Comparison of assessment of capital adequacy for Czech commercial bank

Kód výsledku v IS VaVaI

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Nalezeny alternativní kódy

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of assessment of capital adequacy for Czech commercial bank

Popis výsledku v původním jazyce

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 regardingto 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 theirclients (with AAA 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 Exte

Název v anglickém jazyce

Comparison of assessment of capital adequacy for Czech commercial bank

Popis výsledku anglicky

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 regardingto 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 theirclients (with AAA 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 Exte

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 11th International Scientific Conference European Financial Systems 2014

ISBN

978-80-210-7153-7

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

118-126

Název nakladatele

Masarykova univerzita v Brně

Místo vydání

Brno

Místo konání akce

Lednice

Datum konání akce

12. 6. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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