Sectoral analysis of the effectiveness of bank risk capital in the Visegrad Group countries
Abstract
Bank risk capital (capital at risk) is identified with the value of banks’ own funds maintaining to absorb potential losses and protect against insolvency. It is calculated for the capital adequacy ratios, recommended by the Basel Committee on Banking Supervision. On other words, it is a kind of banks’ capital that financing securing the negative effects of risk occurring. A comparative analysis of effectiveness of bank risk capital in the Visegrad Group countries, constituting the main objective of the study, results from the needs indicated in the already conducted preliminary research. In the article, statistical and econometric methods were used, based on linear regression models. The conducted research were aimed to verify the research hypothesis stating that in the analyzed banking sectors of the Visegrad Group countries there is a positive correlation between banks' profitability and a level of their bank risk capital. The study indicated that net profit of the analyzed banking sectors increases with a growth of total own funds, while profitability is diversified in individual countries. Declining operational efficiency results from the growing cost of obtaining and maintaining risk capital.
Keyword : risk capital, bank’s own funds, effectiveness of risk capital, regression model, Visegrad Group countries, effectiveness of banking sectors
How to Cite
Nocoń, A., & Pyka, I. (2019). Sectoral analysis of the effectiveness of bank risk capital in the Visegrad Group countries. Journal of Business Economics and Management, 20(3), 424-445. https://doi.org/10.3846/jbem.2019.9606
This work is licensed under a Creative Commons Attribution 4.0 International License.
References
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Bessis, J. (2015). Risk management in banking. Chichester: Wiley Finance.
Bobkiewicz, R. (2002). Nadzór bankowy [Banking Supervision]. Słupsk: WSZ Słupsk.
Boyd, J. H., & De Nicoló, G. (2005). The theory of bank risk taking and competition revisited. Journal of Finance, 60(3), 1329-1343. https://doi.org/10.1111/j.1540-6261.2005.00763.x
Capiga, M. (2010). Zarządzanie bankiem [Bank management]. Warsaw: PWN.
Culp, C. (2002a). Contingent capital: integrating corporate financing and risk management. Journal of Applied Corporate Finance, 15(1), 46-56. https://doi.org/10.1111/j.1745-6622.2002.tb00340.x
Culp, C. (2002b). The art of risk management, alternative risk transfer, capital structure, and the convergence of insurance and capital markets. New York: John Wiley & Sons.
Culp, C. (2002c). The revolution in corporate risk management: A decade of innovations in process and products. Journal of Applied Corporate Finance, 14(4), 8-26. https://doi.org/10.1111/j.1745-6622.2002.tb00445.x
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Dionne, G. (2013). Risk management: history, definition, and critique. Risk Management and Insurance Review, 16(2), 147-166. https://doi.org/10.1111/rmir.12016
Doherty, N. A. (2000). Integrated risk management: Techniques and strategies for reducing risk. New York: McGraw-Hill.
Doherty, N. A. (2005). Risk management, risk capital, and the cost of capital. Journal of Applied Corporate Finance, 17(3), 119-123. https://doi.org/10.1111/j.1745-6622.2005.00052.x
Duliniec, A. (2011). Finansowanie przedsiębiorstwa. Strategie i instrumenty [Financing the enterprise. Strategies and instruments]. Warsaw: PWE, 151.
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Ennouri, W. (2013). Risks management: new literature review. Polish Journal of Management Studies, 8, 288-297.
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Graham, A. (2008). Integrated risk management. Implementation guide. Retrieved from http://post.queensu.ca/~grahama/publications/TEXTPDF.pdf
Iacob, V. S. (2014). Risk management and evaluation and qualitative method within the project. Ecoforum, 3(1(4)), 60-67.
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Ishikawa, T., Yamai, Y., & Ieda, A. (2003). On the risk capital framework of financial institutions. IMES Discussion Paper Series, 2003-E-7, Bank of Japan, 1-30.
Iwanicz-Drozdowska, M. (2012). Zarządzanie finansowe bankiem [Financial Management of a bank]. Warsaw: Polish Economic Publishers.
