsatt kapital. Räntetäckningsgrad och avkastning på totalt kapital resulterade i signifikanta positiva samband med riskbuffert sysselsatt kapital. Skuldsättningsgrad resulterade intressant nog i ett icke signifikant negativt samband. Slutligendiskuterades byggbolagens sannolikhet för finansiell oro utifrån respektive nyckeltal.
The aim of this study was to examine the relation between six independent key ratios with riskbuffer on capital employed. The study was conducted on 796 small construction enterprises in Sweden during 2009–2016 with a binary logistic regression model. As theoretical framework, working capital management and financial distress was applied. The study concluded that the capital turnover rate, interest payable and working capital to total assets had significant negative relations with riskbuffer on capital employed. However, the interest cover ratio and return on total assets were both significant positively related withriskbuffer on capital employed. Debt-to-equity ratio resulted interestly enough in a nonsignificant negative relation. Lastly, with regards taken to every respective key ratio, the probability of financial distress among the construction firms was discussed.

Corporate social responsibility has evolved as a business strategy, but the business worth of voluntary social conduct has not been well understood. The contradictory research findings mean that social performance is not maximized, which constrains economic growth and sustainable development. Grounded by stakeholder theory, this correlational study was aimed at examining the effect of social responsibility factors on the market-based Fama-French cost of capital. Within a sample of 71 United States banks, the publicly available ethical ratings, financial data, and stock market data were analyzed using multiple regression models. Contrary to the positive effect of social conduct on financial performance common in the literature, this study revealed no significant effect of social factors on the accounting returns, and, consequently, the shareholders perceived the social activities as risky and therefore demanded higher returns. The study also showed that governance, diversity, and employee relation were positively related to accounting returns while product and community factors were negatively related to profits. The implied higher cost of raising equity finance following engagement in social activities is a lesson for corporate managers to exercise caution in their social conduct and carry the investors along. Such inclusive policy could help to minimize investor bias and moderate their consequential adverse reactions to well-intentioned corporate actions. This research contributes to positive social change by assisting the bank managers, directors, investors, regulators, and government in improving the discharge of their respective roles to ensure optimal allocation of resources to competing social activities in a manner that may maximize performance and improve the overall stakeholder wellbeing.

The credit crunch that started the 9th of August 2007 is generally viewed as the most significant crisis to affect the financial markets and the global economy since the 1930s.The UK financial sector was heavily hit by the crisis which resulted in a dry up in lending and left a black hole in the British banks‟ finances. During the last quarter of 2010 the GDP shank unexpectedly with 0.5 percent from the third quarter which created concerns about going back into the recession. Contrarily, for Swedish economy 2010 was an impressing year with an unexpected GDP growth of 7, 3 percent in the last quarter.The purpose of this study is to analyse how the finance crisis has affected the leading banks‟ performance within the two countries and see whether the differences in values can explain the difference in GDP growth during the last quarter of 2010. The analyse is performed through a financial ratio analysis of the different banks.The final results of the research indicates to that the Swedish banks have been more profitable, have had a more secure and higher quality of lending and more capacity to lower cost related to income than the British banks. The more distinctive negative influence is mostly based on the larger amount of credit losses the British banks had to experience which contributed to their significant decrease in earnings per share which created scepticism on the credit market followed by a severe slowdown in consumption and in GDP growth. Since the credit losses never got to same levels in Sweden as in the UK the scepticism of the Swedish banking system did not affect the reduction in credit use and house prises to the same extent and GDP growth could recover back to normal levels sooner than in the UK.

This thesis deals with the evaluation of the financial situation of the business entity ALVIK, družstvo in the years 2016-2018. By using selected methods of financial analysis and strategic analysis, the current state of the business entity is evaluated. Based on the results of these analyses, a recommendation supporting the further development of the company is proposed.

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Este trabalho pretende contribuir para o desenvolvimento e o aperfeiçoamento da gestão das organizações hospitalares. Neste sentido, o presente trabalho trata do tema da melhoria da utilização de bens de capital dos hospitais, através da adoção do conceito de Índice de Rendimento Operacional Global (IROG). Objetiva, ainda, a proposição de um modelo de gestão econômica para a avaliação da eficiência dos equipamentos de alta tecnologia em hospitais que possibilite a maximização da utilização da capacidade instalada, no intuito de aumentar o Ganho da empresa, com os mesmos ativos fixos. Estruturou-se, portanto, através de um Estudo de Caso múltiplo, aplicado no Hospital Moinhos de Vento. Realizaram-se, para tanto, a análise e a medição do IROG de dois equipamentos, a fim de verificar a possibilidade de aumentar a produtividade, a capacidade de atendimento mais rápido da demanda e identificar as principais paradas e falhas ocorridas durante a realização de exames em duas áreas distintas do hospital, a saber: Unidades de Angiografia e Diagnóstico de Imagem. Os elementos utilizados para o desenvolvimento do método foram: a) consulta ao referencial teórico sobre o tema; b) definição e aplicação do método em duas áreas distintas de empresa; c) contribuições de gestores e de colaboradores das áreas; d) contribuições oriundas do próprio autor do trabalho. Os principais resultados obtidos através da aplicação do método foram: i) obtenção da medição e constatação do baixo índice do IROG em dois equipamentos de capital; ii) maior clareza e discernimento dos gestores das áreas em relação à eficiência da utilização dos equipamentos; iii) identificação dos principais motivos de paradas dos equipamentos; v) simulação de cenários de melhoria na eficiência dos equipamentos e apresentação de Ganhos financeiros; vi) introdução da medição do IROG na relação dos indicadores do hospital. Por fim, o tema estudado poderá evoluir, principalmente, em organizações focadas na melhoria dos seus processos operacionais e em planos de ação para estabelecer um processo sistemático de melhoria contínua da sua gestão.
This work aims to contribute for the development and improvement of the management of hospital organizations. In this sense, the present work deals with the issue of improving the utilization of capital assets of hospitals, by adopting the concept of Index Global Operating Income ( IROG ). It also aims to propose a model of economic management to assess the efficiency of high-tech equipment in hospitals which enables the maximization of capacity utilization in order to increase the gain of the company, with the same fixed assets. Thus, the work was structured through a multiple case study, applied in the Moinhos de Vento Hospital. There were, therefore, the analysis and measurement of the IROG of two devices in order to verify the possibility of increasing the productivit, the ability to quickly meet demand and identify key stops and failures during examinations in two distinct areas of the hospital namely: Angiography and Image Diagnostic Units. The elements used for the method development were: a) consulting the theoretical framework on the topic; b ) definition and application of the method in two distinct areas of business; c ) contributions of managers and employees from areas; d) Contributions from the author of the work. The main results obtained by applying the method were : i ) obtaining the measurement and verification of low IROG index in two capital equipment;, ii ) greater clarity and insight of managers of areas in relation to efficiency of use of equipment; iii ) identification of the main reasons for equipment downtime; v) simulation scenarios for improving the efficiency of equipment and presentation of financial gains; vi ) introduction of measurement indicators IROG in respect of the hospital. Finally, the subject studied may evolve, especially in organizations focused on improving its operational processes and action plans to establish a systematic process for continuous improvement of their management.

