Kasper Roszbach

Sveriges Riksbank (Bank of Sweden)

Director of financial stability

Financial stability department

Stockholm, SE 103 37

Sweden

http://www.riksbank.se/research/roszbach

University of Groningen,

Professor of banking and finance

Department of Economics, Econometrics and Finance

Nettelbosje 2

Groningen, NL 9747 AE

Netherlands

http://www.rug.nl/staff/k.f.roszbach/

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 3,153

in Total Papers Downloads

9,506

CITATIONS
Rank 5,666

SSRN RANKINGS

Top 5,666

in Total Papers Citations

90

Scholarly Papers (18)

1.

Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?

Journal of Financial Services Research, Forthcoming
Number of pages: 29 Posted: 18 Feb 2004
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 2,274 (4,114)
Citation 12

Abstract:

Internal ratings, credit risk, Value-at-Risk, banks, Basel II, retail credit, SME, risk weights

Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies

Journal of Banking and Finance, Forthcoming, Riksbank Working Paper No. 155
Number of pages: 33 Posted: 30 Aug 2005
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 849 (20,898)
Citation 16

Abstract:

Internal ratings, credit risk, tails, Value-at-Risk, banks, Basel II

Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies

Journal of Banking and Finance, Forthcoming, Riksbank Research Paper No. 3
Number of pages: 36 Posted: 05 Jun 2006
Tor Jacobson, Kasper Roszbach and Jesper Lindé
Sveriges Riksbank - Research Division, Sveriges Riksbank (Bank of Sweden) and Sveriges Riksbank - Research Division
Downloads 473 (46,502)
Citation 16

Abstract:

Internal ratings, rating systems, credit risk, tails, Value-at-Risk, banks, Basel II

3.

Bank Lending Policy, Credit Scoring and the Survival of Loans

Review of Economics and Statistics, , Vol. 86, No. 4, pp. 946-958, November 2004
Number of pages: 30 Posted: 29 Mar 2004
Kasper Roszbach
Sveriges Riksbank (Bank of Sweden)
Downloads 1,017 (14,658)
Citation 7

Abstract:

Banks, lending policy, credit scoring, survival, loans

4.

Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy

Sveriges Riksbank Working Paper No. 142
Number of pages: 54 Posted: 22 Jan 2004
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 1,017 (15,499)
Citation 12

Abstract:

Internal Ratings Based approach, relative risk weights, Value-at-Risk, credit risk models

5.

Corporate Credit Risk Modelling and the Macroeconomy

Journal of Banking and Finance, Forthcoming
Number of pages: 29 Posted: 09 Dec 2004
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 824 (19,820)
Citation 18

Abstract:

Firm default, default risk, credit risk, corporate loans, duration model, survival, macroeconomy

6.
Downloads 443 ( 51,029)
Citation 2

Credit Ratings and Bank Monitoring Ability

European Banking Center Discussion Paper No. 2010-10S, CentER Discussion Paper Series No. 2010-37S
Number of pages: 47 Posted: 17 Mar 2008 Last Revised: 07 Apr 2010
Leonard I. Nakamura and Kasper Roszbach
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Sveriges Riksbank (Bank of Sweden)
Downloads 265 (92,030)
Citation 2

Abstract:

Monitoring, banks, credit bureau, private information, ratings, regulation, supervision.

Credit Ratings and Bank Monitoring Ability

FRB of Philadelphia Working Paper No. 10-21 (Superseded by Working Paper 13-21)
Number of pages: 59 Posted: 11 Jun 2010 Last Revised: 22 Jun 2016
Leonard I. Nakamura and Kasper Roszbach
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Sveriges Riksbank (Bank of Sweden)
Downloads 108 (206,527)
Citation 2

Abstract:

Monitoring, banks, credit bureau, private information, ratings, regulation, supervision

Credit Ratings and Bank Monitoring Ability

FRB of Philadelphia Working Paper No. 13-21
Number of pages: 60 Posted: 25 May 2013
Leonard I. Nakamura and Kasper Roszbach
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Sveriges Riksbank (Bank of Sweden)
Downloads 70 (273,566)
Citation 2

Abstract:

Monitoring, banks, credit bureau, private information, ratings, regulation, supervision, overconfidence

7.

