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Comparison of Assessment of Capital Adequacy for Czech Commercial Bank

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dc.title Comparison of Assessment of Capital Adequacy for Czech Commercial Bank en
dc.contributor.author Červenka, Michal
dc.contributor.author Cipovová, Eva
dc.contributor.author Stupková, Angelika
dc.contributor.author Hlawiczka, Roman
dc.relation.ispartof European Financial Systems 2014
dc.identifier.isbn 978-80-210-7153-7
dc.date.issued 2014
dc.citation.spage 118
dc.citation.epage 126
dc.event.title 11th International Scientific Conference on European Financial Systems 2014
dc.event.location Lednice
utb.event.state-en Czech Republic
utb.event.state-cs Česká republika
dc.event.sdate 2014-06-12
dc.event.edate 2014-06-13
dc.type conferenceObject
dc.language.iso en
dc.publisher Masarykova univerzita
dc.relation.uri http://www.efs.econ.muni.cz/
dc.subject Basel III en
dc.subject Standardized Based Approach without external rating en
dc.subject Foundation Internal Rating Based Approach en
dc.subject Probability of default en
dc.subject credit risk management en
dc.description.abstract The contribution is dealing with selected assessments of the most important risk in the banking sector in the Czech Republic. The aim of this article is calculate, compare capital requirements and calibrate effective portfolio of business loans regarding to the optimal amount of the final capital adequacy of the given commercial bank in the Czech Republic. Paper is focused on the credit risk management where the evaluation of the capital adequacy with using Standardized Based Approach (STA approach) with external rating and Foundation Internal Rating Based Approach (IRB approach) methodology of legislative framework of Basel III is used. Results of our calculations show that IRB methodology is beneficial only for big banks that are able to choose their clients (with MA rating, low credit risk and default rate). On the other hand, if the bank would like to make an offer to client with the rating B and worse, compared to the competitor who is used only Standardized Approach without External Rating, it has competitive disadvantage, because of higher entitlement on the amount of bank's equity which has to be hold and which could represent higher prices of provided loans. On the other hand, because of the possibility still using the old STA methodology and their non-sensibility on PDs, small banks could focus on worse customers and offer them lower (better) interest rate because of the possibility to hold lower amount of the capital. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1004311
utb.identifier.obdid 43872167
utb.identifier.wok 000350701500015
utb.source d-wok
dc.date.accessioned 2015-05-22T08:01:51Z
dc.date.available 2015-05-22T08:01:51Z
utb.contributor.internalauthor Červenka, Michal
utb.contributor.internalauthor Cipovová, Eva
utb.contributor.internalauthor Hlawiczka, Roman
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