Iwanicz-Drozdowska, M. (Ed.) (2017). Zarządzanie ryzykiem bankowym [Bank risk management]. Warsaw: Poltext.
Jajuga, K. (2007). Zarządzanie ryzykiem [Risk management]. Warsaw: PWN.
Jajuga, K., Karaś, M., Kuziak, K., & Szczepaniak, W. (2017). Ryzyko systemu finansowego. Metody oceny i ich weryfikacja w wybranych krajach [Risk of financial system. Methods of assessment and their verification in selected countries]. Materials and Studies, 329, 1-190. NBP, Warsaw.
Kaplan, R., & Mikes, A. (2016). Risk management – the revealing hand. Journal of Applied Corporate Finance, 28(1), 8-18. https://doi.org/10.1111/jacf.12155
Klimczak K. M. (2007). Risk management theory: A comprehensive empirical assessment. Kozminski Working Papers Series, 01-2007 (pp. 1-21). Warsaw. https://doi.org/10.2139/ssrn.1031850
Kochaniak, K. (2010). Efektywność finansowa banków giełdowych [Financial efficiency of listed banks]. Warsaw: PWN.
Kopiński, A. (2008). Analiza finansowa banku [Financial analysis of a bank]. Warsaw: PWE.
Marcinkowska, M. (2010). Standardy kapitałowe banków. Bazylejska Nowa Umowa Kapitałowa w polskich regulacjach nadzorczych [Capital standards of banks. The New Basel Capital Accord in Polish supervisory regulations]. Regan Press.
Matten, C. (2000). Managing bank capital: capital allocation and performance measurement (2nd ed.). Chichester: John Wiley & Sons.
McCuaig, B. (2008). Fundamentals of GRC: mastering risk assessment. White Paper. Thomson Reuters.
Merton, R. C., & Perold, A. F. (1993a). Management of risk capital in financial firms. In S. L. Hayes III (Ed.), Financial Services: Perspectives and Challenges (pp. 215-245). Boston, Mass.: Harvard Business School Press.
Merton, R. C., & Perold, A. F. (1993b). Theory of risk capital in financial firms. Journal of Applied Corporate Finance, 6, 16-32. https://doi.org/10.1111/j.1745-6622.1993.tb00231.x
Moreno, R. (2006). The changing nature of risks facing banks. In The banking system in emerging economies: how much progress has been made? BIS Papers, 28, 67-98).
Niewiadoma, M. (2007/2008). Wielopoziomowy system kontroli banków [Multi-level system of bank’s control]. Warsaw: CeDeWu Platinium.
Nocco, B. W. & Stulz, R. M. (2006). Enterprise risk management: theory and practice. Journal of Applied Corporate Finance, 18(4), 8-20. https://doi.org/10.1111/j.1745-6622.2006.00106.x
Nocoń, A., & Pyka, I. (2018). Effectiveness of risk capital in the Polish banking sector in the years of 2002–2016. In Conference Proceedings of the 10th International Scientific Conference “Business and Management” (pp. 9-19). Vilnius, Lithuania. https://doi.org/10.3846/bm.2018.02
OECD. (2014). Risk management and corporate governance. Corporate Governance, OECD Publishing. https://doi.org/10.1787/9789264208636-en
Protivity. (2006). Guide to enterprise risk management. Retrieved from http://www.ucop.edu/enterpriserisk-management/_files/protiviti_faqguide.pdf
Purdy, G. (2010). ISO 31000: 2009 – setting a new standard for risk management. Risk Analysis, 30(6), 881-886. https://doi.org/10.1111/j.1539-6924.2010.01442.x
Pyka, I., & Nocoń, A. (2016). Dynamics of lending activity of Polish banking sector towards low interest rate policy of central banks. Tranformations in Business & Economics, 15(2A-38A), 415-433.
Pyle, D. H. (1997). Bank risk management: theory. UCBerkley research program in finance. Working Paper, RPF-272, 1-14.