Mestrado em Ciências Actuariais
Este projeto constitui uma componente de uma análise mais vasta e muito relevante no âmbito do estudo de uma companhia de seguros Não Vida, relativamente à situação financeira, gestão de ativos e passivos, bem como aos possíveis riscos no âmbito do regime prudencial Solvência II. Para além destes pontos, são ainda relevantes as implicações deste novo regime nos interesses dos principais stakeholders. Tendo em conta as informações disponíveis, trata-se do primeiro projeto que faz uso de um modelo Dynamic Financial Analysis (DFA) para o cálculo do Requisito de Capital de Solvência (SCR) baseado na fórmula padrão, definida pela European Insurance and Occupational Pensions Authority (EIOPA). A ideia fundamental neste trabalho é estabelecer para companhias do setor Não Vida as indicações sobre a utilização de modelos DFA numa análise integrada, tendo em conta a avaliação de Ativos e Passivos, Capital Próprio, Risco, assim como as estimativas atuariais, segundo o regime Solvência II. O propósito fundamental deste projeto, através da utilização de uma ferramenta como o DFA, centra-se em estabelecer uma metodologia que permita um compromisso entre a gestão financeira de uma companhia de seguros Não Vida (por exemplo, rendimentos, resultados, dividendos, etc), a gestão dos ativos e passivos da companhia (assegurando que os passivos da companhia estão devidamente financiados por um portfolio de ativos), e o impacto desta gestão no SCR da companhia, em linha com as orientações de Solvência II. Para responder à necessidade de elaborar projeções financeiras e integrar as diferentes perspetivas, foi proposto um modelo DFA.
This project forms part of a wider and vibrant conversation pertaining to the analysis of a Property and Casualty (P&C) insurance company´s finances, assets & liabilities, and the possible risks in the company in relation to the legislative parameters of the Solvency II Regime, and the wider implication of this for the core stakeholders of interest. To the best of my knowledge, it is the first project that deploys the use of a Dynamic Financial Analysis (DFA) model for the calculations of the Solvency Capital Requirement (SCR) based on the SCR standard given by European Insurance and Occupational Pensions Authority (EIOPA) The fundamental idea here is to provide perspectives into how the use of DFA models could be integrated into the valuation of Assets & Liabilities, Equity and Risk into providing empirical actuarial credence to companies whose business concerns spins around property and casualty, under the legal framework Solvency II Regime, under European Union (EU) and EIOPA guidelines. The main purpose of this thesis is to find an equilibrium for managing a P&C insurance company's finances (for example, earnings, returns, dividends, etc.) under a regime very demanding of capital, management of the company's assets and liabilities (ensuring that the company's liabilities are properly funded by a portfolio of assets), and the impact of these managements on the SCR of the company in line with Solvency II directives. In order to properly manage and make financial projections of the company, a DFA model was thus proposed.
N/A

Cette Thèse de sciences de gestion, se propose d’élucider les difficultés que rencontrent les acteurs du système bancaire comorien et apporter des solutions afin de lui garantir sa solidité, stabilité et enfin sa pérennité. Elle est divisée en deux parties. La première porte plus particulièrement sur le cadre national et internationale du système bancaire comorien. La deuxième met en évidence les banques comoriennes confrontées à la transparence financière et aux exigences de supervision prudentielle. Le premier titre de la première partie, tâche à mettre en lumière l’organisation actuelle du système bancaire comorien inspiré du modèle français (chapitre 1) et l’apport du développement récent de la finance islamique (chapitre 2) afin de combler le retard de la banque conventionnelle. La réorganisation de la Banque Centrale des Comores et la mise en place de la banque islamique locale, peuvent contribuer au changement radical du système bancaire comorien. Le deuxième titre, permet au régulateur et prêteur en dernier ressort (Banque Centrale des Comores) de prendre le modèle des normes prudentielles internationales proposées par le Comité de Bâle (Bâle II et III), pour réguler le système bancaire comorien afin de lui garantir sa solidité, stabilité et enfin sa pérennité (chapitre 1). A travers ces recommandations du comité de Bâle, nous avons apporté des solutions en élaborant la Matrice Msahazi Credit Scoring Corporation, destinée aux analyses des données des banques comoriennes contre un risque endogène (Chapitre2). Nous avons aussi élaboré d’autres matrices que les banques comoriennes se serviront pour la notation interne, des risques de contreparties (entreprises et particuliers) afin de lutter contre le risque exogène. La deuxième partie de cette Thèse suggère deux autres solutions : la première est l’exigence de transparence financière des banques comoriennes (Pilier 3 : Bâle2 et 3) afin de lutter contre les malversations financières orchestrées par certains agents (titre I). Le premier chapitre introduit l’objectif de la communication financière de manière générale et la manière dont le comité de Bâle (Bâle 2 et 3) recommande les banques de communiquer leurs informations financières (méthodes d’évaluations des risques et fonds propres). Le deuxième chapitre propose aux banques comoriennes et aux autorités de contrôles, les techniques de notation financière pratiquées au niveau internationale pour distinguer le niveau de solvabilité de la contrepartie. La deuxième solution, nous avons donné à la Banque Centrale des Comores, des techniques pour renforcer la supervision prudentielle (Pilier 2, Bâle 2 et 3), (titre II). Le premier chapitre exige d’une part la direction et le conseil d’administration de la banque de définir les techniques de contrôles, d’indentifications, d’évaluations, gestions des risques et les objectifs de fonds propre à atteindre. D’autre part, l’autorité de contrôle (Banque centrale des Comores) doit passer au crible tous ces outils de contrôle. Au deuxième et dernier chapitre de la recherche, nous avons proposé à la Banque Centrale des Comores des nouvelles méthodes de supervision prudentielle afin de garantir la solidité, stabilité et pérennité du système bancaire. Nous avons l’espoir que l’ensemble de ces suggestions contribueront à préserver la solidité, stabilité et pérennité du système bancaire comorien afin de financer le développement de l’économie comorienne et sortir le pays de la pauvreté
This thesis on busness management, aims to elucidate the difficulties faced by the stakeholders of the Comorian banking system and to provide solutions to ensure its soundness, stability and sustainability. The thesis is divided into two parts. The first focuses specifically on the national and international context of the Comorian banking system. The second, highlights how the Comorian banks should adapt to the financial transparency and prudential supervision requirements. The first title of the first part, tries toshed light on the current organization of the Comorian banking system based on the French model (Chapter 1) and the contribution of the recent development of Islamic finance (Chapter 2) to close the gap in conventional banking. The reorganization of the Central Bank of the Comoros and the establishment of the local Islamic bank can contribute to a radical change in the Comorian banking system. The second title allows the regulator and lender of last resort (Central Bank of the Comoros ) to take the model of international prudential standards proposed by the Basel Committee (Basel II and III) to regulate the Comorian banking system in order to guarantee its soundness, stability and finally sustainability (Chapter 1). Through these recommendations of the Basel committee, we have provided solutions by developing Msahazi Credit Scoring Matrix Corporation, intended to analyse data of Comorian banks against endogenous risk (Chapter 2). We have also developed matrices other than Comorian banks used for internal rating of the counterparty risk (companies and individuals) to fight against exogenous risk. The second part of this thesis suggests two alternatives: the first is the requirement of financial transparency for Comorian banks (Pillar 3: Basel Conventions 2 and 3) in order to fight against embezzlement orchestrated by certain agents (Title I). The first chapter introduces the objective of financial reporting in general, and how the Basel Committee (Basel 2 and 3) asks banks to disclose their financial information (methods of risk assessments and equity). The second chapter provides credit rating techniques practiced at international level to the Comorian banks and supervisory authorities in order to distinguish the level of creditworthiness of companies and clients concerned. The second alternative we have given to the Central Bank of the Comoros is the techniques for strengthening prudential supervision (Pillar 2, Basel 2 and 3), (Title II) . The first chapter requires both the management and the bank's board of directors to define control techniques, identifications, assessments, risk managements and core capital goals. On the other hand, the supervisory authority (Comoros Central Bank) has to go through all these control tools. In the second and final chapter of the research, we propose to the Central Bank of the Comoros new prudential supervision methods to ensure the soundness, stability and sustainability of the banking system. We hope that all of these suggestions will help to preserve the soundness, stability and durability of the Comorian banking system in order to finance the development of the Comorian economy and lift the country out of poverty

