Dissertations / Theses on the topic 'Bank capital'

The work undertaken in this study empirically explores the determinants of regulatory bank capital buffers, and how they influence bank decisions. Focusing on bank capital management under the Basel I framework, this thesis serves to address some of the concerns that have been voiced regarding the implementation of the new regulation (Basel II) and the broader economic effects that could result. In particular, the research chapters of this thesis examine the cyclical behavior of European bank capital buffers, the long run relationship between bank capital buffers and charter values, and the simultaneous adjustments of capital and risk. In each of the research chapters, we acknowledge the endogenous nature of the capital decision of a bank, and assume that banks will define an internally optimal probability of default (a function of risk and capital) to be managed over the long term. Adjustment costs, illiquid markets, together with the costs associated with a regulatory breach contribute as factors in a banks internal decision when setting a target capital ratio. Treating capital in this way, we note that it is the amount of capital held above the requirement that determines a banks attitude towards risk. Importantly, this work has shown that excessive risk taking is rarely a consequence of insufficient capital.

Mestrado em Finanças
Neste trabalho, analisamos os determinantes do rácio Common Equity Tier 1 (CET1) dos bancos da União Europeia após a Crise das Dívidas Soberanas. Utilizámos informação da base de dados do Bankscope. Exportámos informação de 137 bancos dos 27 paises da UE no período de 2011 a 2018. Baseámos o nosso estudo numa análise de regressão, sendo que analisámos vários modelos de forma a analisar od determinantes e qual o seu impacto no rácio CET1. Para atestar a robustez dos resultados, replicámos a análise aplicando um processo winsor à variável dependente e à variável que representa o Return on Equity. Verificámos que o tamanho, a exposição ao risco, a alavancagem e a liquidez são fatores que afetam o rácio CET1 e consequentemente a solvabilidade do banco. Adicionalmente, observámos que o programa de compra de ativos por parte do Banco Central Europeu (BCE) aparenta aumentar a capacidade dos bancos para absorver as suas potencias perdas, pelo o que se justifica este tipo de ações por parte do regulador.
We analysed European Union banks' Common Equity Tier 1 (CET1) ratio determinants after Sovereign Debt Crisis. We resorted to information from the Bankscope database. We exported information of 137 banks from the 27 countries belonging to the EU, from 2011 to 2018. We performed a regression analysis, running several models to identify the significant variables and their impact on the CET1 ratio. To attest the results' robustness, we replicate the analysis winsorizing the dependent variable and the variable that represents Return on Equity. We verified that size, risk exposure, leverage and liquidity are factors that affect CET1 ratio and banks solvency. Additionally, we observed that the European Central Banks' (ECB) asset purchase program seems to increase banks' capacity to absorb potential losses, which justifies this kind of measures by the regulator.
info:eu-repo/semantics/publishedVersion

This thesis provides an in-depth discussion on banks' capital structure which has drawn very little attention from the literature. It consists of three major empirical essays. The first essay (Chapter III) reviews the major conclusions drawn from the traditional corporate finance literature that has at length examined the capital structures of non-financial firms, while compares their findings with the limited work on the leverage decisions of banking firms. It aims to provide an insight into the factors that actually govern banks' capital choices, cast doubt on whether capital requirements are binding and primarily decide the bank leverage, and introduce the core assumption of this thesis - information asymmetry as an important determinant of capital structure decisions. The second essay (Chapter IV) empirically investigates the effects of information asymmetry on capital structure adjustments of US bank holding companies (BHCs) during 1986 to 2015. By identifying BHCs with bankrupt subsidiaries and arguing that their managers possess better knowledge than market investors concerning the failure of their subsidiaries, this chapter disentangles the real effect of private information on the capital structures of holding banks. The results show that subsidiary failure significantly affects financial policies of the parent companies. Specifically, BHCs increase leverage as early as one year prior to the failure of their subsidiaries, and substantially lower leverage after subsidiary failure. Further tests document that the parent BHCs increase not only debt borrowing but also liquidity assets, and curtail lending in advance to avoid further liquidity and financial constraint problems after their subsidiary failure. Examinations on the dynamic patterns of these BHCs' performance around the subsidiary failure time confirm a smoother performance transition. The third essay (Chapter V) adds to the evidence in Chapter IV and discusses the information asymmetry effect by identifying a different treatment group - BHCs with subsidiaries engaging in M&A activities. The findings lend further support to the core assumption in this thesis. The chapter also finds the indication that financial constraints of BHCs are on average mitigated following their subsidiaries receiving capital infusion following the M&A deals. Overall, this thesis has important implications for the public to understand various incentives that banks may have in making their capital structure decisions.

This thesis consists of eight chapters investigating the relationship between bank competition and capital allocation. Following the introduction (chapter 1), the second chapter provides a review of the literature. The third chapter extends a seminal contribution in the bank competition literature, the model developed by Broecker (1990). In chapter 4 I show that an auction framework may be an inappropriate way of modeling bank competition and I explore the implications of modeling bank competition in a more robust fashion for the allocation of capital. The fifth chapter aims to resolve a long-standing discrepancy between the empirical and theoretical literatures on bank competition and capital allocation. While theoretical work tends to see few benefits from more intense competition, the evidence suggests that the allocation of capital improves as bank competition becomes more intense. The theoretical model developed in chapter 5 reconciles these results by modeling banks' objective function in a way consistent with empirical evidence on X-inefficiency in banks. Chapters 6 and 7 investigate the transmission mechanism through which a greater intensity of competition is transmitted within banks and study lending-related incentive structures through interview-based fieldwork. Chapter 6 provides motivation and outlines the scope of the study whereas the actual findings are presented in chapter 7. That chapter also analyzes the implications for the lending and monitoring decisions that co-determine the allocation of capital. Chapter 8 concludes.

La tesi affronta il tema del potenziale carattere prociclico della bank capital adequacy, sulla base delle disposizioni di Basilea. In presenza di una normativa che preveda in maniera inderogabile l’obbligo di un patrimonio minimo di vigilanza, qualunque sistema di adeguatezza tenderebbe a essere strutturalmente prociclico e quindi in grado di accentuare le fluttuazioni del ciclo economico. In fase di recessione, il profilo di rischio degli impieghi bancari aumenta, richiedendo maggiori requisiti patrimoniali. Tale situazione potrebbe condurre una banca a rivedere la propria offerta di credito al fine di rispettare il rapporto minimo fra capitale e attivo ponderato, o evitare condizioni di rigidità. Una diffusa riduzione dell’offerta di finanziamenti bancari aggraverebbe così la congiuntura in corso: la stabilità del sistema finanziario verrebbe minacciata e la ripresa dell’economia subirebbe rallentamenti. Il primo Capitolo descrive le problematiche generali della prociclicità, facendo un confronto fra il Primo Accordo sul Capitale (Basilea 1), in cui il fenomeno era limitato ai soli crediti in sofferenza, e il Nuovo Accordo (Basilea 2), dove si passa a una regolamentazione risk-sensitive attraverso il meccanismo dei rating. Nel secondo Capitolo si entra maggiormente nel dettaglio, fornendo una valutazione accurata dei possibili effetti prociclici dei fattori di ponderazione del rischio di credito nell’ambito sia del metodo standard, sia del metodo dei rating interni. Una parte importante è dedicata alla ciclicità delle politiche di provisioning e allo standard contabile internazionale IAS 39, che non riconosce la registrazione prudenziale in bilancio delle perdite attese collegate a eventi futuri, indipendentemente dalla loro probabilità di accadimento. Infine, nel terzo Capitolo si riepilogano le misure anticicliche più rilevanti adottate dal Comitato di Basilea e dall’International Accounting Standards Board, in risposta alla crisi finanziaria iniziata nel 2007.

