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

20

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11,173

SSRN CITATIONS
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SSRN RANKINGS

Top 4,900

in Total Papers Citations

129

CROSSREF CITATIONS

144

Scholarly Papers (20)

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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 2,402 (8,291)
Citation 12

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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 1,415 ( 19,133)
Citation 26

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 920 (35,288)
Citation 1

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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 495 (79,560)
Citation 2

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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 1,169 (25,415)
Citation 3

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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 1,097 (27,921)
Citation 10

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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 974 (33,030)
Citation 17

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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 627 (59,745)
Citation 29

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

7.

Governing the Governors: A Clinical Study of Central Banks

Downloads 544 ( 71,845)
Citation 14

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 541 (71,546)
Citation 12

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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 (885,459)
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accountability, bank regulation, board structure, central bank independence, central banks, cooling-off periods, governance, governor remuneration, regulatory capture, term limits

8.

Credit Ratings and Bank Monitoring Ability

Downloads 530 ( 73,905)
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 277 (152,588)
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 160 (254,483)

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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 93 (379,266)

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

9.

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 425 (96,153)
Citation 10

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

10.

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 380 (109,379)

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

11.

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

Downloads 368 (113,385)
Citation 7

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 250 (169,228)
Citation 6

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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 118 (322,701)

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

12.

Firm Default and Aggregate Fluctuations

Downloads 247 (144,759)
Citation 18

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 102 (357,233)
Citation 10

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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 85 (401,151)
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 52 (520,019)

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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 (830,170)
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Business cycles, Default, Default-risk model, Logit model, Macroeconomic variables, Micro-data

13.

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 274 (154,918)
Citation 7

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

14.

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 253 (167,896)
Citation 5

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

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 190 (219,321)
Citation 11

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

16.

Household Leverage and Labor Market Outcomes Evidence from a Macroprudential Mortgage Restriction

Number of pages: 92 Posted: 28 Apr 2021 Last Revised: 08 Dec 2021
Gazi Kabas and Kasper Roszbach
University of Zurich - Department of Banking and Finance and Norges Bank - Research Department
Downloads 110 (337,116)

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Household Leverage, Household Debt, Job Displacement, Job Search, Macroprudential Policy.

17.

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 88 (389,078)
Citation 2

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

18.

Executive Labor Market Frictions, Corporate Bankruptcy and CEO Careers

Number of pages: 49 Posted: 20 Dec 2021
Morten Grindaker, Andreas Kostøl and Kasper Roszbach
BI Norwegian Business School, Arizona State University (ASU) - W.P. Carey School of Business and Norges Bank - Research Department
Downloads 80 (414,608)

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Occupational Choice; Bankruptcy; CEO; Organizations; Executive Compensation.

19.

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

20.

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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