Ročník 46, 2017

Economic Review, Ekonomické rozhľady, 2017 abstracts/abstrakty, volume/ročník 46, 1/2017, ISSN 0323-262X, EV 4393/11, Issue1/ Číslo1

 

 

 

Štěpánka Křečková  - DOPAD APLIKACE PRAVIDEL BASEL III NA PROFITABILITU BANKOVNÍCH KLIENTŮ (Impact of the Basel III Application on the Profitability of Bank Clients )

 

Abstract: This article deals with Basel regulatory framework for banks, its upgrades with the focus on minimum capital requirements and the impact of these new requirements on the profitability of bank clients. The article describes the methodology of risk capital used in ex-ante RAROC (Risk Adjusted Return on Capital) calculation, and how its level is influenced by capital requirements set by Basel regulatory framework. Besides it suggests EVA (Economic Value Added) as an alternative client’s exante profitability measurement that can be used in banks alongside RAROC measure and provide bank relationship managers with additional information on ma-naging the client portfolio. On the sample of medium-sized enterprises – clients of a bank ope-rating on the market in the Czech Republic, the expected profitability of these clients was calculated by reflecting firstly Basel II requirements. Then the results were compared with the pro-fitability calculated by reflecting new Basel III capital requirements, in order to show the impact of new requirements set by Basel III. For the profitability calculation, both introduced profitability measurements, i.e. RAROC and EVA, were used in order to show that using EVA measurement as an accompanying tool to RAROC measurement can be of additional informative value for bank managers in the decisionmaking process and for the client portfolio management. 


Keywords: Basel, Risk Capital, Regulatory Capital, Risk Weighted Assets (RWA), Risk Adjusted Return on Capital (RAROC), Economic Value Added (EVA)


JEL Classification: G 21, E 58, E 59

 

str./pp. 5-24

 

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Anna Majtánová – Patrik Marcinech - Rebalancing of Investment Portfolios of Insurers under Solvency II (Realokácia investičných portfólií poisťovní v rámci systému Solvency II)

 

Abstract: The investmentpolicy of insurance companies is a very important area in the current environment of the new regulátory systém, Solvency II. The Directive introduces a new method of measurement and management of all risks affecting the business of insurance companies. The aim of this páper is to quantify the differences in risk-adjusted returns, resulting from investments in selected asset classes and the creation of efficient portfolios. Another aim is to point out to the potential rebalancing of portfolios of insurance companies, due to the implementation of the new regulátory regime and the current situation on the financial market. The results presented are limited by three investment instruments, namely: aportfolio of government bonds, stock index and real estate index.

 

Keywords: Solvency II, rebalancing, investment instruments, market risk, RAROC

 

JEL Classification: G 22 

 

str./pp. 25-44

 

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Jitka Meluchová - Martina Mateášová - Trends in the Outsourcing of Financial Services (Trendy v outsourcingu finančných služieb)

 

Abstract: Current developments and globalisation trends in the economy andfinance result in increasing the level of risk that affect the internal and external environment of the enterprise. In order to remain competitive, the company must learn to identify and manage the risks that affect the prosperity and effectiveness of alt of its activities. The development of the business environment has resulted in the building of business Service centres. The shared Services centres (SSC) seek to achieve more efficient processes and cost savings. The shared Services centres are entities responsiblefor the execution and the handling of specific operational tasks, such as accounting, human resources, payroll, IT, legat, compliance, purchasing, and security. SSCs have developed from performing routine operational activities into intellectually demanding functions with higher demandsfor professional skills and experience. This páper explores benefits and risks of shared Services centres as parts of corporate financial management. Benefits and risks have been studied in a concrete multinational company. The analysisfocused on trade liabilities (purchases ofinputsfrom suppliers).


Keywords:  shared Service centres, outsourcing, risk management, accounting,financial statement, accountspayable

 

JEL Classification: G 17, M 41

 

str./pp. 45-59

 

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Katarína Liptáková - Mobilita práce ako výrobného faktora vo vybraných krajinách Európskej únie (Labour Mobility as Production Factor in Selected European Union Countries)

 

Abstract: The goal of the thesis is, with the help of relevant literatúre and the method of regression analysis, to identifyfactors affecting the movement of labour force in selected EU countries. We will identify the causes of differences in labour migration among the surveyed EU countries with emphasis on institutional differences across economies. Subject of the goal is to review the movement of labour in selected EU countries. To achieve the goal, we have chosen to work with mostly statistical methods of data Processing and verification of hypotheses based on analysis of the literatúre studied. For theoretical part, we use the literatúre on migration, to be able to grasp the direction of movement of labour. Our motivation is to denote basic directions of movement of labour through institutionalfactors. We test hypotheses using the regression analysis of datafrom selected EU countries freely available in online databases. Institutional aspects of government such as political stability and the level of corruption are quantified by means of an index of the World Bank, the International Monetary Fund, and specialized publications and magazines. Statistical analyses identify the main institutional aspects that influence, either positively or negatively, the movement of labour. Results will be compared with our hypothesis to be confirmed or defied. The final part contains the conclusions to the results and the identification of push and pull factors, acting on the mobility of labour.


Keywordsmobility of labour, labour movement, migration, institutional factors oflabour movement, statistical testing


JEL Classification:  E 6

 

str./pp. 60-78

 

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Lea Škrovánková - František Slaninka - Stochastické modely v zdravotníctve (Stochatic Models in the Health Sector)

 

Abstract: 

The aim of thispaper is to theoretically describe the possibility of applying actuarial mathematics in health insurance. The development of health insurance plans displays some specific features of each country, in particular by using actuarial mathematics. The páper contains some conceptions neededfor the construction of the stochastic model by Markov chains. It analyses the forms of valuating Markov chains by system’s modelling, too. The páper defines the matrix of transition probabilities, i. e. stochastic matrix. It is necessaryfor insurance companies to know what the probabilities of transition are, e.g. if the insurant will be healthy, ill, or dead. Therefore, we were interested in the probabilities distribution state of systém after n steps. For this purpose, we determined the chain: vector of initialprobabilities and matrix of transition.


Keywordshealth insurance, multistate models, Markov chains, probability oftransition, matrix


JEL Classification:  C 4,11, K 3

 

str./pp. 79-99

 

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