Monday, 24 August, 2015 | 10:00 | Defense - PhD

Dorota Kowalczyk: “Essays on Finance and Risk”

Dissertation Committee:
Petr Zemčík (chair)
Jan Hanousek (local chair)
Štěpán Jurajda
Sergey Slobodyan



This dissertation consists of three chapters that empirically investigate questions of increasing relevance in the banking risk and financial economics literature. The first chapter studies bank risk in the context of its joint determination with bank liquidity and capital in the Eurozone. The second chapter examines the banks' appetite for risk using the comprehensive credit register of the Czech National Bank. Finally, the last chapter refers to model risk and analyzes the ability of the selected term structure models to value the interest rate swaps in the Polish market.

The first chapter analyzes the coordination of bank risk, liquidity and capital in the presence of securitization. Its outcome contributes to the debate on the effectiveness of the banking regulations. My findings with regard to the simultaneity of capital and risk decisions are consistent with previous empirical studies. Incorporation of bank liquidity permits me to establish the presence of the coordination of risk and liquidity decisions. At the same time, I find no evidence of the direct joint determination of capital and liquidity. Finally, the first chapter partially confirms the theoretical implications of Repullo (2005).

The second chapter, coauthored with Adam Geršl, Petr Jakubík, Steven Ongena and José-Luis Peydró, addresses the question of banks' appetite for risk. In particular, we examine the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At the same time, a lower interest rate during the life of a loan reduces its riskiness.

The third chapter refers to model risk and analyzes the performance of the selected term structure models when valuing interest rate swaps in the Polish market. The Nelson-Siegel, cubic interpolation and CIR models generate adequate fit and transaction values similar to the realized contract values. The ample performance of the Cox-Ingersoll-Ross model suggests the rate-reliant nature of the interest rate volatility. The underperformance of Vasicek's emphasizes the role of the cross section of interest rates, and thus the importance of a no-arbitrage argument. Finally, the ex-post accuracy of the Nelson-Siegel and the cubic spline models indicates that a current cross-section of the yield curve is highly informative for the future.

Full Text: “Essays on Finance and Risk” by Dorota Kowalczyk