Los bancos tienen como principal actividad para generar ingresos a la creación de créditos; sin embargo, debido a la incertidumbre que enfrentan al realizar sus operaciones, se ven expuestos al riesgo de crédito. Lo anterior crea un impacto negativo en el desempeño y rentabilidad bancaria; de ahí la importancia de la gestión de riesgo de crédito para garantizar la solidez financiera de los bancos. La presente investigación busca determinar cómo la gestión del riesgo de crédito afecta a la rentabilidad de los bancos peruanos, debido a que en los últimos años se muestra que los principales indicadores de gestión de riesgo de crédito se están deteriorando. La estimación se realiza a través de una base de datos longitudinal y la aplicación de la metodología Datos de Panel de Efectos Fijos teniendo como variable endógena a la rentabilidad y como exógena a dos indicadores de gestión de riesgo de crédito: El ratio de la cartera morosa y el ratio de adecuación de capital. Los resultados obtenidos indican que una inadecuada gestión de riesgo de crédito de los bancos peruanos afecta negativa su rentabilidad, pero no los llevan hasta el punto de quebrar o generar grietas en el sistema bancario. Por último, un banco con mayor tamaño incrementa su rentabilidad, ya que invierte en mejores herramientas para mejorar su gestión de riesgo de crédito.
Banks have as their main activity to generate income to the creation of credits; however, due to the uncertainty they face when carrying out their operations, they are exposed to credit risk. This creates a negative impact on bank performance and profitability; hence the importance of credit risk management to guarantee the financial soundness of banks. This research seeks to determine how credit risk management affects the profitability of Peruvian banks, since in recent years it has been shown that the main indicators of credit risk management are deteriorating. The estimation will be made through a longitudinal database and the application of the Fixed Effects Panel Data methodology, taking profitability as endogenous variable and two credit risk management indicators as exogenous: the delinquent portfolio ratio. and the capital adequacy ratio. The results obtained indicate that an inadequate credit risk management of Peruvian banks negatively affects their profitability but does not lead them to the point of going bankrupt or generating cracks in the banking system. Finally, a larger bank increases its profitability, as it invests in better tools to improve its credit risk management.
Trabajo de investigación

This master thesis deals with the area of external audit of the bank in the Czech Republic. Its goal is to identify and describe the specifics making the procedures during bank's financial statements audit different from those applied by non-financial commercial subjects. The first part is focused on the general framework of the external audit. The second part describes main features of the bank identifying several risks connected with the business which have a significant influence on the approach used by the auditors. The third part describes the methodology applied by auditors during the audit of the bank.

In my thesis I analyse the development of the banking system of Ukraine and the assessment of the concentration level of the banking system in conditions of crisis 2014-2015. The theoretical part is devoted to classification and causes of the banking crisis; also, it describes the historical aspects of crisis formation in Ukraine. The practical part is focused on the evaluation of the financial security level and macroeconomic situation in Ukraine. This part emphasises problems and the specifics of functioning of domestic banks. In addition, it considers the concentration level of the banking market. The analysis performed shows that the banking crisis is the result of accumulated macroeconomic imbalances of the past and present mistakes in the implementation of anti-crisis policy. Currently the efficient functioning of most domestic banks remains at insufficient level.