Rachev, S. T., Mittnik, S., Fabozzi, F. J., Focardi, S., & Jasic, T. (2008). Regression analysis. In F. J. Fabozzi, Handbook of finance (Chapter III, pp. 5-59). New Jersey: John Wiley & Sons. https://doi.org/10.1002/9780470404324.hof003059
Ratliff, R., & Hanks, S. (1992). Evaluating risk. Managerial Auditing Journal, 7(5), 26-32. https://doi.org/10.1108/02686909210017883
Rejda, G. E. (2001). Principles of risk management and insurance. Addison Wesley Longman, International Edition.
Santomero, A. M. (1997). Commercial bank risk management: an analysis of the process. The Wharton School, University of Pennsylvania. Retrieved from "https://pdfs.semanticscholar.org/7119/eefc281c33ddbaa249bcaa90757285117737.pdf
Schieg, M. (2006). Risk management in construction project management. Journal of Business Economics and Management, 7(2), 77-83. https://doi.org/10.1080/16111699.2006.9636126
Scott, J. E., & Vessey, I. (2002). Managing risks in enterprise systems implementations. Communications of the ACM, 45(4), 74-81. https://doi.org/10.1145/505248.505249
Shimpi, P. (1999). Integrating corporate risk management. Swiss Re (Texere).
Shimpi, P. (2001). The insurative model. Risk Management, 48(8), 13-15.
Spikin, I. C. (2013). Risk management theory: The integrated perspective and its application in the public sector. Estado, Gobierno, Gestión Pública, 21, 89-126.
Strahl, D., Sobczak, E., Markowska, M., & Bal-Domańska, B. (2002). Econometric modeling with Excel. Wroclaw: Wrocław University of Economics Printing House.
Szpunar, P. (2016). Regulacje makroostrożnościowe sektora bankowego [Macroprudential regulations of a banking sector]. In T. Czerwińska & K. Jajuga (Sc. Ed.), Ryzyko instytucji finansowych – współczesne trendy i wyzwania [Risk of financial institutions – modern trends and challenges]. Warsaw: C.H. Beck.
Szustak, G. (2017). Wielopłaszczyznowy system kontroli ryzyka bankowego [Multi-faceted system of bank risk control]. Warsaw: Difin.
The Conference Board of Canada. (2003). Risk management: moving the framework to implementation. Keys to successful risk management Implementation Strategy. Deloitte & Touche.
The National Archives. (2017). Risk assessment handbook. United Kingdom. Retrieved from https://doi.org/10.1596/978-0-8213-7728-4
Vaughan, E. J., & Vaughan, T. (2003). Fundamentals of risk and insurance. New York: John Wiley & Sons.
Wieczorek-Kosmala, M. (2017). Kapitał ryzyka w przedsiębiorstwie z perspektywy zintegrowanego zarządzania ryzykiem [Risk capital in an enterprise from the perspective of integrated risk management]. Warsaw: CeDeWu, 63.
Williams Jr., C. A., & Heins, R. M. (1989). Risk management and insurance. New York: McGraw-Hill.
Żółtkowski, W. (2017). Zarządzanie ryzykiem w małym banku – w kontekście zmieniających się regulacji nadzorczych [Risk management in a small bank – in the context of changing supervisory regulations]. Warsaw: CeDeWu.
Županović, I. (2014). Sustainable risk management in the banking sector. Journal of Central Banking Theory and Practice, 3(1), 81-100. https://doi.org/10.2478/jcbtp-2014-0006
Altunbas, Y., Binici, M., & Gambacorta, L. (2017). Macroprudential policy and bank risk. BIS Working Papers, 646, 1-46.
Altunbas, Y., Manganelli, S., & Marques-Ibanez, D. (2011). Bank risk during the financial crisis. Do business models matter? ECB Working Paper Series, 1394, 1-51.
Apostolik, P., Donohue, Ch., & Went, P. (2009). Foundations of banking risk. An overview of banking, banking risks and risk-based banking regulation. New Jersey: Wiley Finance, John Wiley & Sons.
