Analyse der Bankenperformance ausgewählter Institute auf Basis eines "Basel IV-orientierten" Performance-Measurement-System

Abstract

The Basel Committee on Banking Supervision (BCBS) has been publishing internationally recognized standards with requirements for financial institutions since 1988. From the outset, these included minimum capital coverage ratios for banks. Following the global financial crisis, these were expanded as part of the development of the Basel III framework and supplemented by requirements to ensure sufficient liquidity in financial institutions. The stricter regulations oblige banks to hold more capital. This leads to changes in the refinancing structure and a potential increase in capital costs. In addition, the necessary calculations and comprehensive reporting cause high internal operating and personnel costs. For these reasons, the question arises as to how the stricter requirements will affect the performance and profitability of banks. To answer this question, the theory section of the thesis begins by outlining the development of the Basel regulations from Basel I to Basel IV. The focus here is on capital and liquidity requirements. Subsequently, various ratios for analysing companies, with a focus on banks, are presented. In the course of a survey of the current state of research, studies from various regions are examined with regard to the application of bank ratios. The empirical part of the thesis analyses eight systemically important European banks regarding their capital and liquidity resources and the development of their performance. The institutions were selected based on data from the EBA dashboard as of 2022 and analysed over the period from 2016 to 2022 on the basis of Pillar 3 reports and annual reports. The common equity tier 1 capital ratio, the total capital ratio and the leverage ratio were used to present the capital resources. The LCR and the NSFR were examined to determine compliance with liquidity requirements. Separate key figures were defined to analyse the development of performance. These are the balance sheet total as a measure of the size of the bank, the risk structure of the balance sheet, the common equity tier 1 capital ratio of the balance sheet, the return on total earnings, the return on regulatory equity, the gross interest margin, the degree of diversification and the cost-income ratio. In addition to examining the respective ratios, correlations were calculated between the profitability ratios (return on total earnings, return on regulatory equity and cost-income ratio) and the capital and liquidity ratios. The results of the study show that the capital and liquidity ratios of the majority of the selected banks correlate negatively with those used to measure profitability. This leads to the conclusion that there is a negative linear connection between the change in regulatory ratios and performance ratios. However, this conclusion must be questioned, as the majority of the selected institutions were able to increase and therefore improve their regulatory and performance indicators when looking at the period as a whole. The negative correlation may therefore be the result of interim fluctuations and opposing developments in the indicators. In addition, the majority of banks were able to increase their total assets and reduce their risk structure. The increases in the key interest rate by the ECB in 2022 also led to sharp increases in the gross interest margins of the institutions under review.

Date of Award	2024
Original language	German (Austria)
Supervisor	Heimo Losbichler (Supervisor)