Detail práce

Bank credit risk management in the low-interest rate environment

Autor: Mgr. Matěj Maivald
Rok: 2019 - letní
Vedoucí: prof. PhDr. Petr Teplý Ph.D.
Typ práce: Diplomová
Finanční a kapitálové trhy
Jazyk: Anglicky
Stránky: 92
Abstrakt: The thesis examines the relation of the low-interest rate environment to the
banks’ selected credit risk measures with a panel dataset on banks in Eurozone,
Denmark, Japan, Sweden, and Switzerland covering the period 2011–2017. It
employs a system GMM framework and a combination of bank-related and
macroeconomic variables. This study builds on recent literature on effects
of low-interest rates on banks’ profitability and estimates the following three
hypotheses: The potential effects of the low-interest rate on non-performing
loans (NPL) ratio, risk-weighted assets (RWA) to total assets ratio, and changes
in Tier 1 capital ratio. There are three main results: Firstly, the results suggest
that a prolonged period of negative monetary interest rate can affect the NPL
ratio and reveal a possible relationship between the 3M-interbank interest rate
and NPL ratio. Thus, the thesis does not reject the first hypotheses. However,
it rejects these hypotheses in case of the other two ratios. Secondly, the study
finds a bank heterogeneity to be a significant determinant of the credit risk.
Finally, using recent data, this thesis contributes to the literature focusing on
the drivers of the NPL ratio, RWA to total assets ratio and Tier 1 capital ratio,
where in case of the latter two the existing research is limited compared to the




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