Babbie, E. (2007). Badania społeczne w praktyce [The Practice of Social Research]. Warsaw: PWN.
Banks, E. (2004). Alternative risk transfer: integrated risk management through insurance, reinsurance and capital market. Chichester: John Wiley. https://doi.org/10.1002/9781118673270
Barron Putnam, H. (1983). Early warning systems and financial analysis in bank monitoring: Concepts of financial monitoring (pp. 6-13). Federal Reserve Bank of Atlanta Economic Review.
Basel Committee on Banking Supervision. (2004). International convergence of capital measurement and capital standards. A revised framework. Bank for International Settlements, Basel.
Basel Committee on Banking Supervision. (2010, December). Basel III: A global regulatory framework for more resilient banks and banking systems. Bank for International Settlements, Basel.
Bessis, J. (2015). Risk management in banking. Chichester: Wiley Finance.
Bobkiewicz, R. (2002). Nadzór bankowy [Banking Supervision]. Słupsk: WSZ Słupsk.
Boyd, J. H., & De Nicoló, G. (2005). The theory of bank risk taking and competition revisited. Journal of Finance, 60(3), 1329-1343. https://doi.org/10.1111/j.1540-6261.2005.00763.x
Capiga, M. (2010). Zarządzanie bankiem [Bank management]. Warsaw: PWN.
Culp, C. (2002a). Contingent capital: integrating corporate financing and risk management. Journal of Applied Corporate Finance, 15(1), 46-56. https://doi.org/10.1111/j.1745-6622.2002.tb00340.x
Culp, C. (2002b). The art of risk management, alternative risk transfer, capital structure, and the convergence of insurance and capital markets. New York: John Wiley & Sons.
Culp, C. (2002c). The revolution in corporate risk management: A decade of innovations in process and products. Journal of Applied Corporate Finance, 14(4), 8-26. https://doi.org/10.1111/j.1745-6622.2002.tb00445.x
Czerwińska, T., & Jajuga, K. (sc. Ed.) (2016). Ryzyko instytucji finansowych – współczesne trendy i wyzwania [Risk of financial institutions – modern trends and challenges]. Warsaw: C. H. Beck.
Dionne, G. (2013). Risk management: history, definition, and critique. Risk Management and Insurance Review, 16(2), 147-166. https://doi.org/10.1111/rmir.12016
Doherty, N. A. (2000). Integrated risk management: Techniques and strategies for reducing risk. New York: McGraw-Hill.
Doherty, N. A. (2005). Risk management, risk capital, and the cost of capital. Journal of Applied Corporate Finance, 17(3), 119-123. https://doi.org/10.1111/j.1745-6622.2005.00052.x
Duliniec, A. (2011). Finansowanie przedsiębiorstwa. Strategie i instrumenty [Financing the enterprise. Strategies and instruments]. Warsaw: PWE, 151.
ECB (2018). ECB Guide to the internal capital adequacy assessment process (ICAAP). Retrieved from https://www.bankingsupervision.europa.eu/legalframework/publiccons/pdf/icaap_ilaap/ssm.icaap_guide_201803.en.pdf
Elizalde, A., & Pepullo, R. (2007). Economic and regulatory capital in banking: What is the difference? International Journal of Central Banking, 3(3), 87-117.
Ennouri, W. (2013). Risks management: new literature review. Polish Journal of Management Studies, 8, 288-297.
European Parliament, & Council of the European Union. (2013). Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC. Official Journal of the European Union, L 176/338, June 27, 2013.
European Parliament, & Council of the European Union. (2013). Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012. Official Journal of the European Union, L 176/1, June 27, 2013.
Graham, A. (2008). Integrated risk management. Implementation guide. Retrieved from http://post.queensu.ca/~grahama/publications/TEXTPDF.pdf
Iacob, V. S. (2014). Risk management and evaluation and qualitative method within the project. Ecoforum, 3(1(4)), 60-67.
