Contents
FINANCIAL STABILITY ANALYSIS
The financial sector
The significance of financial institutions to financial stability
Nordic groups and Danish banking institutions
Risk factors facing 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
The equity markets
Government-bond markets
Credit spreads in Europe and the USA
Interest-rate expectations derived from option prices
Framework conditions for the financial system
Financial stability and the framework for the financial system
The single financial market
Credit institutions
Securities markets
Payment and settlement systems
ISSUES RELATED TO FINANCIAL STABILITY
Advanced approaches to calculation of capital Requirements under Basel II
Introduction of new capital-adequacy rules in Denmark
Theoretical background to the credit institutions' capital requirements
Calculation of the capital requirement using IRB approaches
Quantification
Banks' liquidity
Introduction
Banks' liquidity risk management
Liquidity supervision
Data for banks' liquidity
Protection of settlement in danish payment systems
Introduction
Protecting settlement in multilateral netting systems
Protecting settlement in the Sumclearing
The banking institutions' liquidity reserves
Boxes
- Categories applied
- New accounting rules
- Breakdown of return on equity
- Loans for financial investments
- Calculation of banking institutions' credit risk on their lending portfolios
- Macro stress test of the Danish banking sector
- Model to estimate the risk of companies failing
- Losses on corporate lending
- Danish agriculture
- Options and implied volatility
- A risk index for euro-denominated assets
- IRB formula
- Data basis
- The liquidity requirement in the Danish Financial Business Act, section 152
- The recommendations of the Basel committee for the banks' liquidity management
- Multilateral net settlement systems
- Collateral pools
- Pros and cons of settling an insolvent banking institution's retail payments
- Method for assessment of banking institutions' contingency liquidity measures
| FINANCIAL STABILITY 2006 The small picture on the cover shows a characteristic section of Danmarks Nationalbank's building, Havnegade 5 in Copenhagen. The building, which was constructed in 1965-78, was designed by the architect, Arne Jacobsen (1902-71). Text may be copied from this publication cost-free provided that Danmarks Nationalbank is specifically stated as the source. Changes to or misrepresentation of the content are not permitted. Financial stability 2006 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 10 May 2006. 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. Datagraf Auning A/S ISSN 1602-057X ISSN (Online) 1602-0588 |
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