Collateralization, Bank Loan Rates and Monitoring

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 11 Aug 2011 Last Revised: 18 Feb 2014
Geraldo Cerqueiro, Steven Ongena and Kasper Roszbach
Catolica Lisbon School of Business and Economics, University of Zurich - Department of Banking and Finance and Sveriges Riksbank (Bank of Sweden)
Downloads 439 (51,596)
Citation 1

Abstract:

collateral, credit rationing, differences-in-differences, floating lien, loan contracts, monitoring, natural experiment

Governing the Governors: A Clinical Study of Central Banks

Riksbank Research Paper Series No. 54, Riksbank Working Paper Series No. 221
Number of pages: 52 Posted: 04 Mar 2007
Lars Frisell, Kasper Roszbach and Giancarlo Spagnolo
Sveriges Riksbank, Sveriges Riksbank (Bank of Sweden) and Stockholm School of Economics (SITE)
Downloads 424 (53,308)
Citation 7

Abstract:

accountability, bank regulation, board structure, central banks, corporate governance, central bank independence, governor remuneration, term limits

Governing the Governors: A Clinical Study of Central Banks

CEPR Discussion Paper No. DP6888
Number of pages: 51 Posted: 20 Aug 2008
Lars Frisell, Kasper Roszbach and Giancarlo Spagnolo
Sveriges Riksbank, Sveriges Riksbank (Bank of Sweden) and Stockholm School of Economics (SITE)
Downloads 3 (543,454)
Citation 7
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Abstract:

accountability, bank regulation, board structure, central bank independence, central banks, cooling-off periods, governance, governor remuneration, regulatory capture, term limits

9.

The IRB Approach in the Basel Committee's Proposal for New Capital Adequacy Rules: Some Simulation-Based Illustrations

Sveriges Riksbank Economic Review, Vol. 4, 2002
Number of pages: 38 Posted: 10 Aug 2006
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 351 (65,477)
Citation 1

Abstract:

IRB, Basel II, internal ratings, loan portfolio, credit risk, macroeconomic development

10.
Downloads 220 ( 96,321)
Citation 7

Firm Default and Aggregate Fluctuations

FRB of Philadelphia Working Paper No. 08-21
Number of pages: 44 Posted: 13 Aug 2008
Tor Jacobson, Rikard Kindell, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 97 (222,912)
Citation 7

Abstract:

Default, default-risk model, business cycles, aggregate fluctuations, microdata, logit, firm-specific variables, macroeconomic variables

Firm Default and Aggregate Fluctuations

Sveriges Riksbank Research Paper Series No. 57, Sveriges Riksbank Working Paper Series No. 226
Number of pages: 45 Posted: 12 Oct 2009 Last Revised: 07 Jul 2011
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 69 (275,881)
Citation 7

Abstract:

default, default-risk model, business cycles, aggregate fluctuations, micro-data, logit, firm-specific variables, macroeconomic variables

Firm Default and Aggregate Fluctuations

Number of pages: 45 Posted: 16 Feb 2009
Tor Jacobson, Rikard Kindell, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 46 (337,595)
Citation 7

Abstract:

business cycles, default, default-risk model, logit model, macroeconomic variables and micro-data

Firm Default and Aggregate Fluctuations

CEPR Discussion Paper No. DP7083
Number of pages: 45 Posted: 17 Feb 2009
Tor Jacobson, Rikard Kindell, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 8 (518,034)
Citation 7
  • Add to Cart

Abstract:

Business cycles, Default, Default-risk model, Logit model, Macroeconomic variables, Micro-data

11.

Is Firm Interdependence Within Industries Important for Portfolio Credit Risk?

