Work detail

Bank Efficiency, Risk, and Capital in the Visegrad Group Countries

Author: Mgr. Filip Fraňo
Year: 2015 - summer
Leaders: prof. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 94
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/137551/
Abstract: The aim of the thesis is to estimate the cost efficiency of the banks from the Czech Republic,
Hungary, Poland, and Slovakia during 2008-2013 using stochastic frontier analysis. In
addition to this, mutual relationships between the changes in banks' cost efficiency, risktaking,
and capital position are examined. First, the literature that is concerned with these
relationships is reviewed and the stochastic frontier approach towards the efficiency
estimation is outlined. In the empirical analysis, the cost efficiency of the banks from the
aforementioned countries is estimated. The results suggest that the Czech and the Polish
banks from the sample have the highest average cost efficiency while the Hungarian banks
rank the lowest. The estimated efficiency is decreasing during the sample period. No
conclusive results are found to support the hypothesis that the larger banks exhibit higher cost
efficiency. Subsequently, the system of simultaneous equations is applied to test the mutual
relationships between the changes in the banks' cost efficiency, risk-taking, and capital
position. The results suggest a negative relationship between the changes in risk-taking and
cost efficiency and between the changes in capital position and risk-taking of the banks.
Moreover, the results do not indicate simultaneous determination of these variables in the
system

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