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

22

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13,118

TOTAL CITATIONS
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Top 4,781

in Total Papers Citations

172

Scholarly Papers (22)

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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 Last Revised: 18 Feb 2025
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 2,453 (12,683)
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 1,488 (27,850)
Citation 3

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 953 (52,188)
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 535 (111,398)
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 1,243 (36,256)
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 1,129 (41,812)
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 1,094 (43,712)
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 Finance and Norges Bank - Research Department
Downloads 725 (76,712)
Citation 29

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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 646 (88,880)
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 307 (211,399)
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 210 (310,505)

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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 129 (477,014)

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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 607 (96,218)
Citation 12

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 University of Rome Tor Vergata
Downloads 603 (95,710)
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 University of Rome Tor Vergata
Downloads 4 (1,369,573)
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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.

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 467 (133,150)
Citation 35

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

10.

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

Downloads 466 (133,481)
Citation 6

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 Finance and Norges Bank - Research Department
Downloads 287 (227,149)
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 Finance and Norges Bank - Research Department
Downloads 179 (360,599)

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

11.

Firm Default and Aggregate Fluctuations

Downloads 325 (136,316)
Citation 13

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 124 (492,472)
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 110 (540,671)
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 83 (655,305)

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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 (1,339,383)
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Business cycles, Default, Default-risk model, Logit model, Macroeconomic variables, Micro-data

12.

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 422 (149,990)

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

13.

The price of leverage: learning from the effect of LTV constraints on job search and wages

Number of pages: 67 Posted: 28 Apr 2021 Last Revised: 18 Mar 2025
Gazi Kabas and Kasper Roszbach
Tilburg University - Department of Finance and Norges Bank - Research Department
Downloads 407 (156,358)

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

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 404 (157,613)
Citation 11

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

15.

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 284 (231,405)
Citation 5

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

16.

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 University of Rome Tor Vergata
Downloads 262 (251,217)
Citation 13

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

17.

Buy Now Pay (Less) Later: Leveraging Private BNPL Data in Consumer Banking

Number of pages: 54 Posted: 31 Jan 2025
Christine Laudenbach, Elin Molin, Kasper Roszbach and Talina Sondershaus
SAFE and Goethe University, Lund University - Department of Economics, Norges Bank - Research Department and Lund University School of Economics and Management
Downloads 253 (260,302)

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Buy-Now-Pay-Later, Consumer Finance, Household Credit, Information Collection, Credit Risk Assessment JEL Classifications: D14

18.

Make it or Break it: Corporate Bankruptcy and Management Careers

Number of pages: 70 Posted: 20 Dec 2021 Last Revised: 09 May 2024
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 219 (299,698)

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

19.

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 122 (496,454)
Citation 2

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

20.

Cross-Border Bank Flows, Regional Household Credit Booms and Bank Risk-Taking

Downloads 102 (567,617)

Cross-Border Bank Flows, Regional Household Credit Booms and Bank Risk-Taking

Number of pages: 57 Posted: 28 Feb 2024 Last Revised: 02 Dec 2024
Dominik Boddin, Daniel te Kaat and Kasper Roszbach
Deutsche Bundesbank - Deutsche Bundesbank Research Data and Service Centre, University of Groningen and Norges Bank - Research Department
Downloads 97 (593,027)

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Cross-Border Bank Flows, Households, Bank Lending, Risk-Taking, Credit Booms

Cross-Border Bank Flows, Regional Household Credit Booms, and Bank Risk-Taking

ADB Economics Working Paper Series No. 779
Number of pages: 60 Posted: 09 May 2025
Dominik Boddin, Daniel te Kaat and Kasper Roszbach
Deutsche Bundesbank - Deutsche Bundesbank Research Data and Service Centre, University of Groningen and Norges Bank - Research Department
Downloads 5 (1,363,194)

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21.

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

22.

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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