Analýza vývoje kvality bankovních portfolií

This diploma thesis analyses the development of loan portfolio quality in the Czech banking sector. The descriptive analysis of loan portfolio quality is conducted on a sample of nine banks covering more than 80% of the sector's assets over the period 2018 to 2024, and evaluates the development of key loan portfolio quality indicators, namely the share of Stage 2 and Stage 3 exposures, the loan loss coverage ratio, and the cost of risk. The thesis subsequently replicates and extends the methodology of Pastiranová and Witzany (2021), and using quarterly data from four banks over the period 2016 to 2024, tests the hypothesis of whether the implementation of the IFRS 9 accounting standard led to an increase in the volatility of quarterly cost of risk. The volatility analysis is conducted across four periods capturing the transition from IAS 39 to IFRS 9, the COVID-19 crisis, and the subsequent stabilisation.