Financial stability 2005
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Contents
FINANCIAL STABILITY ANALYSIS
THE FINANCIAL SECTOR
Nordic groups and Danish banking institutions
Risk factors facing Danish banking institutions
Stress testing of the Nordic groups and the Danish banking institutions
Mortgage-credit institutes
Pension companies
THE CORPORATE SECTOR AND THE HOUSEHOLDS
The significance of the corporate sector and the households to financial stability
Corporate sector
Households
FINANCIAL MARKETS
The significance of financial markets to financial stability
Market trends
Credit spreads in Europe
Interest-rate expectations derived from market prices
FRAMEWORK CONDITIONS FOR THE FINANCIAL SYSTEM
Financial stability and framework conditions for the financial system
The EU's legislative process
Credit institutions
Hedge associations
Securities markets
Clearing and settlement
ISSUES RELATED TO FINANCIAL STABILITY
THE INTEREST-RATE EXPOSURE OF DANISH HOMEOWNERS
ANALYSIS OF BANK EQUITY PRICES
Equity-price development
Distance to insolvency – new version
Equity-market assessment of economic capital
Comovement in equity prices
ASSESSMENT OF SETTLEMENT RISKS IN VP SECURITIES SERVICES
Risks related to settlement of securities transactions
Settlement of securities transactions in VP
Management of settlement risks in VP
The significance of the replacement risk to the VP system
Conclusion
Boxes
Box
- Categories applied
- Structural development 2004
- Hybrid core capital
- Calculation of banking institutions' credit risk on their lending portfolios
- Danish agriculture
- Failure-rate model
- Calculation of expected loss ratio for bank debt
- Interest-rate options
- Actual and implied volatility
- Data
- Option price model and distance to insolvency
- Analytical methods
- Risks related to settlement of securities transactions
- The automatic collateralisation agreement
- Stress testing of the VP settlement system
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FINANCIAL STABILITY 2005
 The small picture on the front cover is a section of the commemorative coin to mark the wedding of HRH Crown Prince Frederik and Miss Mary Donaldson. The wedding portrait was designed by the sculptor Karin Lorentzen. Text may be copied from this publication provided that Danmarks Nationalbank is specifically stated as the source. Changes to or misrepresentation of the content are not permitted. Financial stability 2005 is available on Danmarks Nationalbank's website: www.nationalbanken.dk under publications. Financial stability is also available on request from: Danmarks Nationalbank, Information Desk, Havnegade 5, DK-1093 Copenhagen K Telephone +45 33 63 70 00 (direct) or +45 33 63 63 63 Office hours, Monday-Friday 9.00 am-16.00 pm. E-mail: info@nationalbanken.dk www.nationalbanken.dk This publication is based on information available up to 15 April 2005. Explanation of symbols: - Magnitude nil 0 Less than on half of unit employed · Category not applicable na. Numbers not available Details may not add due to rounding. SCHULTZ GRAFISK A/S ISSN 1602-057X ISSN (Online) 1602-0588 |
