银行资本投资案例

Shrives and Dahl [23]
Jacques and Nigro [16]
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Rime [24]
No relationship
Heid, Porath and Stolz [12]
A modified version of Shrives and Assessing how German - (in case of a Dahl’s simultaneous equations need to savings banks adjust capital applied on data of 570 local and risk increase German savings banks in 1993under capital regulation capital level)17 2000
Financial firms
=
( ) ( )
Focus on profit maximization
10
2. Theoretical background
Socialization of losses vs. privatisation of profits
Politicians Financial firms Regulators
Job experience 2001-05 CSOB Bank, Czech Republic
2006 Spencer Clarke, New York, USA 2007-13 EEIP, a.s., Czech Republic 4 2014+ Member of Supervisory Board of The Czech Export Bank
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3. Literature review
Overview of risk - return relationships
16
3. Literature review
Literature review 1/2
Authors Short description Investigation of the relationship between changes in risk and capital in a large sample of the US banks Examination of the impact of the risk-based capital standards on the US bank capital and portfolio risk during the first year of the risk-based standards validity Analysis on whether and how Swiss Banks reacted to constraints placed on their capital Methodology and data used Simultaneous equations applied on data for 1800 US banks In 1984-1987 Simultaneous equations model applied on 2570 FDIC (Federal Deposit insurance Corporation) - insured commercial banks with assets greater than $100 million in 1990-1991 Simultaneous equations model applied on data for 154 Swiss banks in 1989-1995 Capital – Risk Relationship +
Books about risk management, finance and banking
5
Agenda
1. 2. 3. 4. 5.
Introduction
Theoretical background
Literature review
Capital shortfall of EU banks Conclusion
3. Literature review
Literature review 2/2
17 June 2014
A Literature Review of Banks´ Profitability and Risk Adjustment Decisions
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2. Theoretical background
Low capital ratio of a bank -> high leverage of a bank
Source: Onaran,Y. (2011):. Zombie Banks: How Broken Banks and Debtor Nations Are Crippling the Global Economy.” 12 New York: Bloomberg Press
2. Theoretical background
2. Theoretical background
Decreasing banks´ capital ratios implies their lower risk absorption …
Source: Economist (2011)
2. Theoretical background
…because banks prefer low capital ratio and high return on average equity (ROAE)
Assets Assets Total Liabilities Liabilities Equity
Creditors Shareholders
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(
)
2. Theoretical background
Capital as a buffer against risks
LOSSS
Source: OECD (2012). Developments in the Value of Implicit Guarantees for Bank Debt: The Role of Resolution Regimes and Practices
A LITERATURE REVIEW OF BANKS´ PROFITABILITY AND RISK ADJUSTMENT DECISIONS
Dr. Petr Teplý Dr. Liběna Černohorská, Dr. Barbora Šútorová Charles University in Prague, Czech Republic University of Economics in Prague, Czech Republic University of Pardubice, Czech Republic ICBEFSM 2014: International Conference on Business, Economics, Financial Sciences and Management Toronto, Canada
2
1. Introduction
Introduction to The Czech Republic
President Milos Zeman
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1. Introduction
CV Petr Teplý
Education
2000 – Johnannes Kepler University in Linz, Austria 2006 – University of Otago, New Zealand 2006 – State University of New York, New Paltz, USA 2009 – Ph.D. in Finance, Charles University, Czech Rep. Research interests: banking, finance, risk management, financial stability, financial innovation, public finance, RIA
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Agenda
1. 2. 3. 4. 5.
Introduction Theoretical background
Literature review Capital shortfall of EU banks Conclusion
17 June 2014
A Literature Review of Banks´ Profitability and Risk Adjustment Decisions
Zombie bank
a zombie bank as a financial institution with i) a priceto-book value ratio smaller than 1, ii) a negative economic worth, iii) mispriced assets and iv) support by government´ bail-outs and guarantees. Examples: Allied Irish Banks, BoA, CITI, Commerzbank, Crédit Immobilier de France Kaupthing, Landesbanken, RBS, Spanish cajas, UniCredit Many zombie banks are still present in Japan, what gives a negative example to follow as these banks do not provide lending to the economy and therefore do not fullfil their basic function ZBs hinder economic growth in the EU and Japan (they struggle to survive and do not lend money)