Modebranschen är Sveriges största kreativa näring, den är även Sveriges snabbast växande exportindustri. Trots det, så är modebranschen tillika en av de mest känsliga och utsatta branscherna, som till stor grad påverkas av yttre faktorer. Konsumtionen har under de senaste åren gått neråt och valet rörande hur de svenska modeföretagen väljer att finansiera sig kan minst sagt komma att bli ett betydelsefullt beslut i denna lättpåverkade bransch. Denna studie undersöker om det finns en skillnad i hur kapitalstrukturen hos de svenska börsnoterade modeföretagen ser ut. Samt om denna struktur är beroende av om företagsledningen äger en stor andel aktier i företaget. Studien analyserar vidare om det finns ett samband mellan ägarstyrda företagsledningar och skuldsättningsgraden i företaget. Studien baseras på en kvantitativ studie av de svenska, börsnoterade modeföretagen; Hennes & Mauritz, KappAhl, MQ Holding, Venue Retail Group, RNB Retail and Brands och Odd Molly International. Undersökningen utgår från modeföretagens årsredovisningar, för att på så vis tillhandahålla information gällande företagens finansieringskällor, samt för att kunna utläsa hur många personer av de i företagsledningen som innehar aktier i företaget. Resultatet visar att en majoritet av de svenska börsnoterade modeföretagen har en kapitalstruktur som till större del består av eget kapital, och till mindre del av skulder. En majoritet har vidare en företagsledning där mer än hälften även äger aktier i företaget.
The fashion industry is Sweden's largest creative industry and Sweden's fastest export industry. Nevertheless, the fashion industry is one of the most vulnerable and exposed industries, that are also affected by external factors. The consumption has fallen in recent years, and the choice of how fashion companies are to finance themselves can be a significant decision in this easily affected industry. This study investigates whether there is a difference in the capital structure of listed fashion companies, depending on whether the management holds a large share of equities in the company or not. Furthermore, the study analyses whether there is a correlation between the company's debt-to-equity ratio and the management's ownership. The study is based on a quantitative study, analyzing the Swedish listed companies; Hennes & Mauritz, KappAhl, MQ Holding, Venue Retail Group, RNB Retail and Brands and Odd Molly International, in order to read the link between management and debt-to-equity ratios. The survey is based on the fashion companies' annual reports, to provide information about the sources of funding. As well as to identify how many of the people in the company's board and management that hold shares in the company. The result shows that a majority of the Swedish listed companies holds a capital structure that largely consists of equity, and a small portion of liabilities. A majority also has a management team where more than half of them also own shares in the company.

The diploma thesis focuses on the regulatory framework of the BASEL III in coherence with risk management and measurement of market and credit risks. The accent is focused upon methodology of calculation and determination of the capital requirements of above mentioned risks. In the introductory part of the thesis are mentioned basic procedures regarding risk management as well as theoretical methodology and development of calculation of the capital requirements in coherence with current standard BASEL III. In the practical part of the thesis are presented capital management policies with regards to BASEL III in Deutsche Bank AG, globally presented institution and Komerční banka, a.s., operating on the Czech market. Accented are mainly the expositions of the institutions and the size of the capital required by the regulatory framework.

碩士
元智大學
管理研究所
98
The purpose of this paper is to investigate the capital adequacy ratio and operational management policy of Taiwan’s new banking system. The capital adequacy ratio is used by the financial regulators around the globe as an early financial warning system. From the financial institution’s operational perspective, enhancing capital adequacy ratio is a top priority task. Any financial institution’s capital adequacy ratio that does not meet the requirement set by the banking regulator the consequence can be severe. Financial institutions may face restrictions on the operations which limits its business function and scale. The influence can be critical, for the worst case scenario, institution will be force to withdraw from the financial industry. The empirical study of this paper is based on private banks which were established after 1991. To this day, numerous banks have withdrawn from the market due to acquisition or inappropriate management of the company. At that time, the capital requirement for banks to be established require only NT$10billion. During the establishment, banks’ primary objective was to penetrate the market by increasing its customer base and create a positive brand value by upgrading its corporate self-image. Under such objective, structure and management of those privet banks, the whole business function is fragile and vulnerable. By comparison of private banks to government banks, private banks provide much more flexibility in credit facilities. As the result of more flexibility that lead to weaken the quality of private bank’s assets. Overall, the capital adequacy ratio of private banks is less than the government or foreign banks. Therefore it is vital for banking industry to keep aware on its operational risk management. The sample data used for this study consist sixteen quarters altogether, from the 2nd quarter of 2005 till 1st quarter of 2009. Fixed effects panel model is used to conduct the analysis. Three variables are considered in this study, including loans to deposits ratio, interest ratio and non-performing loans ratio. This thesis aims to probe into and analyze the relationship between operational management and the adequacy ratio. At the same time, allows how banks should consider about their future management strategy and direction. The empirical results are summarized as follow: 1.For banking industry to fully utilize its operation, the best tactic is to improve saving account balance and loans to deposit ratio and reduce NPL ratio on the other hand. 2.The capital adequacy ratio of a bank represent its performance, efficiency, profit ability, assets value, growth and credibility. 3.For all banks it must aim to strengthen its operational risk management and capital adequacy ratio. It must ensure their strategy and direction are on track such as , concentrating on the value of the assets, developing a better customer relationship, expanding service to the next level and achieving better profitability.

>Magister Scientiae - MSc
The Basel Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art risk management in banking, especially in the area of credit risk in view of Basel II. The new regulation seeks to provide incentives for greater awareness of differences in risk through more risk-sensitive minimum capital requirements based on numerical formulas. This attempt to control bank behaviour has a heavy reliance on regulatory ratios like the risk-based capital adequacy ratio (CAR). In essence, such ratios compare the capital that a bank holds to the level of credit, market and operational risk that it bears. Due to this fact the objectives in this dissertation are as follows. Firstly, in an attempt to address these problems and under assumptions about retained earnings, loan-loss reserves, the market and shareholder-bank owner relationships, we construct continuous-time models of the risk-based CAR which is computed from credit and market risk-weighted assets (RWAs) and bank regulatory capital (BRC) in a stochastic setting. Secondly, we demonstrate how the CAR can be optimized in terms of equity allocation. Here, we employ dynamic programming for stochastic optimization, to obtain and verify the results. Thirdly, an important feature of this study is that we apply the mean-variance approach to obtain an optimal strategy that diversifies a portfolio consisting of three assets. In particular, chapter 5 is an original piece of work by the author of this dissertation where we demonstrate how to employ a mean-variance optimization approach to equity allocation under certain conditions.

