Tor Jacobson

Sveriges Riksbank - Research Division

S-103 37 Stockholm

Sweden

www.riksbank.com

SCHOLARLY PAPERS

12

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CITATIONS
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68

Scholarly Papers (12)

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 (4,147)
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 (21,120)
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 (46,930)
Citation 16

Abstract:

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

3.

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 (15,647)
Citation 12

Abstract:

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

4.

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 (19,806)
Citation 18

Abstract:

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

5.

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 (66,065)
Citation 1

Abstract:

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

6.
Downloads 255 ( 97,173)
Citation 7

Firm Default and Aggregate Fluctuations

FRB of Philadelphia Working Paper No. 08-21
Number of pages: 44 Posted: 13 Aug 2008
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 97 (224,668)
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 (277,951)
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
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 46 (340,172)
Citation 7

Abstract:

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

Firm Default and Aggregate Fluctuations

FRB International Finance Discussion Paper No. 1029
Number of pages: 52 Posted: 22 Sep 2011
Jesper Lindé and Tor Jacobson
Sveriges Riksbank - Research Division and Sveriges Riksbank - Research Division
Downloads 35 (379,121)
Citation 5

Abstract:

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

Firm Default and Aggregate Fluctuations

CEPR Discussion Paper No. DP7083
Number of pages: 45 Posted: 17 Feb 2009
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Downloads 8 (521,448)
Citation 7

Abstract:

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

7.

Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios

Riksbank Research Paper Series No. 87, Sveriges Riksbank Working Paper Series, No. 256
Number of pages: 47 Posted: 23 Feb 2012
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division, Sveriges Riksbank and Linkoping University
Downloads 129 (168,834)

Abstract:

bankruptcy risk model, micro-data, logistic spline regression, financial ratios

Curbing Shocks to Corporate Liquidity: The Role of Trade Credit

Riksbank Research Paper Series No. 144, Sveriges Riksbank Working Paper Series No. 320
Number of pages: 47 Posted: 04 Jun 2016
Stockholm School of Economics, Sveriges Riksbank - Research Division, Sveriges Riksbank and Massachusetts Institute of Technology (MIT)
Downloads 32 (391,435)

Abstract:

Liquidity management, Trade credit, Risk sharing

Curbing Shocks to Corporate Liquidity: The Role of Trade Credit

NBER Working Paper No. w22286
Number of pages: 51 Posted: 01 Jun 2016
Stockholm School of Economics, Sveriges Riksbank - Research Division, Sveriges Riksbank and Massachusetts Institute of Technology (MIT)
Downloads 25 (425,213)

Abstract:

9.

Inflation, Exchange Rates and PPP in a Multivariate Panel Co-Integration Model

Econometrics Journal, Vol. 11, Issue 1, pp. 58-79, February 2008
Number of pages: 22 Posted: 29 Feb 2008
Sveriges Riksbank - Research Division, Uppsala University - Department of Information Science, Stockholm University and Sveriges Riksbank - Research Division
Downloads 9 (494,510)
Citation 2

Abstract:

10.

Trade Credit: Contract-Level Evidence Contradicts Current Theories

Riksbank Research Paper Series No. 139, Sveriges Riksbank Working Paper Series No. 315
Number of pages: 40 Posted: 19 May 2016
Stockholm School of Economics - Department of Economics, Sveriges Riksbank - Research Division and Sveriges Riksbank
Downloads 0 (288,513)

Abstract:

Trade credit, Credit contracts, Financing constraints

11.

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

12.

Working Time, Employment, and Work Sharing: Evidence from Sweden

Stockholm School of Economics Working Paper Series in Economics and Finance No. 135
Posted: 01 Jun 1998
Tor Jacobson and Henry Ohlsson
Sveriges Riksbank - Research Division and Uppsala University - Department of Economics

Abstract: