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Har Sveriges storbanker blivit säkrare?

Ljung, Anton LU (2017) NEKH02 20171
Department of Economics
Abstract (Swedish)
Syftet med denna studie är att undersöka om marknadsrisken för de fyra svenska storbankerna har minskat i och med ökad kapitaltäckning. Finansiell teori implicerar att höjd kapitaltäckning bör resultera i minskad risk i aktiepriset. Marknadsrisken analyseras genom att undersöka historisk volatilitet, betavärde och Credit Default Swap spread (CDS-spread) för respektive banks marknadsnoterade aktie. Riskmåtten jämförs innan och efter implementeringen av Basel-III och innan och efter finanskrisen 2008. Resultaten jämförs med danska banker.

Marknadsrisken tycks inte har minskat för de svenska storbankerna. Resultaten är dock något tvetydiga. Majoriteten av riskmåtten har minskat efter implementeringen av Basel-III. Riskmåtten visar inte på... (More)
Syftet med denna studie är att undersöka om marknadsrisken för de fyra svenska storbankerna har minskat i och med ökad kapitaltäckning. Finansiell teori implicerar att höjd kapitaltäckning bör resultera i minskad risk i aktiepriset. Marknadsrisken analyseras genom att undersöka historisk volatilitet, betavärde och Credit Default Swap spread (CDS-spread) för respektive banks marknadsnoterade aktie. Riskmåtten jämförs innan och efter implementeringen av Basel-III och innan och efter finanskrisen 2008. Resultaten jämförs med danska banker.

Marknadsrisken tycks inte har minskat för de svenska storbankerna. Resultaten är dock något tvetydiga. Majoriteten av riskmåtten har minskat efter implementeringen av Basel-III. Riskmåtten visar inte på någon skillnad mellan de svenska och danska bankerna efter Basel-III trots skillnaden i kapitaltäckning. Värdena på volatilitet, relativ volatilitet och betavärde för de svenska bankerna har ökat efter finanskrisen 2008. Ett av studiens mest intressanta resultat är att marknaden inte anser att svenska banker är säkrare jämfört med danska trots markant skillnad i kapitaltäckning. Resultaten väcker frågor kring varför Sverige har hårdare kapitalkrav jämfört med andra länder. (Less)
Abstract
The purpose of this study is to evaluate whether the market risk for the four largest banks in Sweden has decreased with increased capital requirements. Financial theory dictates that increased capital requirements decrease risk in the stock price. The market risk was investigated by analysing historical volatility, betas and credit default swap spread (CDS-Spread) for each bank’s publicly traded stock price. These measures were then compared before and after the implementation of the Basel-III accord and before and after the financial crisis in 2008. These results were then compared to those of the Danish banks.

The market risk for the largest Swedish banks does not seem to have decreased despite the increase in capital requirements.... (More)
The purpose of this study is to evaluate whether the market risk for the four largest banks in Sweden has decreased with increased capital requirements. Financial theory dictates that increased capital requirements decrease risk in the stock price. The market risk was investigated by analysing historical volatility, betas and credit default swap spread (CDS-Spread) for each bank’s publicly traded stock price. These measures were then compared before and after the implementation of the Basel-III accord and before and after the financial crisis in 2008. These results were then compared to those of the Danish banks.

The market risk for the largest Swedish banks does not seem to have decreased despite the increase in capital requirements. However, the results are ambiguous. The majority of risk measures have decreased for both the Swedish and the Danish banks after the implementation of the Basel-III accord. Compared to the Danish banks, the Swedish banks have a greater capital adequacy ratio than the Danish banks. However, there is no noticeable difference between the market risk for the Swedish and Danish banks after the introduction of Basel-III. The volatility, relative volatility and betas have increased after the financial crisis in 2008. Interestingly, the market does not consider the Swedish banks to be safer than the Danish banks despite their increased capital requirements. The results raises the question why the major Swedish banks have stricter capital requirements compared to other countries. (Less)
Please use this url to cite or link to this publication:
author
Ljung, Anton LU
supervisor
organization
course
NEKH02 20171
year
type
M2 - Bachelor Degree
subject
keywords
Kapitaltäckning, Basel-III, Credit Default Swap spread, Volatilitet
language
Swedish
id
8910418
date added to LUP
2017-07-11 11:39:36
date last changed
2017-07-11 11:39:36
@misc{8910418,
  abstract     = {The purpose of this study is to evaluate whether the market risk for the four largest banks in Sweden has decreased with increased capital requirements. Financial theory dictates that increased capital requirements decrease risk in the stock price. The market risk was investigated by analysing historical volatility, betas and credit default swap spread (CDS-Spread) for each bank’s publicly 	traded stock price. These measures were then compared before and after the implementation of the Basel-III accord and before and after the financial crisis in 2008. These results were then compared to those of the Danish banks. 

The market risk for the largest Swedish banks does not seem to have decreased despite the increase in capital requirements. However, the results are 	ambiguous. The majority of risk measures have decreased for both the Swedish 	and the Danish banks after the implementation of the Basel-III accord. Compared to the Danish banks, the Swedish banks have a greater capital adequacy ratio than the Danish banks. However, there is no noticeable difference between the market risk for the Swedish and Danish banks after the introduction of Basel-III. The volatility, relative volatility and betas have 	increased after the financial crisis in 2008. Interestingly, the market does not consider the Swedish banks to be safer than the Danish banks despite their increased capital requirements. The results raises the question why the major Swedish banks have stricter capital requirements compared to other countries.},
  author       = {Ljung, Anton},
  keyword      = {Kapitaltäckning,Basel-III,Credit Default Swap spread,Volatilitet},
  language     = {swe},
  note         = {Student Paper},
  title        = {Har Sveriges storbanker blivit säkrare?},
  year         = {2017},
}