博士
國立臺北大學
企業管理學系
88
The effects of the capital ratio policy still remain controversial. While the State Preference Model ( SPM) and the Option Pricing Model (OPM) hold a positive attitude toward this policy,the Mean-Variance Analysis(M-V)questions may increase the risks of banks. The present research is conducted to:1) identify the relationship between the capital ratio and capital decision in domestic commercial banks before and after their establishment;2)investigate a bank CEO''s expense preference behavior, risk management quality, and selection of asset portfolios in the face of capital ratio policy. Based on the data collected from forty-one banks during the period between 1991 and 1999, the present study presumes a significant difference between capital ratio and capital decision before and after the opening of a bank to identify the effects of capital ratio policy. Risky -base personal capital (風險性自有資本) and the sum of the Tier 1 capital in risky assets (風險性資產) are the agent variables(代理變數) of capital adequacy ratio assessment. Then through the three-stage least square(3SLS), the portfolios of high risky investment and off-Balance assets, the percentage of poor debts and the annul growth rates of loaning and capital involved in the capital decision are analyzed to investigate the relationship between the standard of capital ratio and privatization before and after a bank''s establishment. The findings of this study include:1) Fewer banks adopted the high risky portfolio after the announcement of the risk-base capital ratio(RBCR) policy in 1993. Capital ratio did decrease the bank''s default risks; 2) Data of the percentage of the Tier 1 capital in risky assets should be more detailed than that of Risky -base personal capital in risky assets(風險性資自有資本);3)In accordance with Risk Aversion Hypothesis, the guarantee and the investment growth rates in public banks should be lower than those in private ones. Besides, public banks invest more liquid assets, such as bonds, faced lower risks of asset portfolio. The growth of high risky assets, such as loaning in public banks slows down dramatically;4) The higher risky asset portfolios of the commercial banks with capital ratio above 8% , the more guarantee growth rates would they obtain. On the other hand, private commercial banks with capital ratio above 8% are more likely to take the high risky asset portfolio.

碩士
臺灣大學
農業經濟學研究所
98
The socio-economic environment in Taiwan was still agricultural 40 year ago. The agricultural finance had several hundred years of history in Taiwan. Due to changes in the socio-economic environment in recent decades, the agricultural production has been declining, agricultural output has been dropping, and the agricultural-financial institution, Credit Department of Farmers'' Association, is facing a critical time of a matter of life and death. As the consensus between the government and community was made, the Agricultural Finance Law completed the legislative procedures in 2003. It has been executed starting from January 30, 2004. Ever since the operation and management of the Credit Department of Farmers'' Association has opened its new era. This research used the statistical analysis methods such as correlation analysis, regression analysis, canonical correlation analysis, path analysis, and cluster analysis to study the correlation among the various financial data from Credit Department of Farmers'' Association. This research shows that there are 12 major financial ratios that have a remarkable correlation between capital adequacy and the association’s operating performance. By analyzing how key financial ratios impacted capital adequacy and operating performance using canonical correlation analysis model, I found that the interception of the first and second canonical correlation could explain the relevance up to 92.9%. By analyzing the main variables using the evaluation criteria of capital adequacy and operating performance, I found that Non-performing loan ratio has the strongest correlation with capital adequacy. In addition, average profit per employee has become a comprehensive characterization variable of operating performance. Based on the findings of this research, I proposed to amend the Agricultural Finance Law and its related derived laws (i.e. to revise the classification standard of variation management and to reevaluate the appraisal standard of capital adequacy.) I also suggested a follow-up research on the technique of classification (level) and non-performing loan ratio of the Credit Department of Farmers'' Association.

Text in Afrikkans
Summaries in English and Afrikaans
The capital-adequacy problem is essentially concerned with the amount of capital that a bank should maintain in order to conduct its operations in a prudent manner. Because one of the primary functions of bank capital is to act as a risk cushion for the protection of a bank's depositors, a bank's capital funds are often regarded as comprising an insurance element. The capital-adequacy concept, therefore, may be seen as part of the overall banking risk, or prudential management. An attempt has been made to indicate that bank supervisors should use not only capital ratios when analysing a bank's capital position. Other factors, such as asset quality and other financial risks, should also be taken in consideration. Financial ratio analysis, however, provides bank supervisors with useful information. When combining ratio analysis with non-quantifiable factors, bank supervisors may indeed achieve their goal of determining capital adequacy.
Die kapitaaltoereikendheidsprobleem is hoofsaaklik gebaseer op die hoeveelheid kapitaal waaroor 'n bankinstelling moet beskik, ten einde die bankbesigheid op 'n verstandige wyse te bedryf. Een van die primere funksies van kapitaal is om te dien as verliesabsorberingsbuffer ter beskerming van 'n bankinstelling se deposante, en daarom word toereikende kapitaal dikwels geag om 'n soort versekeringselement te bevat. Die konsep van kapitaaltoereikendheid kan dus beskou word as deel van die totale risikobestuurskonsep. Daar is tydens die studie gepoog om aan te dui dat banktoesighouers nie net kapitaalverhoudings behoort te gebruik om 'n bankinstelling se kapitaalposisie te ontleed nie. Ander faktore, soos batekwaliteit en antler finansiele risiko's, moet ook in ag geneem word. Finansiele verhoudingsgetalontledings voorsien banktoesighouers van waardevolle inligting. Indien verhoudingsgetalle egter met nie-gekwantifiseerde inligting gekombineer sou word, kan banktoesighouers hul doel om kapitaaltoereikendheid te bepaal, bereik.
M.Com. (Business Management)

碩士
銘傳大學
財務金融學系碩士在職專班
100
Capital agreement has become international standard regulation by Basel Banking Supervisory Board. BaselⅠ、BaselⅡ、Basel Ⅲ is financial innovation. It is also provide standard for international financial regulation institution. Especially Basel Ⅱ was established, it happened “The Financial Crisis of 2008”, Any other nations have not enough experience and information to use new regulation. Therefore, in September 2010,Basel Ⅲ was be implemented, it occurred many dispute. We implement Basel Agreement, need to know relative regulation、rule and shortcomings and to avoid making mistake. In according to Basel Ⅲ, it would modify bank owned capital ratio and creative more regulation. For example, core capital ratio、leverage ratio、liquidity ratio、correction over depended on outside credit rating, etc. In this study, we all introduce Basel Agreement and explain detail. We also mention probably problem in Taiwan in the future and quickly improve capital risk management. We will wish provide suggestions to banking and supervisory authority in the future.

碩士
嶺東科技大學
財務金融研究所
101
This study wants to explore the relation between the returns of bank and the fundamental messages that include the monthly growth rate of loan, the monthly change rate of loan and the monthly growth rate of revenue in the different market conditions and capital adequacy ratios. Our sample consists of 10 bank listed or in OTC during May 2005 to June 2012. We consider some influencing factors included the BaselⅡ, inter-bank rate, financial crisis and European debt crisis, Economic Cooperation Framework Agreement(ECFA), and separate our empirical period into three sections: May 2005 to December 2006, January 2007 to December 2008 and January 2009 to June 2012. We choose the Pearson correlation coefficient and Grange causality as our research method. The empirical results are: Firstly, during the subprime crisis, there exists the significant closely relation between the stock returns of banks with high capital adequacy ratio and their loaning activities. Secondly, the return of the extensive government share banks and Group enterprise banks have interaction effect with their loaning activities after 2007. Thirdly, with the classification of the ratio of long and short investments, the return of banks is still closely with their loaning activities. Fourthly, based on the Grange causality test, the change of the capital adequacy ratio goes ahead of the monthly change rate of loan.