International Organization of Standarization. (2009). Risk Management – Risk Assessment Techniques (ISO/IEC 31010:2009 Ed. 1.0). Retrieved from https://www.iso.org/obp/ui/#iso:std:iec:31010:ed-1:v1:en
Ishikawa, T., Yamai, Y., & Ieda, A. (2003). On the risk capital framework of financial institutions. IMES Discussion Paper Series, 2003-E-7, Bank of Japan, 1-30.
Iwanicz-Drozdowska, M. (2012). Zarządzanie finansowe bankiem [Financial Management of a bank]. Warsaw: Polish Economic Publishers.
Iwanicz-Drozdowska, M. (Ed.) (2017). Zarządzanie ryzykiem bankowym [Bank risk management]. Warsaw: Poltext.
Jajuga, K. (2007). Zarządzanie ryzykiem [Risk management]. Warsaw: PWN.
Jajuga, K., Karaś, M., Kuziak, K., & Szczepaniak, W. (2017). Ryzyko systemu finansowego. Metody oceny i ich weryfikacja w wybranych krajach [Risk of financial system. Methods of assessment and their verification in selected countries]. Materials and Studies, 329, 1-190. NBP, Warsaw.
Kaplan, R., & Mikes, A. (2016). Risk management – the revealing hand. Journal of Applied Corporate Finance, 28(1), 8-18. https://doi.org/10.1111/jacf.12155
Klimczak K. M. (2007). Risk management theory: A comprehensive empirical assessment. Kozminski Working Papers Series, 01-2007 (pp. 1-21). Warsaw. https://doi.org/10.2139/ssrn.1031850
Kochaniak, K. (2010). Efektywność finansowa banków giełdowych [Financial efficiency of listed banks]. Warsaw: PWN.
Kopiński, A. (2008). Analiza finansowa banku [Financial analysis of a bank]. Warsaw: PWE.
Marcinkowska, M. (2010). Standardy kapitałowe banków. Bazylejska Nowa Umowa Kapitałowa w polskich regulacjach nadzorczych [Capital standards of banks. The New Basel Capital Accord in Polish supervisory regulations]. Regan Press.
Matten, C. (2000). Managing bank capital: capital allocation and performance measurement (2nd ed.). Chichester: John Wiley & Sons.
McCuaig, B. (2008). Fundamentals of GRC: mastering risk assessment. White Paper. Thomson Reuters.
Merton, R. C., & Perold, A. F. (1993a). Management of risk capital in financial firms. In S. L. Hayes III (Ed.), Financial Services: Perspectives and Challenges (pp. 215-245). Boston, Mass.: Harvard Business School Press.
Merton, R. C., & Perold, A. F. (1993b). Theory of risk capital in financial firms. Journal of Applied Corporate Finance, 6, 16-32. https://doi.org/10.1111/j.1745-6622.1993.tb00231.x
Moreno, R. (2006). The changing nature of risks facing banks. In The banking system in emerging economies: how much progress has been made? BIS Papers, 28, 67-98).
Niewiadoma, M. (2007/2008). Wielopoziomowy system kontroli banków [Multi-level system of bank’s control]. Warsaw: CeDeWu Platinium.
Nocco, B. W. & Stulz, R. M. (2006). Enterprise risk management: theory and practice. Journal of Applied Corporate Finance, 18(4), 8-20. https://doi.org/10.1111/j.1745-6622.2006.00106.x
Nocoń, A., & Pyka, I. (2018). Effectiveness of risk capital in the Polish banking sector in the years of 2002–2016. In Conference Proceedings of the 10th International Scientific Conference “Business and Management” (pp. 9-19). Vilnius, Lithuania. https://doi.org/10.3846/bm.2018.02
OECD. (2014). Risk management and corporate governance. Corporate Governance, OECD Publishing. https://doi.org/10.1787/9789264208636-en
Protivity. (2006). Guide to enterprise risk management. Retrieved from http://www.ucop.edu/enterpriserisk-management/_files/protiviti_faqguide.pdf
Purdy, G. (2010). ISO 31000: 2009 – setting a new standard for risk management. Risk Analysis, 30(6), 881-886. https://doi.org/10.1111/j.1539-6924.2010.01442.x
Pyka, I., & Nocoń, A. (2016). Dynamics of lending activity of Polish banking sector towards low interest rate policy of central banks. Tranformations in Business & Economics, 15(2A-38A), 415-433.
