Kreditporteføljemodeller og makroøkonomien: En analyse af makroøkonomiens indvirkning på tab og hensættelser i Danske Bank fra 1980 til 2008

Kristoffer Boye

Student thesis: Diploma thesis

Abstract

In 2008 and 2009 a substantial number of banks have received aid in form of guarantee schemes, hybrid and/or shareholder capital, all financed by government authorities. The reason for these actions was a severe crisis in the financial markets leading to a sharp decrease in the global economy. In the light of the current financial crisis banks capital base has therefore become an increasing issue. In the future Governments, Financial Service Authorities and the general public want banks to be more immune to shocks from the economy. In this thesis regulatory and internal models to estimate capital requirements will be examined. Based on the examination and historic losses in Danske Bank from 1980 to 2008 it will be analysed if macroeconomic factors should be included in the models. The analysis will also include an examination of factors which can give banks an early warning of increased losses, thereby allowing banks to increase their capital base before the crisis originates. The main theoretical framework of the analysis will be based on credit portfolio models to estimate capital needs. Loss data is based on published loss and provisions from Danske Bank. 11 macro economic factors have been analysed to evaluate whether they should be included in credit portfolio models based on their ability to explain losses in banks. Of the 11 macro economic factors 5 had properties that could give banks an early warning about increased losses in the future. In the thesis it is argued that increased stresstest of parameters in the credit portfolio model would secure a more stable measure of the capital needs. Based on the results of the analysis it is recommended that some or all of the 5 macroeconomic factors with properties to give an early warning should be included in the credit portfolio models. It is also recommended that increased stress testing of parameters and correlations between assets should be implemented.

EducationsGraduate Diploma in Finance, (Diploma Programme) Final Thesis
LanguageDanish
Publication date2009
Number of pages72