Notre thèse est constituée de trois articles autoréférents présentés dans trois chapitres. Dans le premier chapitre nous analysons empiriquement l'impact de l'imposition formelle de minima de capital sur la structure du capital des banques. Pour cela , nous effectuons une comparaison systématique de la persistance et de la convergence du ratio de levier non réglementé et des ratios pondérés de capital qui sont eux réglementés. Nous montrons que la discipline de marché influence plus fortement les ratios pondérés de capital que le ratio de levier et que, la rapidité de convergence des ratios pondérés vers les ratios cibles est au moins deux fois plus importante que celle du ratio de levier. Nous en déduisons que l'imposition de minima réglementaires à respecter renforce la discipline de marché et influence ainsi le comportement des ratios pondérés du capital. Dans le chapitre deux nous étudions empiriquement le rôle que joue la discipline de marché dans la constitution d'un coussin de capital et son rôle complémentaire à la contrainte minimale du capital. Nous montrons que la discipline de marché a une influence significative et positive sur le coussin de capital des banques. En distinguant les détenteurs de dette junior de ceux de la dette sénior, nous montrons que tous requierèrent aux banques de détenir un coussin de capital mais que la pression émanant des détenteurs de la dette junior est plus importante. Nous montrons également que les seules banques fortement impliquées dans des activités non traditionnelles subissent la pression de marché. Dans le chapitre trois nous étudions théoriquement le choix de portefeuille sous le dispositif de Bâle II dans le quel la banque détermine le montant de capital requis en fonction de sa propre mesure du risque. Nous montrons en particulier qu'en présence d'asymétrie d'information entre la banque et le superviseur, celle-ci est incitée à sous-estimer sa prise de risque. Ces incitations sont tempérées par l'adjonction d'une simple contrainte de ration de levier comme récemment adopté dans le dispositif de Bâle III
This dissertation consists of three self-contained papers presented in three chapters. In chapter I, we analyse empirically the impact of formal minum capital requirements on bank capital structure by systematically comparing the persistence and convergence of the unregulated and regulated bank capital ratios. We find that, bank risk-based capital ratios are much more influenced by market discipline compared to the leverage ratio and that, their speeds of adjustment are at least two times higher than that of leverage ratio. By specifying minimum regulatory capital requirements, the Basel accords foster market discipline which acts as a watchdog of the rules and thus ultimately influence the behavior of the risk-adjusted capital ratios. In chapter 2, we investigate empirically the role market discipline plays in banks' capital buffer build-up and its complementary role to the minimum capital requirements constraints. We show that market discipline significantly and positively affects banks'capital buffer. By distinguishing junior from senior debt holders, we find that the both types of investors exert a pressure on banks to hold more capital but that the pressure exerted by junior debt holders is higher. We also find that the market exerts a pressure to hold a capital buffer only on banks heavily involved in non-traditional activities. In chapter 3, we investigate theoretically bank portfolio allocation under Basel II where the amount of required capital is determined by bank' s own risk assessment. We particularly show that in presence of asymmetric information between the bank and the supervisor, it has incentives to understate its risk taking which could be curbed by the addition of the simple leverage ratio constraint as recently adopted in Basel III

Cette thèse examine trois questions importantes dans le secteur bancaire, à savoir le risque, les fonds propres et le crédit. Elle comprend trois essais empiriques. Le premier chapitre analyse l'impact du «printemps arabe» et de la crise financière mondiale de 2007-2008 sur la stabilité du secteur bancaire dans la région MENA. Les résultats montrent que le «printemps arabe» n'a pas eu d'effet négatif sur la stabilité des banques, alors que la crise financière mondiale a considérablement réduit leur stabilité. Le deuxième chapitre étudie le rôle joué par l'environnement institutionnel dans la mise en place de coussin de fonds propres par les régulateurs ou par les banques en interne. D’après les résultats, pour que les ratios de capital réglementaire soient efficaces, l'environnement institutionnel ne doit pas être négligé lors de la mise en place de ces ratios. Le troisième chapitre étudie les différents effets des droits des consommateurs et des créanciers sur le coût des prêts. Les résultats révèlent que le coût des prêts augmente en présence de lois strictes sur la protection des consommateurs, tandis que l'augmentation des droits des créanciers réduit ce coût
This thesis examines three important issues in the banking sector, namely: Risk, Capital and Lending. It comprises of three empirical essays. The first chapter analyzes the impact of the 'Arab Spring' and the Global Financial Crisis of 2007-2008 on the banking sector stability in the MENA region. The results show that the ‘Arab Spring’ did not have a negative effect on banks’ stability, while the Global Financial Crisis significantly decreased banks’ stability. The second chapter investigates the role played by the institutional environment in determining capital buffers set either by regulators or by banks internally. The findings provide evidence that for the regulatory capital ratios to be effective, the institutional environment should not be neglected when implementing these ratios. The third chapter investigates the different effects of both consumers’ and creditors’ rights on the cost of lending. The results reveal that the cost of lending increases in the presence of strong financial consumer protection laws, while higher creditors’ rights decrease this cost

Purpose: The purpose of this study is to describe and explain the relation of changes in capital requirements on the profitability of Swedish banks. Method: A mixed model approach is used. The quantitative approach is con-ducted through the collection and analysis of statistics from Swe-dish banks and financial institutions. The qualitative research ap-proach is used to obtain further insights into the Swedish banking system and how banks are managing capital requirements. This is conducted through interviews with respondents from a large bank, a niche bank, and the Riksbank. Analysis: The analysis is made on yearly data from 1999 to 2015. Return on equity and net interest margin are individually used as dependent variables. The independent variables are various capital ratios which are defined by the Basel framework. The results from the quantitative analysis are in line with the findings from the qualita-tive interviews. Conclusion: On one hand, capital requirement ratios seem to have a negative and statistically significant correlation with the Return on Equity for both large banks and niche banks. On the other hand, capital re-quirement ratios seem to have a positive and statistically significant correlation with the Net Interest Margin for niche banks.

Philosophiae Doctor - PhD
The aim of this study is to construct and propose continuous-time mathematical models for optimal management of bank capital, reserves and liquidity. This aim emanates from the global financial crisis of 2007 − 2009. In this regard and as a first task, our objective is to determine an optimal investment strategy for a commercial bank subject to capital requirements as prescribed by the Basel III Accord. In particular, the objective of the aforementioned problem is to maximize the expected return on the bank capital portfolio and minimize the variance of the terminal wealth. We apply classical tools from stochastic analysis to achieve the optimal strategy of a benchmark portfolio selection problem which minimizes the expected quadratic distance of the terminal risk capital reserves from a predefined benchmark. Secondly, the Basel Committee on Banking Supervision (BCBS) introduced strategies to protect banks from running out of liquidity. These measures included an increase of the minimum reserves that the bank ought to hold, in response to the global financial crisis. We propose a model to minimize risk for a bank by finding an appropriate mix of diversification, balanced against return on the portfolio. Thirdly and finally, in response to the financial crises, the Basel Committee on Banking Supervision (BCBS) designed a set of precautionary measures (known as Basel III) for liquidity imposed on banks and one of its purposes is to protect the economy from deteriorating. Recently, bank regulators wanted banks to depend on sources such as core deposits and long-term funding from small businesses and less on short-term wholesale funding.

I analyzed a sample of 228 U.S. bank acquisitions announced from January 1996 to December 2015. This dissertation explores whether acquiring banks pay more for targets with a higher capital ratio using a better measure of goodwill than previous studies. Specifically, this study uses manually collected goodwill to evaluate the value of bank capital, a measure that I argue is superior to those used in prior studies. I collect information about goodwill for 203 merger and acquisition (M&A) deals. I find a positive relation between the target's capital ratio and the goodwill paid for targets, which is consistent with previous cross sectional analysis on the relation between bank equity capital and value. This positive relation exists in the deals with a bank target, but not when the target is a savings institution. Furthermore, I find that the positive association between the target's capital ratio and goodwill paid by the acquirer only exists in the sample of acquisitions of banks announced before the 2007 financial crisis. This dissertation also evaluates the value of bank capital by analyzing the changes in shareholders' wealth around the announcement of M&As. My empirical analysis shows that banking mergers create value for the shareholder of targets. However, I find a significantly negative association between target's capital ratio and cumulative abnormal return to acquirers in M&As. Furthermore, I also report that this negative association only holds in M&As announced during and after the financial crisis. This dissertation also investigates the impact of bank capital on the cost of equity, another channel through which capital can influence banks' value. This dissertation tests the potential impact of bank capital on the cost of equity in the context of bank M&As. M&As are a good laboratory to study the relation between bank capital structure and the cost of equity capital because M&A transactions alter capital structure, and thus could change the cost of equity capital of the acquiring bank. My empirical results show a positive association between the target's capital ratio and the change in acquirer's annual cost of equity capital after the completion of the deals. Additionally, I also analyze a sample of non-US bank M&As and find a negative association between the target's capital ratio and the cumulative abnormal return of banks acquired in M&As.