碩士
國立中正大學
國際經濟研究所
103
It appears that there are too many financial institutions with small business scales in the trend of financial globalization in recent years. It becomes an important issue to examine financial indicators to control the risk and asset quality of Taiwan’s banks according to a three-stage adjustment of capital adequacy ratio in Basel. This study adopts an Ordinary Least Squares model (OLS) to evaluate the impact of capital adequacy ratio in three-stage Basel agreements on the financial performance of 25 banks in Taiwan in the years of 1988 to 2013. Empirically compare the impact of the three-stage capital adequacy rate in Basel on banks’ profitability, over lending, and market value of assets. The results show shareholders' equity was reduced significantly in BASEL III, however, returns on assets were raised in BASEL III. The results clearly verify that in accordance with the requirement of higher capital adequacy ratio can reduce banks’ risk and enhance their overall average returns on assets (ROA). But increasing banks’ capital leads to the reduction in returns on equity (ROE). More implications of BASEL Accords on banks’ financial performance deserve future studies.

碩士
嶺東科技大學
高階主管企管碩士在職專班
106
The study primarily used the Stochastic Frontier Approach (SFA) proposed by Battese and Coelli (1995) to calculate the production technology efficiency value of Taiwan’s bank industry from 2007 to 2013. The value using this method resulted in 0.986, indicating that the bank industry calculated using SFA is inefficient by 1.44%.

碩士
東吳大學
經濟學系
100
In this paper, we adopt BCC model, supplemented by Adjusted Projection Model and Hybrid DEA to estimate bank efficiency based on the information obtained 32 bamks in Taiwan for the period from 2008 to 2010. We select fixed assets, number of employees﹐ deposits and capital adequacy ratio for the input variables; investment, loans and other incomes for the output variables. The difference between two models is all input variables are radial variables in BCC model and capital adequacy ratio is a non-radial variable in Hybrid DEA. First, we use two models to find the capital adequacy ratio range each year. Furthermore, we analysis the inefficiency inputs in Hybrid DEA. The purpose of our analysis is to realize the relationship between bank efficiency and capital adequacy ratio. Our empirical results are summarized as follows： (1) In the two models, it shows that most banks can achieve operational efficiency in these ranges currently. Contrary, the banks don’t achieve efficiency should actively to know internal gonverment, financial management and risk management to make operation more efficiency. (2) The results of inefficiency inputes in Hybrid DEA.The inefficiency maybe were caused by the fixed assets, number of employees, or deposits, so the proporation of radial variable is greater than the proporation of non-radial variable. In the proporation of non- radial variable is greater than the proporation of radial variable, capital adequacy ratio have a great impact on inefficiency and we also find that these banks have higher capital adequacy ratio.Therefore, capital adequacy ratio and bank efficiency are not posistive relationship.

碩士
國立中央大學
財務金融學系在職專班
102
This research examines the correlation between capital adequacy ratio(BIS ratio) and bank operating performance. The samples contains 32 quarterly data of BIS ratio and bank operating performance from the 1st quarter of 2006 to the last quarter of 2013, which are based on 30 commercial banks in Taiwan. In order to find the correlation between BIS ratio and bank operating performance, the research examines six performance variables including non-performing loan ratio(NPL ratio), return on equity (ROE), return on assets (ROA), net interest to net income margin, net income margin and employee contribution for their individual relationship with BIS ratio and tier 1 capital ratio by using descriptive statistics, Pearson's correlation coefficient and simple linear regression model. Results of our analysis appear below. 1.Compared among banks categorized as quasi government-run, private banks and divided by market capital TWD 30 billion: (1) Basel agreement has clear influence on the control of BIS ratio, private banks greater than quasi government-run banks and banks with market capital below 30 billion higher than the opposite. (2) As to operating performance, quasi government-run banks with market capital above 30 billion lag behind private banks with market capital below 30 billion in terms of net interest to net income margin except NPL ratio, ROE, ROA, net income margin and employee contribution. 2.The whole BIS ratio, tier 1 capital ratio, and NPL ratio all demonstrate smaller than average standard deviation, representing small individual difference. while ROE, ROA, net interest to net income margin, net income margin and employee contribution evidence the opposite, representing high individual disparity. 3.Controlling BIS ratio and tier 1 capital ratio both are significantly positive to bank operation performance on ROE, ROA and employee contribution while also positive on net income margin but insignificantly. On the contrary, they are significantly negative to bank operating performance on NPL ratio and net interest to net income margin, exclusive of tier 1 capital ratio to net interest to net income margin.

碩士
輔仁大學
金融研究所
97
This thesis applies the financial data of 21 developed countries and 21 emerging countries, to examine that how the banks adjust their capital adequacy and risk taking ability under capital regulation. In addition, we use simultaneous equations to examine if the banks would have moral hazard problems and if the capital buffer theory applies when they comply with the capital regulation. Furthermore, by comparing among the countries, discuss the way how the banks of developed countries and emerging countries adjust their capital adequacy and risk taking ability, and we focus on comparing among the Basel members and the non-Basel members, to examine if the capital regulation has any impact on the behaviors of the banks’ risk taking activities. We use simultaneous-equation model, and two-step and three-step MSE to examine the results, hoping to get the more efficient estimates. In our empirical results, we found that how the banks responds to the capital regulation would depend on the financial surroundings and how thorough the capital regulation has been enforced. In those countries where economic situation is mature enough and capital regulation is enforced well enough, capital regulation can work more effectively. We consider that developed countries have more strict financial laws and accounting systems, so the capital regulation can be well enforced. Besides, those countries where Basel Accord have been enforced more earlier are considered to be the model of otherwise countries, under this pressure, the capital regulation would show great effect.