Pyle, D. H. (1997). Bank risk management: theory. UCBerkley research program in finance. Working Paper, RPF-272, 1-14.
Rachev, S. T., Mittnik, S., Fabozzi, F. J., Focardi, S., & Jasic, T. (2008). Regression analysis. In F. J. Fabozzi, Handbook of finance (Chapter III, pp. 5-59). New Jersey: John Wiley & Sons. https://doi.org/10.1002/9780470404324.hof003059
Ratliff, R., & Hanks, S. (1992). Evaluating risk. Managerial Auditing Journal, 7(5), 26-32. https://doi.org/10.1108/02686909210017883
Rejda, G. E. (2001). Principles of risk management and insurance. Addison Wesley Longman, International Edition.
Santomero, A. M. (1997). Commercial bank risk management: an analysis of the process. The Wharton School, University of Pennsylvania. Retrieved from "https://pdfs.semanticscholar.org/7119/eefc281c33ddbaa249bcaa90757285117737.pdf
Schieg, M. (2006). Risk management in construction project management. Journal of Business Economics and Management, 7(2), 77-83. https://doi.org/10.1080/16111699.2006.9636126
Scott, J. E., & Vessey, I. (2002). Managing risks in enterprise systems implementations. Communications of the ACM, 45(4), 74-81. https://doi.org/10.1145/505248.505249
Shimpi, P. (1999). Integrating corporate risk management. Swiss Re (Texere).
Shimpi, P. (2001). The insurative model. Risk Management, 48(8), 13-15.
Spikin, I. C. (2013). Risk management theory: The integrated perspective and its application in the public sector. Estado, Gobierno, Gestión Pública, 21, 89-126.
Strahl, D., Sobczak, E., Markowska, M., & Bal-Domańska, B. (2002). Econometric modeling with Excel. Wroclaw: Wrocław University of Economics Printing House.
Szpunar, P. (2016). Regulacje makroostrożnościowe sektora bankowego [Macroprudential regulations of a banking sector]. In T. Czerwińska & K. Jajuga (Sc. Ed.), Ryzyko instytucji finansowych – współczesne trendy i wyzwania [Risk of financial institutions – modern trends and challenges]. Warsaw: C.H. Beck.
Szustak, G. (2017). Wielopłaszczyznowy system kontroli ryzyka bankowego [Multi-faceted system of bank risk control]. Warsaw: Difin.
The Conference Board of Canada. (2003). Risk management: moving the framework to implementation. Keys to successful risk management Implementation Strategy. Deloitte & Touche.
The National Archives. (2017). Risk assessment handbook. United Kingdom. Retrieved from https://doi.org/10.1596/978-0-8213-7728-4
Vaughan, E. J., & Vaughan, T. (2003). Fundamentals of risk and insurance. New York: John Wiley & Sons.
Wieczorek-Kosmala, M. (2017). Kapitał ryzyka w przedsiębiorstwie z perspektywy zintegrowanego zarządzania ryzykiem [Risk capital in an enterprise from the perspective of integrated risk management]. Warsaw: CeDeWu, 63.
Williams Jr., C. A., & Heins, R. M. (1989). Risk management and insurance. New York: McGraw-Hill.
Żółtkowski, W. (2017). Zarządzanie ryzykiem w małym banku – w kontekście zmieniających się regulacji nadzorczych [Risk management in a small bank – in the context of changing supervisory regulations]. Warsaw: CeDeWu.
Županović, I. (2014). Sustainable risk management in the banking sector. Journal of Central Banking Theory and Practice, 3(1), 81-100. https://doi.org/10.2478/jcbtp-2014-0006