This dissertation focuses primarily on potential explanations for bank common stock abnormal returns, and their patterns, coincident with the announcement of bank capital issues. Potential influences considered include increased regulatory pressure, conflicting regulatory and market views of bank capital adequacy and the relative predictability of security type. Where possible, the dissertation is set in both UK and US contexts. The dissertation has four principal research components; (1) a review of historical and contemporary bank capital regulation in the UK and US. Historical analysis indicates that the definition of capital, as determined by its functional properties, is dynamic and qualifies the consistency of its measurement over time. The regulatory control of absolute levels of capital is seen to have influence on bank structural development, costs and risk. The regulatory control of relative bank capital (ie in terms of balance sheet structure) is found to have a long and controversial history in the US and is effective progenitor of the current methodology of bank capital measurement and assessment, such as the Basle Agreement, and contains a number of potentially costly deficiencies. (2) an examination of bank capital issue announcement effects in the UK. Following similar work in the US (eg Keeley 1989) negative abnormal return effects are found associated with the announcements of UK ordinary share issues. Also, evidence hints that an imposed increase in regulatory capital pressure (viz the introduction of a minimum capital ratio regime) causes a reduction in issue announcement effects for ordinary share issues. (3) assessment of the capital adequacy of UK and US banks from a market perspective and in terms of a number definitions of capital; namely equity, regulatory primary capital (US), and the 1992 Basle Agreement capital. Conflict between market and regulatory views of capital adequacy are observed in certain years for primary capital. In terms of the capital structure relevance hypothesis, this suggests particular costs which may influence issue announcement effects. (4) modelling the predictability of UK bank capital issue security type (viz ordinary share and debt) and assessing the hypothesis that it is inversely related to the announcement abnormal returns.

Submitted by Mauricio Barbosa Alves (mauricio.alves.b@gmail.com) on 2018-06-14T15:35:01Z No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5)
Approved for entry into archive by Katia Menezes de Souza (katia.menezes@fgv.br) on 2018-06-14T15:46:59Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5)
Approved for entry into archive by Isabele Garcia (isabele.garcia@fgv.br) on 2018-06-15T18:00:51Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5)
Made available in DSpace on 2018-06-15T18:00:51Z (GMT). No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) Previous issue date: 2018-05-29
We study the long-run impact of the adoption of macroprudential tools. We derive a dynamic general equilibrium model featuring endogenous TFP change and allowing banks to choose their balance sheet structure endogenously. Banks choose vulnerable balance sheet structure depending on perceptions about fundamental risk. The design of prudential tools matters because it changes the riskiness of assets in a particular way, possibly increasing banking ability to fund projects. This introduces a novel channel to explain economic growth: risk mitigation.We then use the model to show numerically that there is a non-linear relationship between long-run growth and macroprudential policy intensity for several prudential rules considered in the related literature. We derive a welfare function and show that a welfare-maximizing regulator faces a growth-risk trade-off: welfare is maximized when growth is below its maximum value for each policy design we consider.
Estudamos os impactos de longo prazo da adoção de ferramentas macroprudenciais. Derivamos um modelo de equilíbrio geral dinamico no qual há mudança endógena da PTF e permitindo que os bancos escolham sua estrutura de balanço endogenamente. Os bancos escolhem uma estrutura de balanço vulnerável dependendo das percepções sobre risco fundamental. O desenho de ferramentas prudenciais é importante porque altera o grau de risco dos ativos de uma determinada maneira, possivelmente aumentando a capacidade bancária de financiar projetos. Isso introduz um novo canal para explicar o crescimento econômico: a mitigação de riscos. Em seguida, usamos o modelo para mostrar numericamente que existe uma relação não linear entre o crescimento de longo prazo e a intensidade da política macroprudencial para várias regras prudenciais consideradas na literatura relacionada. Obtemos uma função de bem-estar e mostramos que um regulador que maximiza o bem-estar enfrenta um tradeoff de risco de crescimento: o bem-estar é maximizado quando o crescimento está abaixo de seu valor máximo para cada desenho de política que consideramos.

Notre thèse développe une nouvelle méthode pour analyser les capitaux propres des banques, basée sur la distinction entre capital actionnarial (dit ‘shareholder equity’) et capital de l’entité bancaire (dit ‘entity equity’). Cette nouvelle mesure –du capital actionnarial permet de distinguer les capitaux propres bancaires effectivement apportés par les actionnaires. Cette mesure s’avère pertinente pour interpréter les transformations récentes de la relation entre actionnaires et entités bancaires. Elle identifie et comptabilise les transactions entre les entités bancaires et leurs actionnaires, en permettant ainsi : l'analyse des origines du capital bancaire et de son évolution ; l’impact des stratégies d'entreprise financiarisées qui cherchent à économiser l’apport en capital actionnarial ; une mesure améliorée du capital actionnarial prudentiel qui est censé apporter une protection contre les risques encourus et les pertes éventuelles. De nos jours, une tension fondamentale pèse sur les capitaux propres bancaires, entre les actionnaires demandant des politiques de distribution généreuses, et l’intérêt général qui nécessite d’un système bancaire stable et résilient. Cette tension entre les exigences des actionnaires et la constitution d’un capital actionnarial suffisant est documenté par notre analyse dans la période avant et après la crise financière globale. Nous analysons les capitaux propres de neuf banques européennes entre 2001 et 2015. Ces cas montrent des distributions importantes en faveur des actionnaires et au détriment des objectifs de solvabilité financière.Les apports des actionnaires aux capitaux propres de l'entité bancaire ainsi qu'au capital prudentiel ont été limités avant la crise, et ne s’améliorent que modestement après celle-là,malgré des injections nouvelles importantes. Nos résultats suggèrent que, à l'ère des stratégies d'entreprise financiarisées, des niveaux suffisants de capital bancaire de haute qualité sont essentiels pour protéger l'intérêt général et empêcher les banques de devenir des véhicules d'investissement financiarisés pour certains actionnaires. Cela amène à repenser les capitaux propres des banques dans la recherche d’un arrangement plus durable et soutenable avec leurs actionnaires
The thesis introduces a new accounting method based upon the distinction between shareholder equity and the residual entity equity. Shareholder equity presents the actual contributions of shareholders to the bank entity. It allows for the analysis of bank’s equity position in light of a transformed idea of shareholding as experienced in recent years. The measure identifies and visualises equity transactions of banks relating to shareholders; and with it, allows for the analysis of the two main shaping forces of bank equity: financialized corporate strategy which seeks to economize the bank equity position; and regulatory capita lwhich provides a risk buffer to absorb eventual losses. Addressees of these two forces are shareholders who pressure banks to follow generous distribution policies and society at largewhich demands a safe and sound banking system. This trade-off between return to shareholders and a sufficient equity base is well documented in the pre-crisis and post-crisis period. Our analysis of shareholder equity position applies to nine European banks between 2001 and 2015. It reveals substantial distributions at the detriment of financial solvency concerns. Shareholder contributions to the bank entity as well as to regulatory capital werelimited in the pre-crisis period, with rather modest improvements in the post-crisis perioddespite substantial capital injections. Findings suggest that, in an era of financialized corporate strategy, sufficient levels of high quality capital are essential to safeguard general interest and prevent banks to become financial investment vehicles for their shareholders

Економічний капітал банку – досить нове економічне поняття. Воно виникло в процесі генезису захисної функції банківського капіталу як таке, що більше реалізує цю функцію, ніж традиційно відомий регулятивний капітал комерційного банку.

The aim of this thesis is to evaluate the impact of Basel III on Czech banks and to compare the effectiveness of capital ratios in predicting bank distress. After a short introduction, in the second chapter we estimate the impact of tightened Basel III capital regulation on lending spreads in the Czech banking sector. In this chapter we conclude that the tightened capital regulation will not lead to more expensive borrowing in the Czech Republic mainly because the banking sector has been well-capitalized. In the third chapter we identify the strategies that Czech banks adopted in order to significantly increase their capital ratios between 2009 and 2013. Our analysis shows that retained earnings have played a major role in increasing the average capital adequacy of Czech banks. In addition, the Czech banks have decreased their average asset risk to further strengthen the overall capital adequacy ratio. In the last chapter, using a dataset on bank distress in European banks during 2008-2012, we compare the performance of risk-weighted capital ratios and simple leverage capital ratios to predict bank distress. Our results suggest that simple leverage ratios can perform better than complex risk-weighted capital ratios when predicting bank distress. While such a finding is not conclusive, it suggests that more complex risk modeling does not always mean better risk modeling.