碩士
輔仁大學
金融研究所
90
Abstract Literature shows that there is lack of studies about the risk-based capital adequacy on insolvency risk and financial performances for banking industry. This study firstly applies the index of insolvency-risk that is based on the fluctuations of the standard deviation of return on asset, which is derived from Liang & Rhoades (1991) and McAllister & McManus (1992), to explore the failure risk in Taiwan’s banking industry. The current study also uses bank’s size and time as control variables, to investigate the effects of capital-adequacy (CA) ratio and insolvency-risk on financial performance. The objectives of this study try to provide the soundness and safety suggestions about risk management for authority. The empirical results can be summarized as follows: Firstly, this study examines the relationship between CA ratio and insolvency-risk index and shows the diverse effects before and after the revision of capital-adequacy control, that is, at the end of 1998. The result shows CA ratio and insolvency-risk index exist positive relationship, that is, the higher (lower) of CA ratio, the more (less) of insolvency-risk index. This phenomenon imply that the result meet up “Portfolio theory”and accept the hypothesis 1, which proposes to discard the control of CA ratio. Besides, the effects are positive significantly for both new and old banks after the revision of CA control. The result implies that the effectiveness to drop the insolvency risk of banks since the revision of capital-adequacy control is significant. As for the effects of time, the result shows negative significantly to new banks, but shows negative insignificant to old banks. In terms of size, the effect shows positive significantly to new banks, but insignificantly to old ones. Secondly, this study investigates the effects of CA ratio on financial performances, and also shows the varied effects before and after the revision of capital-adequacy control since 1998. The empirical results point out there exists positive significantly relationship between CA ratio and various financial performances. These phenomenons imply that: Based upon the portfolio theory of capital-adequacy, the higher of CA ratio, the higher of insolvency risk. In the course of the CAPM equilibrium theory of capital market, the expected return will be superior; the financial performances will be advanced. As to the effect of time, the result shows negative significantly for both new and old banks during 1992~2000. In terms of size, the result shows positive significantly for both new and old ones. Finally, the current study evidences the empirical effective of Rivard & Thomas (1997) suggestion, to investigate the effects of insolvency-risk on a variety of financial performances in Taiwan’ banking industry, and also shows the diverse effects before and after the revision of capital-adequacy control since 1998. The result shows negative significantly between IR and financial performances. That is, the lower of insolvency-risk index, the better of financial performance, and vice versa. The phenomena are in accordance with the argument of Rivard & Thomas (1997). In terms of the control variable of time and size, the result shows negative significantly for old banks.

碩士
國立臺北大學
國際財務金融碩士在職專班
99
This study aims to explore the non-linear relationship between capital adequacy ratio (hereinafter referred to as the “CAR”) and bank’s performance and loan-loss provision. This study adopts the empirical model of Gonza'lez, Teräsvirta and Dijk（2004, 2005） to verify whether the panel smooth transition effect exists in the above-mentioned variables by using a full quarterly data set from 26 banks in Taiwan, through 2007Q4 to 2010Q3. The study has conclusions as follows: The panel smooth transition effect indeed exists between the CAR and the bank’s loan-loss provision. The transition regimes provides a smooth transition process around the threshold where the value of CAR is 10.0046% and the transition speed is 2.2978. Nevertheless, the panel smooth transition regression model results in a structural variance when applying for the effect between the CAR and the bank’s performance. The model is transformed into a leap model around the threshold where the value of CAR is 12.2871% and the transition speed is soaring as high as 1.5343e+003. Moreover, when introducing other control variables into the model, considering the impact on bank’s performance and loan-loss provision, it suggests that the higher the total asset scale is, the higher the loan-loss provision is, but impair the performance of banks with higher CAR. The higher the ratio of liquidity reserves is, the higher the loan-loss provision and performance are, but not significantly influence the performance of banks with higher CAR. However, the ratio of NPL negatively influences both banks’ performance and loan-loss provision with no differences among banks.

碩士
長庚大學
工商管理學系
105
The research stand in the bank's perspective, to explore the relationship between business safety and financial performance. Examining the operational risk at the capital adequacy ratio (CA), measuring the financial crisis at the non-performing loans ratio (NPL). The time and the scale of the bank operation represent the control variable. And the return on assets (ROA), return on shareholders' equity (ROE), operating profit margin (OPM) and pre-tax income margin (PIM) represent financial performance. Selected Taiwan’s banking industry during 1998–2015 as samples. The empirical results are as follows: In addition to the global financial crisis in 2008. The empirical results show a positive relationship between the capital adequacy ratio and ROA. Indicating that the higher (low) the capital adequacy ratio, the better (poor) the financial performance of the bank. The analysis of the correlation between NPL and bank financial performance shows that the higher NPL (good), the worse the financial performance (lower). The scale of bank assets and the financial performance of the bank analysis, through the strength and toughness test that, after deducting the financial impact on the domestic financial sector, the scale of bank assets on the net return rate has a significant positive relationship. that is, the bigger the size of the bank, the better its financial performance.

碩士
國立成功大學
會計學系
107
This study examines the relationship between capital adequacy ratio, profitability and credit risk in Taiwanese banking by using a sample of 18 state-owned and private banks during 2001-2017. The results show that the capital adequacy is associated with Taiwanese banks’ performance. This study further investigates the relationship between capital adequacy and performance before, during, and after the 2008 financial crisis. The results show that state-owned banks with higher capital adequacy is more profitable and with lower credit risk before the crisis. However, during and after the crisis, the relationship between capital adequacy and profitability is negative while the relationship between capital adequacy and credit risk is positive after the crisis. In sum, well-capitalized state-owned banks have relatively lower credit risk while well-capitalized private banks is less profitable.

碩士
國立臺北商業大學
國際商務系研究所
107
Today's financial system has undergone globalization, financial innovation and deregulation. Banks participate in diverse market activities. As banks grow year after year, they are more capable of engaging in high-risk investment portfolios. Under diversified capital allocation, Systemic risks arising from financial institutions will spill over to the entire financial system. Looking back at the previous literature, many papers explored issues that are limited to the discussion of bank-symmetric systemic risk and other related variables. Lopez-Espinosa et al. (2015) found that when estimating systemic risk, banks are common under the impact of bad. The effect will be greater than the synergy in the case of smoothness. Therefore, this study explores the impact of the operation status of the previous period of joining the bank on the systemic risks of the current period. This paper takes Taiwan's banking industry as the main research type. The research period is from 2010 to 2018. The data not only explores symmetric systemic risks: risk value, symmetric condition risk value and symmetric risk spillover effect. When estimating system risk, it also discusses asymmetric systemic risk: asymmetric condition risk value and asymmetric risk spillover effect. The empirical results show that when estimating aCoVaR and aΔCoVaR, assuming that there is a bad impact in the previous period, the asymmetry system risk will be greater than the symmetric systemic risk; assuming the previous period is a good message, the asymmetry system risk will be less than the symmetry. Systemic risk. The follow-up will explore the impact of “symmetric system risk” and “asymmetric systemic risk” after joining the bank. In this study, the symmetry systemic risk is calculated by component regression method: VaR, CoVaR, ΔCoVaR and asymmetric systemic risk: the empirical results of aCoVaR, aΔCoVaR, and then the bank data fixed by the Panel Data fixed effect method and LSE parameter estimation method. The impact of symmetry system risk and asymmetric systemic risk shows that bank size has a significant impact on “asymmetric systemic risk”.

