Tid: 14 september 2009 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Jesper Frick

Titel: Modelling credit risk with macroeconomic factors (Examensarbete – Master thesis)

Abstract

A model of loan losses for Swedbank has been developed. Loan losses of nine different segments and the two major regions in which Swedbank is active, Sweden and the Baltic region, are mapped to changes in macroeconomic factors of the two regions. The time lags of with which macroeconomic factors explain loan losses are studied. Linear regression is performed of loss ratios on changes of macroeconomic factors at the optimal time lags. A model for the changes of macroeconomic factors is calibrated and a large number of simulations are performed. Using the simulated samples, Swedbank's future loss ratios are predicted one quarter and one year ahead.

Changes of macroeconomic factors in the Baltic region are shown to explain the loan losses of the Baltic region well. The changes of macroeconomic factors of the Swedish region are shown to have a low level of explanation of loss ratios pertaining to the Swedish region. The fact that loss ratios in the Baltic region are better explained by macroeconomic factors could be explained by customers in this region having less buffer to adverse movements of the economy.

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