This research examines the impact of certain bank-specific variables on bank stability in Ghana, in the context of the existing regulatory structures. The thesis examines this issue along two main themes. The first part of this study examines whether two of the commonly used measures of banking stability, the CAMELS and the Z-Score, provide similar or different results in assessing the stability of banks in Ghana. The results of this study show that the use of the CAMELS and the Z-score measures could lead to different outcomes in terms of bank stability in Ghana. This suggests that the traditional micro-prudential CAMELS framework should be complemented with the Z-score which inherently has both micro and macro-prudential characteristics of signaling weaknesses in bank stability, and to enhance the management of bank stability. The second part of the study examines the impact of some bank-specific variables on bank stability. Using the panel data approach, the results show that while bank size, regulatory governance, regulatory independence and origin impact significantly on the stability score, there was no significant impact in terms of interbank borrowing and non-performing loans. Further analysis using the Blinder –Oaxaca decomposition also suggests that foreign banks in Ghana exhibit relatively higher levels of stability compared to local banks. The policy implications of these findings suggest that the liberalisation of the banking sector should be accompanied by an effective micro- and macro-prudential supervisory regime in order to manage the stability of the constituent banks and the banking sector as a whole.

In this dissertation we investigate different aspects of capital regulations and their impact on the behavior of commercial banks. In chapter two, we foucs on the impact of capital regulations on risk-taking of commercial banks in developed and developoing countries separately and togahter. We find that such regulations indeed reduce the risk taking of commercial banks. At the same time, we examine the relationship between capital ratios and risk taking. In line with previous literature, we find that this ratio is negative also. Further examinations including the degree of liberalization and the level of finanicl development did not yield conclusive results. In chapter three, we examine the relationship between the capital regulations and total lending and total depositis. We do not find conclusive evidence in support of the ‘credit crunch' or the ‘ risk retrenchment' hypothesis. However, several important variables do show a tendency to change with capital ratios. As a result, changes in capital ratios in response to regulations do have important impact on bank lending and decision making. In chapter four, we study five South East Asian countries within the context of the crisis of 1996. First we test for the existence of depositor discipline in these countries and find that the sate of such discipline is very weak even after such a huge crisis. We also test the degree of risk taking in the banking industry in these countries. Evidence shows that perfect competition prevails in the bankins secotr. We also try to establist the link between "the index of depositor discipline" and "index of competition". But we don't find evidence in support of this.

This thesis investigates the relationship between bank business models, capital structure, lending behaviour and risk. First, we investigated the impact of bank business models on stock crash risk. In a sample of 1373 listed banks in 34 OECD countries over the period 2000-2013, we found that the investment bank business model is associated with lower stock crash risk while the commercial and the universal business models are more likely to encounter higher stock crash risk. In addition, we found that commission and fees income is the least likely to be prone to stock crash risk. Moreover, the findings show that there is a negative relationship between the long-term funding structure and stock crash risk, while there is a positive relationship between the short-term funding structure and stock crash risk. Second, we investigated whether stock volatility has an impact on bank capital decisions. We found that banks react to increases in stock volatility by reducing leverage, specifically, by depending more on short-term funding and less on long-term funding. We also found that banks respond to increases in stock volatility by increasing paid-in share capital and increasing the usage of reserves. By analysing banks assets, we found that during volatile periods, banks tend to hold less of risky assets, particularly, by reducing lending, depending more on securities, and increasing the holding of liquid assets. Our findings also show that the reduction in portfolio risk is associated with drops in income. Third, we investigated whether stock volatility has an impact on banks’ lending decisions and whether this relationship is influenced by the financial crises. We found that banks react to stock volatility by reducing the credit supply of each of net loans, gross loans, retail loans, and commercial loans; while no significant effect is reported on mortgage loans. Moreover, the effect of both the global financial crisis (2008-2009) and the Eurozone crisis (2010-2011) are found to be associated with decreased loans, while prior the crises period (2000-2007) showed this particular relationship to be weaker. We found that bank size is an important factor determining bank lending, as large banks are found to be less affected by stock market uncertainty than small banks. We also found that stable sources of funding such as capital and customer deposits play an important role in stabilizing the lending behaviour of banks. Finally, we confirmed the significant role of stock volatility in predicting future banks’ lending decisions.

The concept of “social capital” has received considerable attention these years. Yet, few studies have explored the connections between social capital and bank risk-taking. In this study, I discuss the theory of social capital and its relevance to financial market behavior, and then I analyze the relationship between social capital and bank risk-taking across countries. To measure social capital, I follow Knack and Keefer (1997) and use the data of trust and civic norms collected from the World Values Survey. My measure of bank risk-taking is the nature logarithm of Z-score of each bank. Empirical results show that bank risk-taking is lower in countries where social capital is higher. It is also shown that the impact of social capital is stronger when the level of education in the country is lower. This paper investigates the negative impact of social capital on non-performing loan as well.

Cette thèse examine l'impact des institutions formelles et informelles sur les ratios de fonds propres et les prêts des banques. Elle est composée de trois essais empiriques. Le premier chapitre explore l'effet de la qualité juridique et institutionnelle formelle sur les ratios de fonds propres pondérés par rapport aux ratios de fonds propres non pondérés des banques dans la région du Moyen-Orient et de l'Afrique du Nord. Les résultats montrent que lorsque les marchés boursiers sont moins développés, les variables institutionnelles affectent de manière significative les ratios de fonds propres réglementaires pondérés par le risque, mais pas les ratios de levier. À l'inverse, lorsque les marchés boursiers sont plus développés, seuls les ratios de levier sont influencés par des facteurs institutionnels. Le deuxième chapitre parcourt la relation entre les ratios de fonds propres des banques, le cadre juridique et institutionnel et les prêts bancaires en utilisant un échantillon mondial de banques commerciales. Les résultats confirment que le développement institutionnel est un moteur important du crédit bancaire, tandis que l’effet des ratios de capital sur le crédit bancaire reste d’une importance mineure. Le troisième chapitre porte sur le rôle de la confiance dans le développement du crédit bancaire dans le monde. Les résultats confirment que la confiance Inter-groupe, la confiance envers les personnes que nous ne connaissons pas, renforce de manière significative les prêts bancaires dans les pays dans lesquels le développement institutionnel et judiciaire est relativement moins développé. En ce qui concerne la confiance intra-groupe, la confiance envers les personnes que nous connaissons, les résultats empiriques montrent qu’elle affecte indirectement le crédit bancaire en favorisant le développement du crédit informel
This dissertation examines the impact of formal and informal institutions on bank capital ratios and lending. It comprises three empirical essays. The first chapter explores the effect of the legal and institutional quality on bank risk-weighted capital ratios versus non risk-weighted capital ratios in the Middle East and North Africa region. The findings show that when stock markets are less developed, institutional variables significantly affect risk-weighted regulatory capital ratios but not leverage ratios. Conversely, when stock markets are more developed, only leverage ratios are influenced by institutional factors. The second chapter explores the relationship between bank capital ratios, the legal and institutional framework, and bank lending using a global sample of commercial banks. The results confirm that institutional development is a significant driver of bank lending while the effect of capital ratios on bank lending remains of minor importance. The third chapter focuses on the role of trust in bank lending development around the world. It provides evidence that Out-group trust, the trust in individuals we do not know, significantly boosts bank lending in countries with relatively lower levels of institutional and judicial development. As for In-group trust, the trust in individuals we know, evidence shows that it affects bank lending indirectly by favoring the development of informal lending

This thesis is focused on the new basel capital accord - Basel II. The first part of the work deals with financial risks and their regulation. Next part is concerned on Basel I and Basel II. This part defines basic terminology and three pillars - minimum capital requirements, supervisory review process and market discipline. In the last part there is an analysis of impact of Basel II on capital adequacy of czech banks.