碩士
世新大學
財務金融學研究所(含碩專班)
104
Under different period(total period, Basel II period, Basel II period excluding financial crisis period ) and models,the study uses OLS and White robust test to find the relationship between Total Capital Adequacy Ratio, Tier 1 Capital Adequacy Ratio, Non-Performing Loans Ratio, Coverage Ratio of Allowances for Bad Debt, SIZE, Asset to Liability Ratio, Liability to Equity Ratio and financial performing measures(Return on Asset Ratio, Return on Equity Ratio, Profit Margin Ratio, Earnings before Interest and Tax Ratio).Samples are collected from 34 banks located in Taiwan, covering from 2006 to 2014. The main result are as follows：Considering Total Capital Adequacy Ratio and Tier 1 Capital Adequacy Ratio, Total Capital Adequacy Ratio has significantly positive effect on Return on Asset Ratio and Return on Equity Ratio. The higher Total Capital Adequacy Ratio, the better financial performing measures. However, Tier 1 Capital Adequacy Ratio has significantly negative effect on Return on Asset Ratio and Return on Equity Ratio. The higher Total Capital Adequacy Ratio, the worse financial performing measures. Total Capital Adequacy Ratio and Tier 1 Capital Adequacy Ratio has adverse effect on financial performing measures. Coverage Ratio of Allowances for Bad Debt has insignificantly positive effect on financial performing measures. Non-Performing Loans Ratio has significantly negative effect on financial performing measures. SIZE has significantly positive effect on financial performing measures. Asset to Liability Ratio has insignificantly positive effect on financial performing measures. Liability to Equity Ratio has insignificantly negative effect on financial performing measures.

碩士
中國文化大學
國際企業管理研究所
99
This paper examines the impact of Taiwan’s bank on two indicators of bank riskiness, namely banks’ non-performing loans and capital adequacy ratio, by using around 16 banks from the first quarter of 2004 until the first quarter of 2010, a total of 25quarters. We employ regression model and panel data model, at the same time we use descriptive statistics to illustrate by adopting seven financial indicators to discuss the reason between non-performing loan and capital adequacy ratio for each bank-depth study. According to our data, we give positive suggestion to the banks as well as a reference for the implementation of the strategy.

碩士
大同大學
事業經營學系(所)
101
Financial industries were seriously struck in financial crisis in 2008.The Bank of International Settlements (2010) had made Basel III strengthen capital requirement. Furthermore, Basel III which will raise the BIS ratio at 2016 and will want to set the BIS ratio to be 10.5% in 2019. The higher the CA ratio the operation is more robust and risk control is more effective, thus a better performance and profitability. Therefore, to increase profitability while with strict control of risk. The purpose of this paper is to investigate the effects of CA ratio and overdue loans ratio on operating performance. The empirical samples are collected from the all financial institutions in Taiwan. The sample period is from 2005 to 2011. Using Panel Data model, this study finds some interesting results and the main finding as following. The major empirical results show the relationship between CA ratio and operating performance that were positively related and significant i.e. the higher (lower) the CA ratio the better (worse) the operating performance. The relationship between the ratio of overdue loans and operating performance that were negatively related and insignificant i.e. the lower (higher) the ratio of overdue loans the higher (lower) the operating performance and the Investing performance. The relationship between the bank of asset and operating performance that were positively related and significant i.e. the higher (lower) the bank of asset the better (worse) the operating performance the Investing performance. The relationship between insolvency risk index and operating performance that were negatively related and significant i.e. the higher (lower) the insolvency-risk index the better (worse) the operating performance the Investing performance

碩士
東吳大學
經濟學系
93
The Basel Committee on Banking Supervision (BCBS) of Bank of International Settlement initially proposed the Basel Capital Accord (BCA) in 1988. After experiencing various financial crisis, the BCBS announced the New Basel Capital Accord in 2001. To link to the international regulations and deepened the financial liberalism, the Financial Supervisory Commission has resulted to execute the BaselⅡ in time in 2006. Under such pressure, the officials and private sectors are no longer unfamiliar with the term of risk management (RM). Has been Promoted hard by scholars and officials, RM is gradually acknowledged by the financial industry. Particularly in the current situation that domestic markets get in touch with international financial systems increasingly, the in advance RM becomes a foresight management concept and a necessity of possession property while facing market’s violent fluctuation. The Capital Adequacy Ratio (CAR) is still one of the important pillars in the new BCA. Though the CAR is not the only parameter to review the quality of bank constitution operation, it is still one importance and direct interface. In compared with the CAR, referred to the new BCA, as 8% to domestic bankers, the Capital Adequacy Regulation, owned capital divided by operation risk, to Taiwan security firms equity is higher than the minimum standard 150%, which was announced by Securities and Futures Bureau in 1998. Under the pressure of financial liberalized and internationalized, there is an urgent need to modify this regulation. The risk of stock business can not be eliminated only by the legislated regulations. The key for stock business to owe the international competition capability is to thoroughly implement the risk management. The risk management needs massive time and money investment and institute’s understanding and implementation of pre-risk management and control, which involves the rationalization and effectiveness of following capital distribution by the enterprise. The final purpose is to strengthen the self-competition. Thus, by knowing and introducing the modern risk management, and constructing the substantial model via the limited data, from easy regression analysis to Panel Data analysis, this research proves the potential risk is hard to be measured and controlled by the as dated Capital Adequacy Regulation. To be the top financial institution in the world, not only to acquire the maximum benefit, instead, the business executive is looking for the capability of chasing maximum benefit under the controllable risk. After judging the risk size and establishing the target of reasonable return of equity, the executive allocates resources and benefit figures. Therefore, even facing the abrupt market mishap, the enterprise still can proceed calmly, last for good, be conscientious to the society and look for the maximum benefit for employees and stockholders. After CAR calculated , also comparing to theβvalues(market risk value) of individual securities’ own by past 8 years , and some kinds of data research plused , which including traditional financial index , capital structure figures , and business loss items on current period , there are some results as follows : Ⅰ.Following the Panel Data Model conclusion , the correlation of CAR of all securities against Market Risk Values were Random Effect Model(REM). Ⅱ.Purely comparing the graph of CAR to theβvalues(Market Risk Value) of individual securities’ own , there was no significant correlation between them . Ⅲ.The graph shows that the Standard Bias of CAR of all securities were obviously variable year by year . Ⅴ.According to the Panel Data analysis , Two Way Error Component Model Approach , explaining theβvalue of individual securities’ own via the CAR was rejected . In other words , there was no significant correlation between 2 variables .