Wyniki wyszukiwania - Biblioteka Nauki

1

The effects of capital on bank lending in large EU banks – the role of procyclicality, income smoothing, regulations and supervision.

100%

Olszak M. , Pipień M. , Roszkowska S. , Kowalska I.

Faculty of Management Working Paper Series

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2014

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nr WPS 5/2014

1-41

EN

This paper aims to find out what the impact is of bank capital ratios on loan supply in the EU and what factors explain the potential diversity of this impact. Applying the Blundell and Bond (1998) two step GMM estimator, we show that, in the EU context, the role of capital ratio for loan growth is stronger than previous literature has found for other countries. Our study sheds some light on whether procyclicality of loan loss provisions and income smoothing with loan loss provisions contribute to procyclical impact of capital ratio on loan growth. We document that loan growth of banks that have more procyclical loan loss provisions and that engage less in income smoothing is more sensitive to capital ratios. This sensitivity is slightly increased in this sample of banks during contractions. Moreover, more restrictive regulations and more stringent official supervision reduce the magnitude of the effect of capital ratio on bank lending. Taken together, our results suggest that capital ratios are an important determinant of lending in large EU banks.

2

Wielkie banki i ich rola w kryzysie finansowym

100%

Węcławski J.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2013

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tom 47

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nr 1

EN

No bibliography

PL

Wielkie banki i ich rola w kryzysie finansowym

3

What drives heterogeneity of procyclicality of loan loss provisions in the EU?

100%

Olszak O. , Pipień M. , Kowalska I. , Roszkowska S.

Faculty of Management Working Paper Series

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2014

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nr WPS 3/2014

1-34

EN

Using the two step system GMM Blundell and Bond estimator this paper documents a large cross-bank and cross-country variation in the relationship between loan loss provisions (LLP) and the business cycle and explores bank management specific, bank-activity specific and country specific (institutional and regulatory) features that explain this diversity in the European Union. Our results indicate that LLP in large, publicly traded and commercial banks, as well as in banks reporting consolidated statements, are more procyclical. Better investor protection and more restrictive bank capital regulations reduce the procyclicality of LLP. We do not find support for the view that better quality of market monitoring mitigates the sensitivity of LLP to business cycle. Our findings clearly indicate the empirical importance of income smoothing, capital management and credit risk management for decreased procyclicality of LLP.

4

Kreditportfoliomodelle und ihre mögliche Verwendung im europäischen Aufsichtsrecht

51%

Klingelhofer H. E. , Albrecht W.

Ekonomia Menedżerska

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2009

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tom nr 6

17-32

PL

Współmierność ryzyka związanego z kapitałem w celu wsparcia ryzyka kredytowego ma zasadnicze znaczenie w przypadku skutecznego funkcjonowania systemu bankowego. Dlatego jest to ściśle regulowane przez narodowe prawo regulacyjne na podstawie międzynarodowych standardów. Ponadto europejskie banki zazwyczaj posługują się modelami portfela kredytowego w celu zarządzania swoimi wewnętrznymi procesami biznesowymi. Do najczęściej omawianych w literaturze przedmiotu modeli należą: CreditRisk + CreditMetrics, CreditPortfolioView i PortfolioManager. Różnią się one zasadniczo pod względem podstaw teoretycznych, definicji ryzyka i parametrów wejściowych. Niemniej jednak, można wykazać specyficzne słabe strony i brak możliwości weryfikacji tych modeli, co powstrzymuje ich zamierzone wykorzystanie w regulacjach prawnych. W tym artykule pokazujemy, które warunki wymogów regulacyjnych i dostosowanie modeli pozwoliłoby na integrację modeli portfela kredytowego w średnim okresie. W pierwszym etapie powinna być możliwość wprowadzenia uproszczonych modeli w celu zdobycia doświadczenia potrzebnego do dalszego rozwoju i wprowadzenia odpowiednich zmian. W czasie późniejszego wprowadzenia pełnych modeli regulacje przejściowe mają zapewnić minimalne wymogi kapitałowe. Dostosowanie norm wewnętrznego zarządzania ryzykiem w bankach przez określenie wewnętrznych mechanizmów kontrolnych i audytu wewnętrznego zmniejszyłoby niepożądane różnice w sposobie stosowania regulacji.

EN

Risk adequacy of capital to support credit risk is crucial for the effective operation of a banking system. Therefore, it is strictly regulated by national regulatory law based on international standards. Additionally, European banks generally use credit portfolio models in order to manage their internal business processes. Among the models that are most discussed in literature we find the models CreditRisk+, CreditMetrics, CreditPortfolioView and PortfolioManager. They differ fundamentally in terms of theoretical foundation, risk definition and input parameters. However, it can be shown that they suffer from various model specific weaknesses and the lack of feasible validation possibilities. This restrains their intended utilization in regulatory law. However, in this paper we show which terms of regulatory requirements and model adjustments would allow for the medium term integration of credit portfolio models. In a first step, there should be the possibility to introduce simplified models to gain experience for further development and appropriate adjustment. During the subsequent introduction of complete models, transitional regulations have to ensure minimum regulatory capital requirements. Adjusting the standards for the banks’ internal risk management by specifying internal control and auditing mechanisms would reduce undesired internal discretion.