This dissertation consists of two studies related to internal capital markets and bank relationship using Japanese corporate spin-offs. The first study analyzes the relation between internal capital markets and banks by examining 137 Japanese corporate spin-offs created between the years 2001 and 2003 (since the establishment of new spin-offs law in 2001). In a univariate analysis, we find significant positive average cumulative abnormal returns around the announcements, market-adjusted excess returns after the spin-offs, an increase of the Herfindahl index, and a reduction in the diversification discount after the spin-offs. In a cross-sectional analysis, we find that bank-related governance variables such as the keiretsu-affiliation indicator, bank loan to total asset ratio, main bank ownership, and indicator variable of the existence of a bank-appointed director on the board indicator variables are significantly positively related to cumulative average abnormal returns around the announcements, market-adjusted excess returns after the spin-offs, an increase in focus of firms in terms of the Herfindahl index, and a reduction in the diversification discount. Therefore, we conclude that there is a significant relationship between internal capital markets and banks in Japan; after the internal capital market reorganization through spin-offs the closer relationship with banks creates shareholder wealth and increases the focus of firms. This paper is now co-authored with Professor Yoon K. Choi. The second study analyzes the investment policy changes in internal capital markets and the effect of banks' monitoring on the investment changes using Japanese corporate spin-offs, including merger-facilitated spin-offs within conglomerates. We find that investment sensitivity increases significantly after internal restructuring through spin-offs, consistent with Gertner et al. (2002). Furthermore, our results show that bank-related spin-offs' investments are more sensitive to investment opportunities, Tobin's Q, after being spun off. This suggests that the efficiency of Japanese internal capital markets has increased through spin-offs after the financial deregulation in 2001. We conclude that banks seem to play significant monitoring roles in internal capital markets to increase the investment efficiency after spin-offs. This paper is now co-authored with Professor Yoon K. Choi.
Ph.D.
Department of Finance
Business Administration
Business Administration: Ph.D.

L'objectif de cette thèse est de fournir une évaluation de l'importance des caractéristiques du réseau bancaire pour expliquer la prise de décision des banques soumises à différents scénarios de politiques macroprudentielles et monétaires. Cette thèse examine donc les implications de la topologie des réseaux interbancaires pour la réglementation du capital et de la liquidité des banques et pour les politiques monétaires. Le premier chapitre examine comment les banques définissent leurs ratios de liquidité en fonction de la topologie de leur réseau sur le marché interbancaire. Nos résultats montrent que la prise en compte les connexions bancaires au sein d'un réseau améliore significativement les modèles de liquidité traditionnels. De plus, nous montrons que les banques fixent un ratio de liquidité plus bas lorsqu'elles ont un accès plus facile au marché interbancaire. Nos résultats soulignent également que le comportement en termes de liquidité des banques de tailles différentes ou des banques opérant dans différents systèmes bancaires pourrait varier en fonction de leurs positions interbancaires locales ou à l'échelle du système. Le deuxième chapitre analyse la réaction des prix des actions des banques aux annonces de politiques monétaires en fonction de leur position sur le marché interbancaire. Nos résultats montrent que la prise en compte de la manière dont les banques sont liées au sein d’un réseau contribue à l’explication de la réaction des prix de leurs actions à l’annonce des politiques monétaires. Nos résultats suggèrent qu'une position de réseau solide à l'échelle du système augmente les réactions positives à de telles annonces de politiques, alors qu'une position de réseau locale forte les réduit. Le troisième chapitre examine comment les effets de substitution de la liquidité sur le capital sont influencés par la position de la banque sur le marché interbancaire. Nous montrons que l’effet de substitution de la liquidité sur le capital est atténué si les banques sont fortement interconnectées dans le réseau interbancaire. Nos résultats suggèrent qu'en période de crise, les grandes banques non liquides détiennent un ratio de fonds propres élevé uniquement lorsqu'elles occupent une position faible sur le réseau interbancaire au niveau local ou à l'échelle du système, tandis que les petites banques non liquides renforcent leur solvabilité lorsqu'elles comptent un plus grand nombre d'emprunteurs directs
The aim of this dissertation is to provide an evaluation of the importance of the bank network characteristics in explaining bank decision making under different macroprudential and monetary policy scenarios. This study examines, therefore, the implication of interbank network topology for bank capital and liquidity regulation and for monetary policies. The first chapter investigates how banks set their liquidity ratios depending on their network topology in the interbank market. Our results show that incorporating bank connections within a network adds value to traditional liquidity models. Moreover, we show that banks set lower liquidity ratios when they have easier access to the interbank market. Our findings also highlight that liquidity behavior of banks with different size, or banks that are operating in different banking sectors could vary depending on their local or system-wide interbank positions. The second chapter analyses the reaction of bank stock prices to the announcements of monetary policies depending on their position on the interbank market. Our results show that taking into account the way that banks are linked to each other within a network adds value to explain bank stock prices reaction to the announcement of monetary policies. Our findings suggest that strong system-wide network position increases the positive reactions to such policy announcements while strong local network position reduces them. The third chapter examines how the substitution effect of liquidity on capital are influenced by bank network position on the interbank market. We show that the substitution effect of liquidity on capital is dampened if banks are strongly interconnected in the interbank network. Our findings suggest that during crisis periods, illiquid large banks set higher capital ratio only when they have a weak local or system-wide position on the interbank network while illiquid small banks strengthen their solvency when they have a higher number of direct borrowers in that network

During the Great Recession of 2007 and 2008, liquidity and credit dried up, threatening the stability of financial institutions, particularly the banking firms. Traditional source of funds from the last resort, the Discount Window of the Federal Reserve System, failed to remedy the liquidity problem. To assuage the liquidity and credit problem, the Federal Reserve System established several emergency lending facilities and provided unprecedented amount of loans to the banking industry. Using a dataset published by Bloomberg LLP in the aftermaths of the financial crisis, which contains daily loan balances from the Fed, I conduct an event study to test whether financial markets are efficient in reflecting all public, anticipated and classified information in security prices. The most important contribution of this dissertation to the finance discipline and literature is the investigation and analysis of the Fed’s unprecedented loans to the banking industry during the Great Recession and the market reaction to it. The second major contribution of this study is the empirical test of strong form efficient market hypothesis, which has not been feasible due to legal data challenges. This dissertation has other contributions to the finance discipline and banking research. First, I develop an algorithm for measuring the amount of borrowing by banks. Second, I introduce a new “loan balance” ratio to traditional list of bank financial ratios. Third, I use event study methodologies to allow for cross-correlation, heteroscedasticity and event induced-variance change in studying US banks’ performance during the Great Recession.

As a result of the new regulatory prescripts for banks, known as the Basel II Capital Accord, there has been a heightened interest in the auditing process. We consider this issue with a particular emphasis on the auditing of reserves, assets and capital in both a random and non-random framework. The analysis relies on the stochastic dynamic modelling of banking items such as loans, shares, bonds, cash, reserves, Treasuries, outstanding debts, bank capital and government subsidies. In this regard, one of the main novelties of our contribution is the establishment of optimal bank reserves and a rate of depository consumption that is of importance during a (random) audit of the reserve requirements. Here the specific choice of a power utility function is made in order to obtain an analytic solution in a Levy process setting. Furthermore, we provide explicit formulas for the shareholder default and regulator closure rules, for the case of a Poisson-distributed random audit. A property of these rules is that they define the standard for minimum capital adequacy in an implicit way. In addition, we solve an optimal auditing time problem for the Basel II capital adequacy requirement by making use of Levy process-based models. This result provides information about the optimal timing of an internal audit when the ambient value of the capital adequacy ratio (CAR) is taken into account and the bank is able to choose the time at which the audit takes place. Finally, we discuss some of the economic issues arising from the analysis of the stochastic dynamic models of banking items and the optimization procedure related to the auditing process.
Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2009.

This thesis consists of three empirical essays on contemporary issues related to the banking and financial sector, particularly banks’ capital, performance, and financial inclusion. The first essay investigates the determinants of bank capital structure taking into account the impact of the crisis, banks’ systemic size and risks. Using a sample of the European Economic Area’s listed banks over 2005-2014, we find that equity capital is negatively associated with size and positively with profits, market-to-book ratio, dividends, and market return volatility risk; while credit risk does not seem to significantly affect banks’ capital structure decisions. Moreover, we find a positive relationship between equity capital and banks’ reputational risk related to Environmental Social Governance issues. The second essay explores the relationship between financial inclusion and bank performance proxied by a CAMEL-based performance index constructed using principal component analysis. We use alternative measures of financial inclusion, and distinguish between high and low income countries for 131 countries over 2005-2014. Our evidence shows that bank performance is negatively associated with credit deepening and positively with the number of ATMs. However, we find a positive association between different indicators of financial inclusion and bank performance in low income countries. The third essay develops a multidimensional financial inclusion index using principal component analysis for a sample of 95 countries over the period 2004-2015. The financial inclusion index shows an overall progress over the sample period, most markedly in the accessibility and usage dimensions. Examining country-specific factors that explain differences in the level of financial inclusion, we find that higher banking system competition, financial freedom, and capital stringency are associated with higher financial inclusion. Additionally, the level of human development, gender inequality, and education matters greatly in explaining the variation in financial inclusion across countries.