Sveriges Riksbank Working Paper No. 168, Riksbank Research Paper Series No. 11
Number of pages: 33 Posted: 14 Sep 2004
Kenneth Carling, Lars Ronnegard and Kasper Roszbach
Uppsala University, Dalarna University and Sveriges Riksbank (Bank of Sweden)
Downloads 214 (107,743)
Citation 4

Abstract:

Value-at-risk, credit risk, portfolio credit risk, duration model, default correlation, industry dependency, cluster errors

12.

Finance and Growth: Time Series Evidence on Causality

Forthcoming in the Journal of Financial Stability
Number of pages: 29 Posted: 25 Jan 2013 Last Revised: 10 Jan 2015
Oana Peia and Kasper Roszbach
ESSEC Business School and Sveriges Riksbank (Bank of Sweden)
Downloads 139 (125,864)

Abstract:

economic development, stock market development, banking development, cointegration, causality

Collateral Damaged? On Liquidation Value, Credit Supply, and Firm Performance

Number of pages: 66 Posted: 25 Nov 2015 Last Revised: 06 Apr 2017
Geraldo Cerqueiro, Steven Ongena and Kasper Roszbach
Catolica Lisbon School of Business and Economics, University of Zurich - Department of Banking and Finance and Sveriges Riksbank (Bank of Sweden)
Downloads 95 (226,122)

Abstract:

Collateral, investment, financial constraints, differences-in-differences, floating lien

Collateral Damage? On Collateral, Corporate Financing and Performance

ECB Working Paper No. 1918
Number of pages: 55 Posted: 19 Jun 2016
Geraldo Cerqueiro, Steven Ongena and Kasper Roszbach
Catolica Lisbon School of Business and Economics, University of Zurich - Department of Banking and Finance and Sveriges Riksbank (Bank of Sweden)
Downloads 38 (364,989)

Abstract:

collateral, investment, financial constraints, differences-in-differences, floating lien

14.

Bad Times, Good Credit

Swedish House of Finance Research Paper No. 15-05
Number of pages: 53 Posted: 01 Apr 2015 Last Revised: 06 Nov 2016
Bo Becker, Marieke Bos and Kasper Roszbach
Stockholm School of Economics, Swedish House of Finance at the Stockholm School of Economics and Sveriges Riksbank (Bank of Sweden)
Downloads 88 (108,657)

Abstract:

Credit markets, corporate loans, information frictions, business cycles

15.

Financial Stability and Central Bank Governance

Number of pages: 30 Posted: 03 Oct 2013
Michael Koetter, Kasper Roszbach and Giancarlo Spagnolo
IWH, Sveriges Riksbank (Bank of Sweden) and Stockholm School of Economics (SITE)
Downloads 69 (200,153)

Abstract:

Central Banks, governance, financial stability, IMF, prudential supervision, regulatory capture, separation of powers

16.

Credit Ratings, Private Information, and Bank Monitoring Ability

FRB of Philadelphia Working Paper No. 16-14
Number of pages: 37 Posted: 21 Jun 2016
Leonard I. Nakamura and Kasper Roszbach
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Sveriges Riksbank (Bank of Sweden)
Downloads 0 (344,124)
Citation 2

Abstract:

Monitoring, Banks, Credit Bureau, Private Information, Public Information, Ratings, Regulation, Supervision, Overconfidence

17.

Exploring Interactions between Real Activity and the Financial Stance

Journal of Financial Stability, Vol. 1, No. 3, pp. 308-341, April 2005
Posted: 11 Jan 2005
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)

Abstract:

Default risk models, business cycles, price stability, financial stability, financial and real interaction

18.

Trade Unions, Employee Share Ownership and Wage Setting: A Supply-Side Approach to the Share Economy

Stockholm School of Economics WPS65-8/95
Posted: 16 May 1998
Thomas I. Renstrom and Kasper Roszbach
Durham Business School - Department of Economics and Sveriges Riksbank (Bank of Sweden)

Abstract: