Bezpieczny Bank

This article brings up the issue of procyclicality of banking activity stemming, among other things, from Basel II banking regulations and banks’ management practices. It also tries to examine the applicability of tools aimed to limit excessive credit granting (limits on LtV, DtI) as potential macroprudential solutions. It explores dominant trends in empirical studies on the issue of Basel banking regulation procyclicality and some of their shortcomings, including data used. To remedy these drawbacks and lack of some information, which seem crucial from the author’s point of view, the research survey is proposed. This article describes construction
of the survey and comments on some results obtained from the survey conducted among banks from the European Union. The author attempted to verify, among other things, whether advanced methods used in calculation of capital requirements or in credit granting process, increase probability of decreasing credit supply. It was also investigated whether banks had their own limits on credit granting that were stricter than regulatory ones and thereby anticyclical use of such limits may be limited. However, the results obtained by the author do not allow to verify them in statistically significant manner and should not be used in formulating more general proposals. Further research using the proposed methodology should be conducted under auspices of respected international organisation like World Bank, national supervisory bodies or national central banks.

This paper presents a novel approach of estimating the value of a prepayment option in a fixed rate loan based on the concept of breakeven volatility. Since the prepayment option can be exercised essentially at any time prior to maturity, its valuing requires: (i) a pricing model sophisticated enough to handle its early exercise feature; and (ii) a broad set of interest rate derivatives prices to which the model can be calibrated to preclude arbitrage. This paper shows that when the derivatives market is not developed enough to ensure calibration, a good approximation of the fair value of a prepayment option can be derived by constructing the “missing” derivatives prices by back-testing delta hedged swaptions. This produces a “fair” volatility surface conditioned on the realized historical zero coupon bond prices and swap rates, which can be used to calibrate the prepayment option pricing model. The paper presents numerical examples for the Polish market as of January 2017. The mortgage spread component related to the prepayment option price proves to be quite significant, stressing the importance of an adequate risk management of the inherent callability feature and possibly explains why fixed rate mortgage products have struggled to develop in Poland so far.

Alternative payment methods become more and more popular among customers. Today, there is over 300 alternative payment schemes and more than 200 alternative payment methods what makes understanding the alternative payments difficult. Today APMs are the initial stage of their development. Despite the growing interest in alternative payment methods and instruments, there is still a lack of commonly accepted definition and precise market data.
The purpose of the paper is to identify the alternative payment methods, provide their taxonomy, assess their development and describe associated risks of frauds. The review of APMs classification shows that they use different criteria: objective, subjective or combined. The paper proposes the definition that has changed those paradigms and has focused on payments’ innovativeness and their ability to fulfil customers’ expectations. The lack of homogenous taxonomy makes the assessment of the stage of APMs development difficult, but the paper presents the probe of such assessment based on the data of APMs usage in different regions of the world. The paper also identify frauds and threats related to APM : phishing, goods wheedling, keylogger software, malicious software, partner and DBOD risks.  In the final part it discusses the factors influencing APMs further development such as new regulations, developing multichannel platforms and new business models, changes in consumer behaviour and concerns about the security. The results of the study are based on the critical analysis of available, not extensive existing literature regarding alternative financial services (including payments), statistical data of research companies and institutions altogether with consultancy firms’ reports.

The Benchmark Regulation (BMR) imposes the necessity of the conversion of the quote-based financial indices to the transactional-based ones. The reform is a challenge for administrators of indices that perform feasibility studies of the conversion process. The article analyses pros and cons of various methods of the index reform indicating the optimal path of such activity as far as money market is concerned. A choice for a “parallel listing” path seems to be the safest one if one takes into account the legal and economic risks embedded in various transition models.

The main purpose of the article is to analyse the most important borrower characteristics determining preferences in the choice of the interest rate formula in mortgage contracts. Based on the PFSA statistics, the portfolio of newly-issued mortgages in 2016 was analysed to identify a group of consumers corresponding to the borrower characteristics who, in the light of European and global research, would be willing or obliged to choose a fixed interest rate.
The conducted research shows that in Poland, the scale of the fixed interest rate choice in mortgage contracts is insignificant and represents only 0.2% of total mortgage debt. The analysis allows to identify a group of Polish consumers who should be given an option to choose a fixed rate when signing a mortgage contract. The size of the target group that should get acquainted with the offer of fixed-rate mortgages varies in Poland, depending on the chosen borrower characteristics. On the basis of the research, however, it can be incurred that in about 20% of the concluded contracts, there should be an option to choose the interest rate formula.

Despite a relatively short period that elapsed since the development of the blockchain or Distributed Ledger technology (DLT), it has been put to multiple uses by multinational corporations, central banks, governments and individuals. It has been responsible for the emergence of digital money and revolutionary changes in a wide array of financial services. The paper examines opportunities and threats associated with the use of the DLT, with a special emphasis on the first experimental digital money, applying a heuristic SWOT analysis. It includes the analysis of properties of the Bitcoin in comparison to traditional money together with detailed examination of protocols that created it in terms of associated dangers.

Post-crisis bank regulations recognised the need for a creation of a formalized resolution framework which would allow for an efficient resolution of troubled banks, with no or limited use of public funds. However, the resolution schemes are based on complex procedures, which aim at balancing the interests of different stakeholders. The purpose of this paper is to identify and assess the key elements of the resolution framework under the Single Resolution Mechanism (SRM) and the Bank Recovery and Resolution Directive (BRRD), concentrating on the bail-in tool. In particular, the paper attempts to demonstrate that there are some serious economic and social problems, when the resolution procedures are applied to local and regional banks, such as the cooperative sector, illustrating it with the bank resolution experience in Italy.