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
This empirical study observes the relationship between bank capital and stock performance when an unexpected negative shock materializes to bank value. The analysis covers the three months after the collapse of Lehman Brothers on the 15th September 2008, using the holding period stock return as the dependent variable. With data from the US largest commercial banking and saving and loans institutions, we constructed a multiple regression model and performed several estimations using different definitions of bank capital. Our conclusions are consistent with the premise that better capitalized banks are in a better position to withstand the negative impacts of a disruptive financial event, such as the Lehman collapse, and therefore are susceptible to smaller stock price declines. We also find evidence that simpler and more conservative capital ratios are perceived by equity market participants as more accurate measures of bank health relative to regulatory risk based ratios. Therefore, our results provide support to the inclusion of simpler capital ratios that rely on balance sheet information to bank regulatory frameworks.

The increasing importance of bank prudential regulation in an era of financial liberalization and intense competition, together with the lack of empirical research on capital adequacy in the Spanish banking system, shape the motivation for this study. This research examines the impact of the Spanish bank capital adequacy regulation on capital augmentations (changes in the total amount of the capital) of banking institutions operating in Spain. The period analyzed is 1987-90, during which deregulation and the 1985 risk-based capital requirements have been two major forces in the Spanish banking markets. An empirical model of capital augmentations is developed for Spanish banks. The general model (employing regulatory and book-value capital) for both private and savings banks appears to explain better the capital augmentations of savings banks compared with those of private banks. One of the main findings in this general model is that capital adequacy regulation appears to be a stricter constraint for savings banks. Market-value capital is also employed in the model for the Spanish private banks quoted on the Spanish stock market, but the explanatory power of the model is not improved. When bank size is introduced into the analysis, the results appear to indicate that larger banks might have certain advantages in terms of capital ratios and in terms of capital augmentations. The findings of this research have implications for the role of the market in regulating capital adequacy, for the deregulation - reregulation framework of banking, the economic desirability of 'functional' (versus institutional) supervisory regulation of banks, and for the competitive neutrality of bank legislation.

Thesis (Ph. D.)--West Virginia University, 1999.
Title from document title page. Document formatted into pages; contains vi, 175 p. : ill. Includes abstract. Includes bibliographical references (p. 173-175).

Ghanaian banks struggle to maintain sufficient capital after the Bank of Ghana increased the minimum capital requirement as a buffer against the 2008 financial crisis. Grounded in the efficient structure theory (EST), the purpose of this correlational study was to examine the relationships between efficiency, size, risk, and ownership structure on banks' performance when minimum capital requirement increases. Archival data were collected from PricewaterhouseCoopers website covering all Ghanaian banks with available data for the 5-year period ending 2013. Initial one tail paired sample t tests revealed significant increases over time for efficiency, t(21) = 3.849, p -?¤ .001, net interest margin (NIM), t(21) = 5.201, p -?¤ .001, return on equity (ROE), t(21) = 1.833, p -?¤ .041, and risk t(21) = 3.614, p -?¤ .001. The results of the multiple regression analysis indicated the EST models could significantly predict bank performance for the 5-year period ending 2013. X-efficiency model could predict NIM F(8, 123) = 6.94, p =.00, R2 = .288, efficiency and ownership type were statistically significant with efficiency (t = 6.09, p -?¤ .001) denoting higher to the model than foreign banks (t = 2.96, p -?¤ .004). While, scale efficiency model could predict ROE, F(8, 123) = 5.18, p =.00, R2 = .133, ownership type and size were statistically significant with State banks (t = -2.26, p -?¤ .025) denoting more to the model than size (t = 2.00, p -?¤ .047). Society can benefit from the results of this doctoral study because investors, bank of Ghana, and bank managers could better predict the banks' performance based on the information from the study, which may lead to a higher families' confidence in the positive contribution of banks in their communities.

