Tor Jacobson

Sveriges Riksbank - Research Division

S-103 37 Stockholm

Sweden

www.riksbank.com

SCHOLARLY PAPERS

13

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58

CROSSREF CITATIONS

124

Scholarly Papers (13)

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 2,382 (6,008)
Citation 12

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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
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 905 (27,080)

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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
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 486 (62,218)
Citation 2

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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 Norges Bank - Research Department
Downloads 1,078 (21,343)
Citation 10

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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 Norges Bank - Research Department
Downloads 952 (25,559)
Citation 14

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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 Norges Bank - Research Department
Downloads 370 (87,065)

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

6.
Downloads 282 (117,523)
Citation 18

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 Norges Bank - Research Department
Downloads 100 (288,859)
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
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 83 (325,653)
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
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 49 (430,247)

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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 42 (459,056)

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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

CEPR Discussion Paper No. DP7083
Number of pages: 45 Posted: 17 Feb 2009
Sveriges Riksbank - Research Division, Handelsbanken, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 8 (670,598)
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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
Number of pages: 47 Posted: 23 Feb 2012
Norwegian Business School, Sveriges Riksbank - Research Division, Sveriges Riksbank and Linkoping University
Downloads 160 (200,895)
Citation 7

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

8.

Trade Credit: Contract-Level Evidence Contradicts Current Theories

Riksbank Research Paper Series No. 139
Number of pages: 40 Posted: 19 May 2016
Stockholm School of Economics - Department of Economics, Sveriges Riksbank - Research Division and Sveriges Riksbank
Downloads 133 (233,579)
Citation 3

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Trade credit, Credit contracts, Financing constraints

Curbing Shocks to Corporate Liquidity: The Role of Trade Credit

Riksbank Research Paper Series No. 144
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 48 (434,122)

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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 Last Revised: 15 Jun 2016
Stockholm School of Economics, Sveriges Riksbank - Research Division, Sveriges Riksbank and Massachusetts Institute of Technology (MIT)
Downloads 33 (501,760)

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10.

Trade Credit and Pricing: An Empirical Evaluation

Riksbank Research Paper Series No. 177
Number of pages: 29 Posted: 02 Nov 2018
Tor Jacobson, Erik von Schedvin and Niklas Amberg
Sveriges Riksbank - Research Division, Sveriges Riksbank and Stockholm School of Economics
Downloads 19 (569,652)

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Trade credit, prices, inflation, liquidity, counterparty risk

11.

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 (636,338)
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12.

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

Abstract:

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

13.

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

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