Kasper Roszbach

Norges Bank - Research Department

Director of Research

P.O. Box 1179

Oslo, N-0107

Norway

University of Groningen - Faculty of Economics and Business

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/

  • Norges Bank - Research Department

  • University of Groningen - Faculty of Economics and Business

SCHOLARLY PAPERS

18

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10,296

CITATIONS
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Top 6,919

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116

Scholarly Papers (18)

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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 Norges Bank - Research Department
Downloads 2,373 (5,346)
Citation 8

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

2.

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

Downloads 1,350 ( 13,617)
Citation 24

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 Norges Bank - Research Department
Downloads 867 (25,976)

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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, Norges Bank - Research Department and Sveriges Riksbank - Research Division
Downloads 483 (56,848)

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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
Norges Bank - Research Department
Downloads 1,129 (17,920)
Citation 1

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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
Tor Jacobson, Kenneth Carling, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 1,073 (19,354)
Citation 7

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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
Tor Jacobson, Kenneth Carling, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 943 (23,387)
Citation 3

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

6.

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 SBE, University of Zurich - Department of Banking and Finance and Norges Bank - Research Department
Downloads 545 (49,316)
Citation 2

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

7.

Credit Ratings and Bank Monitoring Ability

Downloads 490 ( 56,443)
Citation 1

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 Norges Bank - Research Department
Downloads 269 (112,005)
Citation 1

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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 Norges Bank - Research Department
Downloads 135 (212,302)
Citation 1

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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 Norges Bank - Research Department
Downloads 86 (292,890)

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

8.

Governing the Governors: A Clinical Study of Central Banks

Downloads 482 ( 57,660)
Citation 9

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, Norges Bank - Research Department and Stockholm School of Economics (SITE)
Downloads 479 (57,462)
Citation 5

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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, Norges Bank - Research Department and Stockholm School of Economics (SITE)
Downloads 3 (655,126)
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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 Norges Bank - Research Department
Downloads 369 (79,421)

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

10.

Bad Times, Good Credit

Swedish House of Finance Research Paper No. 15-05
Number of pages: 49 Posted: 01 Apr 2015 Last Revised: 29 May 2018
Bo Becker, Marieke Bos and Kasper Roszbach
Stockholm School of Economics, Swedish House of Finance - Stockholm School of Economics and Norges Bank - Research Department
Downloads 330 (90,275)
Citation 4

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Credit markets, corporate loans, information frictions, business cycles, internal ratings

11.

Collateral Damaged? Priority Structure, Credit Supply, and Firm Performance

Downloads 309 ( 97,013)
Citation 3

Collateral Damaged? Priority Structure, Credit Supply, and Firm Performance

Number of pages: 91 Posted: 25 Nov 2015 Last Revised: 26 Mar 2019
Geraldo Cerqueiro, Steven Ongena and Kasper Roszbach
Catolica-Lisbon SBE, University of Zurich - Department of Banking and Finance and Norges Bank - Research Department
Downloads 216 (140,055)
Citation 2

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

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 SBE, University of Zurich - Department of Banking and Finance and Norges Bank - Research Department
Downloads 93 (278,467)

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

12.

Firm Default and Aggregate Fluctuations

Downloads 237 (108,727)
Citation 17

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 Norges Bank - Research Department
Downloads 100 (265,281)
Citation 9

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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 Norges Bank - Research Department
Downloads 81 (306,236)
Citation 3

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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 Norges Bank - Research Department
Downloads 48 (399,944)

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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 Norges Bank - Research Department
Downloads 8 (617,082)
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Business cycles, Default, Default-risk model, Logit model, Macroeconomic variables, Micro-data

13.

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 Norges Bank - Research Department
Downloads 234 (129,845)
Citation 4

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

14.

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
University College Dublin (UCD) and Norges Bank - Research Department
Downloads 229 (132,609)
Citation 2

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

15.

Financial Stability and Central Bank Governance

Number of pages: 30 Posted: 03 Oct 2013
Michael Koetter, Kasper Roszbach and Giancarlo Spagnolo
Halle Institute for Economic Research, Norges Bank - Research Department and Stockholm School of Economics (SITE)
Downloads 131 (216,848)
Citation 3

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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 Norges Bank - Research Department
Downloads 72 (322,345)

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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 Norges Bank - Research Department

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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 Norges Bank - Research Department

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