[eng] This dissertation thesis analyzes the determinants of the capital ratio of banks and also the dynamics of the leverage ratio, exploring the driving forces of the issuance of debt and capital instruments. My thesis contributes to shed light on how certain decisions of banks during the years prior the crisis generated latent risks in their liability side that were revealed with the outburst of the crisis, and on the implications of the restructuring for the banking system in terms of productivity, concentration and profitability. This dissertation can be divided in three well-differentiated chapters. The first two chapters focus on the years before the crisis, and the last chapter analyzes the changes in the banking sector after the crisis. Chapter 1 explores how banks choose the composition of regulatory capital, and whether different structure of regulatory capital might entangle different risks of the bank. The target is to analyze whether banks fulfill their regulatory obligations using a combination of financial instruments that do not minimize the capacity to absorb losses, but that respond to other incentives such as the minimization of financing costs. Using data of Spanish banks during the period 1998-2007, we provide evidence that the increasing weight of hybrid capital can be read as a leveraging process within the regulatory capital, since there is an increment of the debt-like instruments with respect to the common capital that responds to the same determinants than the standard leverage ratio. The second Chapter of this thesis analyzes the same problem from a dynamic perspective, focusing on the issuances of financial instruments and empirically testing a set of hypotheses on the decisions to issue different types of financial instruments. This Chapter analyzes the financing choices of banks under capital regulation during the expansion period that preceded the crisis using data from Dealogic on the issuances of financial instruments of Spanish banks to test whether financing choices respond to predictions derived from the corporate finance theory and/or to capital regulation. We find that banks financed their exponential growth with debt instruments and covered the additional regulatory capital requirements from higher risk-weighted assets with the issuance of hybrid instruments. We also find that banks choose the financial instruments that minimize asymmetric information costs. Finally, Chapter 3 of this thesis is focused on the consequences of the crisis on banks from the point of view of productivity and the effect on bank restructuring. This Chapter analyzes the effects of banking productivity on the evolution of interest rates and on the exit of banks from the Spanish banking sector during the years 2007-2015. Using a theoretical framework of competition with heterogeneity in operating costs, we propose a set of hypotheses which are tested using empirical models. The results show that the productivity of the banking industry had a moderate growth of 2% during the period analyzed, that improvements in the efficiency of the banks are transferred to a decrease in loans’ interest rates and bank fees, and that a context of low interest rates does not necessarily imply a reduction in the intermediation margin because the banks can compensate the negative margins of the deposits with an increase in the differential of their loans with respect to the interbank interest rate. The study also shows that the most productive banks could have taken advantage of the restructuring process to expand their branch network in markets where they have a low presence through the absorption of less productive banks.
[eng] This dissertation thesis analyzes the determinants of the capital ratio of banks and also the dynamics of the leverage ratio, exploring the driving forces of the issuance of debt and capital instruments. My thesis contributes to shed light on how certain decisions of banks during the years prior the crisis generated latent risks in their liability side that were revealed with the outburst of the crisis, and on the implications of the restructuring for the banking system in terms of productivity, concentration and profitability. This dissertation can be divided in three well-differentiated chapters. The first two chapters focus on the years before the crisis, and the last chapter analyzes the changes in the banking sector after the crisis. Chapter 1 explores how banks choose the composition of regulatory capital, and whether different structure of regulatory capital might entangle different risks of the bank. The target is to analyze whether banks fulfill their regulatory obligations using a combination of financial instruments that do not minimize the capacity to absorb losses, but that respond to other incentives such as the minimization of financing costs. Using data of Spanish banks during the period 1998-2007, we provide evidence that the increasing weight of hybrid capital can be read as a leveraging process within the regulatory capital, since there is an increment of the debt-like instruments with respect to the common capital that responds to the same determinants than the standard leverage ratio. The second Chapter of this thesis analyzes the same problem from a dynamic perspective, focusing on the issuances of financial instruments and empirically testing a set of hypotheses on the decisions to issue different types of financial instruments. This Chapter analyzes the financing choices of banks under capital regulation during the expansion period that preceded the crisis using data from Dealogic on the issuances of financial instruments of Spanish banks to test whether financing choices respond to predictions derived from the corporate finance theory and/or to capital regulation. We find that banks financed their exponential growth with debt instruments and covered the additional regulatory capital requirements from higher risk-weighted assets with the issuance of hybrid instruments. We also find that banks choose the financial instruments that minimize asymmetric information costs. Finally, Chapter 3 of this thesis is focused on the consequences of the crisis on banks from the point of view of productivity and the effect on bank restructuring. This Chapter analyzes the effects of banking productivity on the evolution of interest rates and on the exit of banks from the Spanish banking sector during the years 2007-2015. Using a theoretical framework of competition with heterogeneity in operating costs, we propose a set of hypotheses which are tested using empirical models. The results show that the productivity of the banking industry had a moderate growth of 2% during the period analyzed, that improvements in the efficiency of the banks are transferred to a decrease in loans’ interest rates and bank fees, and that a context of low interest rates does not necessarily imply a reduction in the intermediation margin because the banks can compensate the negative margins of the deposits with an increase in the differential of their loans with respect to the interbank interest rate. The study also shows that the most productive banks could have taken advantage of the restructuring process to expand their branch network in markets where they have a low presence through the absorption of less productive banks.
[cat] Aquesta tesi analitza els determinants de la ràtio de capital dels bancs així com la dinàmica de la ràtio d'endeutament, explorant els elements que determinen l'emissió de deute i els instruments de capital. La meva tesi contribueix a comprendre com certes decisions dels bancs durant els anys previs a la crisi van generar riscos latents en el seu passiu que es van revelar amb l'esclat de la crisi, i sobre les implicacions de la reestructuració per al sistema bancari en termes de productivitat, concentració i rendibilitat. Aquesta tesi es pot dividir en tres capítols ben diferenciats. Els dos primers, se centren en els anys previs a la crisi mentre que l'últim capítol analitza els canvis en el sector bancari posteriors a la crisi. El Capítol 1 se centra en els determinants de les estructures de capital dels bancs considerant l'existència de la regulació de capital. L'objectiu és analitzar si els bancs compleixen amb els requeriments regulatoris mitjançant una combinació d'instruments financers que no minimitzen la capacitat d'absorbir pèrdues, sinó que responen a altres incentius, com la minimització dels costos de finançament. Utilitzant dades del sistema bancari espanyol durant el període 1998-2007, aportem evidència que el pes creixent del capital híbrid pot interpretar-se com un procés de palanquejament dins el capital regulatori, ja que hi ha un increment dels instruments de característiques típiques als instruments de deute en relació al capital que respon als mateixos determinants que la ràtio de palanquejament estàndard. El segon capítol d'aquesta tesi analitza el mateix problema des d'una perspectiva dinàmica, centrant-se en les emissions d'instruments financers i contrastant empíricament un conjunt d'hipòtesis sobre les decisions d'emetre diferents tipus d'instruments financers. Aquest capítol analitza les eleccions de finançament dels bancs subjectes a la regulació de capital durant el període d'expansió que va precedir a la crisi utilitzant dades de Dealogic sobre les emissions d'instruments financers de bancs espanyols per avaluar si les opcions de finançament responen a les prediccions derivades de les teories clàssiques de finances corporatives i / o l'existència de regulació bancària. Trobem que els bancs van finançar el seu creixement exponencial amb instruments de deute cobrint els requeriments addicionals de capital regulatori amb l'emissió d'instruments híbrids. També vam concloure que els bancs trien els instruments financers que minimitzen els costos derivats de l'existència d'informació asimètrica. Finalment, el Capítol 3 es centra en les conseqüències de la crisi des del punt de vista de la productivitat i l'efecte sobre la reestructuració bancària. Aquest capítol analitza els efectes de la productivitat bancària en l'evolució dels tipus d'interès i en la sortida dels bancs del sector bancari espanyol durant els anys 2007-2015. Usant un marc teòric de competència amb heterogeneïtat en els costos operatius, proposem un conjunt d'hipòtesis que es contrasten mitjançant models empírics. Els resultats mostren que la productivitat de la indústria bancària va tenir un creixement moderat del 2% durant el període analitzat, que les millores en l'eficiència dels bancs van repercutir en una disminució en les taxes d'interès i comissions bancàries, i que un context de baixes taxes d'interès no implica necessàriament una reducció en el marge d'intermediació ja que els bancs poden compensar els marges negatius dels dipòsits amb un augment en el diferencial dels seus préstecs pel que fa a la taxa d'interès interbancària. La nostra anàlisi també mostra que els bancs més productius podrien haver aprofitat el procés de reestructuració per expandir la seva xarxa de sucursals a mercats en els que tenen una baixa presència mitjançant l'absorció de bancs menys productius.

The question of publishing real financial statements is extremely urgent problem for Ukraine. Intentional concealment of real financial situation in bank becomes systemic disturbance. And if reporting to supervisory bodies in many countries provides serious sanctions on banks and in certain cases leads to liquidation of bank and criminal responsibility of managers, in Ukraine there is an absence of effective system of control and appropriate responsibility of violators. It should be noted that distorted information about financial performance of bank not only decreases effectiveness of taking measures of influence and does not allow supervisory bodies to react on these problems in time, but also leads to continuation of dangerous bank activity and in future – to bankruptcy and liquidation of bank.

In this thesis, we use a wide cross-sectional sample of both privately held and publicly listed European banks over the period 1999 to 2008 to analyse the role played by bank shareholder incentives in the performance of banks and, ultimately, on the capital allocation efficiency of the economy as a whole. In our first essay, we use the entire range of Bankscope and Amadeus Top 250,000 to construct the portfolios of shareholders who hold equity stakes in banks for each year. We show that about 62 per cent of the ultimate largest shareholders of banks are diversified investors, holding on average equity investments from thirteen companies in their portfolio. We exploit this heterogeneity to investigate the impact of their portfolio diversification on bank risk-taking. Our results show that the relationship between portfolio diversification and bank risk-taking is both statistically significant and economically sizeable. Overall, these findings contribute to the literature by providing novel evidence on the characteristics of bank shareholders’ portfolios and by studying an explicit channel through which shareholders’ incentives for risk-taking affect the banks’ risk. In our second essay, we build on our previous evidence to further investigate whether the level of diversification of bank shareholders has any effect on the efficiency of capital allocation in the economy. We aggregate our data at regional level, using information on the address where companies and banks have their headquarters and identify regions based on Eurostat Nomenclature of Territorial Units for Statistics (NUTS) definitions. Our results indicate that capital appears to be allocated more efficiently in regions where banks are controlled by (more) diversified shareholders. In particular, a change in value-added growth increases capital investment by approximately 8 per cent of its mean in regions where banks are controlled by undiversified shareholders, while it increases capital investment by almost 21 per cent in regions where banks are controlled by shareholders with diversified portfolios. These findings contribute to the literature by studying a specific novel channel through which financial development, in the form of bank shareholders’ diversification, affects the real economy. Lastly, in our third essay we combine our detailed micro-level data on ownership with commercial loans market data from Dealscan to evaluate evidence of related lending in Western European banks. In doing so, we are able to explicitly identify related loans and provide original evidence of related lending and preferential lending terms. We show that 14 per cent of banks in our sample engage in related lending, and that firms borrowing from their related banks have lower costs and higher access to credit. Given these findings, we then proceed to analyse the effect of related lending in bank performance. Our tests show that banks participating in related lending experience an increase in average returns of 11 per cent. Results are both statistically significant and economically sizeable. Overall, our findings contribute to the literature by providing evidence in support the information asymmetry view of related lending, suggesting that in countries with strong rule of law related lending may become a relevant mechanism for informational capital accumulation for banks, allowing them to make more profitable lending decisions.

碩士
淡江大學
經濟學系碩士班
94
This study investigates the relationships between bank capital and bank lending, and how these relationships vary with the degree of information asymmetry. Applying to a panel of 3,544 banks in 49 countries of the period 1996~2003. Our results shows that： 1. The response of bank lending tends to be stronger for banks with less capital ratios when facing adverse capital shocks. 2. Using the bank capital ratio as a measure of the country’s degree of information asymmetry, the effect of capital loss on bank lending tends to be greater for banks with less capital ratio. 3. Similarly, when using bank assets size ratio as a measure of the country’s degree of information asymmetry, the effect of capital loss on bank lending tends to be greater for small banks.

