Kasper F. Roszbach, Ph.D.
Research Department
Sveriges Riksbank
SE-103 37 Stockholm, Sweden
Phone: + 46 8 787 08 23
Fax: + 46 8 21 05 31
E-post: kasper.roszbach[at]riksbank.se
Fields
Micro-econometrics, banking and credit risk.
Education
Ph.D., Economics, Stockholm School of Economics, 1998
M.A., Economics, University of Rochester, 1995.
M.Sc., Economics, Erasmus Universiteit Rotterdam, 1988.
Work in progress and working papers
"Industry effects and business default", with Mohammad Alam and Kenneth Carling, in progress.
"Credit Risk Models and Parameter Stability: Empirical Evidence from Sweden", with Kenneth Carling, Tor Jacobson, Jesper Lindé, in progress.
"SME and corporate exposure to business cycle risk", with Tor ´Jacobson and Rikard Nilsson, in progress.
"Monitoring and screening in banks", with Lars Frisell and Giancarlo Spagnolo, in progress.
"Aggregate shocks and Firm Default Risk", with Tor Jacobson, Jesper Lindé and Rikard Nilsson, in progress.
"Credit Ratings and Bank Monitoring Ability", with Leonard Nakamura, in progress.
"Governings the Governors: a clinical study of European Central Banks" (with Lars Frisell and Giancarlo Spagnolo), in progress.
"Is Firm Interdependence within Industries Important for Portfolio Credit Risk?" (with Kenneth Carling and Lars Rönnegård), Sveriges Riksbank Working Paper No. 168, August 2004. [link to pdf]
"Capital charges under Basel II: Corporate credit risk modelling and the macro economy" (with Kenneth Carling, Tor Jacobson, Jesper Lindé), Sveriges Riksbank Working Paper No. 142, September 2002. [link to pdf]
Publications in refereed journals
"Corporate Credit Risk Modelling and the Macroeconomy", Journal of Banking and Finance, forthcoming, (with Kenneth Carling, Tor Jacobson and Jesper Lindé). [link to pdf of last version]
"Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies", Journal of Banking and Finance, forthcoming. (with Tor Jacobson and Jesper Lindé). [link to pdf]
"Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?", Journal of Financial Services Research, Volume 28, Numbers 1 - 3, (October 2005), Pages: 43 -75. (with Tor Jacobson and Jesper Lindé). [link to pdf]“Exploring Relationships between Firms’ Balance Sheets and the Macro Economy”, Journal of Financial Stability, Volume 1, Issue 3, (April 2005), Pages 308-341. (with Tor Jacobson and Jesper Lindé). [link to latest version]
"Bank lending policy, credit scoring and the survival of loans", The Review of Economics and Statistics, November 2004, 86(4): 946-958. [link to ReStat] [link to last working paper version]
"Bank lending policy, credit scoring, and value at risk" (with Tor Jacobson), Journal of Banking and Finance, 27 (4), 2003, 615-633. [link to JBF] [link to last working paper version]
"Dormancy risk and expected profits of consumer loans" (with Kenneth Carling and Tor Jacobson), Journal of Banking and Finance 25 (4), 2001, 717-739. [link to JBF] [link to last working paper version]
Other publications
"The IRB approach in the Basel Committeés proposal for new capital requirements regulation: simulation based illustrations" (with Jesper Lindé and Tor Jacobson), Sveriges Riksbank Economic Review (4), 2002, 35-72. [link to article]
"Evaluating bank lending policy and consumer credit risk" (with Tor Jacobson), in Y.S. Abu-Mostafa, B. Lebaron, A.W. Lo, and A.S. Weigend (eds.), Computational Finance, MIT Press, 1999.
"Evaluating bank lending policy and consumer credit risk", in Y.S. Abu-Mostafa, B. Lebaron, A.W. Lo, and A.S. Weigend (eds.), Computational Finance, MIT Press, 1999.