碩士
國立中山大學
財務管理學系研究所
100
This research paper focuses on whether Taiwan''s 13 financial holding companies (excluding Waterland Financial Holdings) belongs to the bank''s capital management efficiency, using a narrow definition of capital. First, do a preliminary analysis of the capital of the banks first, second, and three types of capital. Secondly, the use of supplementary items in the balance sheet, profit and loss account and balance-sheet and some of the information into the banking book assets and liabilities of the banking book and trading book assets, trading book liabilities, risk assets and market value-added and other programs in order to do all kinds of bank trend analysis of assets and liabilities and capital management. Finally, I would investigate whether the high capital adequacy ratio that their performance is better? The provisions of the Basel Ⅱ want to improve the bank''s risk management capability, however, and set out the statutory capital requirements of the Bank help to keep the emphasis on risk management?

ABSTRACT Jeffery Nii Otokunor Sackey.The relationship between bank capital and bank earnings in Ghana. Diploma thesis. Brno: Mendel University, 2018. This diploma thesis explores the relationship between bank capital and their endings in Ghana. It provides a general overview of the factors that influence the profitability of commercial banks listed on the Ghana Stock Exchange. Data for the study will be sourced from secondary sources. Whereas Stata and Gretl are used for the analysis and other macroeconomic factors such as the real exchange rate will be used for the thesis. Keywords: Stock Exchange, Macroeconomics Factor, Bank Earnings, Exchange rate Commercial banks.

碩士
淡江大學
經濟學系碩士班
95
This paper investigates empirically the effects of capital market imperfections on bank lending channel. We use financial development index, information sharing, and creditor rights to measure capital market imperfections. Applying to 49 countries covering 2640 banks during the period of 1993-2003, our empirical results are summarized as follows. First, bank lending channel exists for both whole sample and low-income sample countries. That is, after monetary tightening, not only bank loans, but also deposits and liquid assets fall immediately. On the other hand, bank lending channel does not significantly exist for high-income sample countries. Second, for whole sample and low-income sample countries, the effect of bank lending channel becomes weaker as market imperfection measures improve, while for high-income sample countries the degree of market imperfections has no significant effects on bank lending channel. Finally, we also find asymmetric effects of bank lending channel for both low- and high-income sample countries. Specifically, monetary tightening causes bank loans to decrease while monetary expansion has insignificant impacts on bank loans.

碩士
逢甲大學
財務金融學系
106
This study examines the leverage procyclicality of banks in Taiwan. The result shows that there exists leverage procyclicality in the bank industry. In order to examine the effect of organization structure on the capital adjustment of banks, we classify the sample banks into subsidiary bank of financial holding company, government-controlled banks, and private banks. The result shows that the organization structure has little influence on the leverage procyclicality. In advance, we examine the leverage procyclicality for banks with different levels of fair value assets, lendings, and capital adequacy. We observe that differences in the degree of capital adjustment among banks with different financial positionss and capital adequacy.

碩士
輔仁大學
會計學系碩士班
101
In order to meet the BaselⅡcapital adequacy ratio and increase the ability to lend ,commercial banks often use (a) loan loss provisions and write-offs; (2) Issue of ordinary shares; (3) disposal of securities (4) operation of derivative financial instruments (5) operating loan transaction time and other methods to adjust their own BIS. The empirical result showed that the bank with lower capital adequacy ratio will use LLR to manipulate the capital adequacy ratio. Especially when LLR is higher than1.25% of risk-weighted assets. The study also investigate the bank adjusting LLR when they face recession or losses. The empirical results confirm that banks in the face of recession will reduce LLR, in order to maintain earnings volatility; banks face losses, will choose to set aside less allowance for doubtful accounts to stabilize the discretionary surplus.

Bank capital has a critical role in banking business the world over. Capital is a principal aspect of regulation and will determine how long a bank remains in business from a regulatory point of view. Its cost and the regulatory amount have an impact on the competitiveness of an institution and will influence the rate of expansion of a bank. The contribution of capital to the profitability and survival of a commercial bank remain an unresolved empirical issue. Prior research on the relationship between capital and profitability has largely focused on developed economies, especially the USA, and Europe. However, the results have been inconclusive. There is no evidence of such kind of a research done to date that focuses on an emerging economy such as South Africa. The seemingly conflicting finding coupled with regulations imposing equity capital adequacy from the Basel 11 Accord present an opportune platform for further research on the relationship between capital and profitability. Using South Africa as a unit of analysis and using the Generalised Methods of Moments (GMM), and Panel Two Stage Least Squares (2SLS) or Pooled IV method as the estimation techniques, this study tested the hypothesis that there is a positive and statistically significant relationship between bank capital and profitability. The results from the study provide evidence of a positive relationship between capital ratio (CAR), return on equity (ROE) and return on assets (ROA) and supported the generally held notion that there is a positive relationship between bank capital and profitability. This research output provided new insights into the long-run impact of bank capital on profitability and survival. From a bank specific strategic decision-making perspective, this would assist financial institutions and investors in tailoring investment decisions in response to policy decisions that relate to bank capital. From the public policy perspective, this would assist both governments and regulators in formulating better- informed policy decisions regarding the importance of bank capital.
Business Management
D. Com. (Business Management)

碩士
國立臺灣大學
財務金融學研究所
99
The capital adequacy requirement focuses most on a bank’s own risk but fails to consider the systemic risk and counterparty risk. Banks can buy insurance to hedge the losses of their investments. However, when the regulator does not know that the insurance company may go bankrupt, he will impose a lax capital regulation which may causes banks take too much risk and hurts the social welfare.

The present case-study referrers to the Barclays Bank’s capital offering announcement dated back on 13th October 2008. The UK has one of the most competitive and secure banking systems in the world. On a global financial crisis context the UK’s Her Majesty Treasury (HMT) announced a plan to support the UK banking system. With this, new higher capital targets were imposed by the Financial Services Authority (FSA) triggering the subsequent need to inject money on the banks. The Barclays Banks board decided to raise £7,3 billion that would enable the bank simultaneously to achieve its tier one and equity capital issuance requirements of the FSA. The capital was raised through £3 billion of Reserve Capital Instruments (RCI) with associated warrants and an issue of £4,3 billion of Mandatorily Convertible Notes (MCN). The offering involves 3 main new investors from Qatar and Abu Dhabi royal families to whom was given the right to buy 30% of the bank’s shares at any time in a period of 5 years. The MCN are short term bonds with mandatorily conversion into shares on the exercise date, which was 8 months after the issue date. The MCNs allowed the necessary entrance of capital in the Bank in a short period of time, conferring to the notes holders the right to be a shareholder, meanwhile receiving coupons every quarter. The RCI ended functioning as long term bonds with special privileges conferred – the warrants.
O presente estudo de caso incide sobre o aumento de capital anunciado pelo Barclays Bank a 13 de Outubro de 2008. O Reino Unido apresenta um dos mercados financeiros mais seguros e competitivos do mundo. Num contexto de crise financeira mundial, o governo britânico anunciou um plano para apoiar a indústria bancária inglesa. Neste contexto, a Autoridade de Serviços Financeiros (FSA) do Reino Unido impôs novos requisitos mínimos de capital que resultaram nas instituições financeiras, necessidades de aumentos de capital. O Barclays Bank decidiu injectar £7,3 mil milhões que permitiriam simultaneamente atingir os requisitos de tier one e de capital próprio impostos pela FSA. O aumento de capital foi efectivado através de uma emissão de £3 mil milhões de Reserve Capital Instruments (RCI) com uma emissão de warrants associada e uma emissão de £4,3 mil milhões em Mandatorily Convertible Notes (MCN). Os principais investidores deste aumento de capital pertencem às famílias reais do Qatar e do Abu Dhabi, que deteriam cerca de 30% do banco, num período de 5 anos, se as acções fossem convertidas. As MCN são como obrigações de curto prazo com a conversão mandatária em acções na data de exercício, que seria 8 meses após a data de emissão. As MCNs permitiriam a entrada de capital necessária no banco num curto prazo, conferindo aos detentores das notes o direito de se tornar num accionista, enquanto recebe cupões todos os quadrimestres até à maturidade. As RCI acabaram por funcionar como obrigações a longo prazo com privilégios especiais – as warrants.