Kasper Roszbach
Research Division
Sveriges Riksbank
SE-103 37 Stockholm, Sweden
Department of Finance
University of Groningen
PO Box 800
NL-9700 AV Groningen, The Netherlands
Phone: + 46 8 787 08 23 (Sveriges Riksbank)
Fax: + 46 8 21 05 31 (Sveriges Riksbank)
Email: kasper.roszbach[at]riksbank.se
Curriculum Vitae
[pdf]
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.
Short bio
Kasper Roszbach obtained his Ph.D. in economics from the Stockholm School of Economics in 1998. He started as a research economist at the De Nederlandsche Bank, the central bank of the Netherlands. He also worked at ABN Amro Bank and as a senior economist and deputy director of merger control at the Netherlands Competition Authority.
Kasper Roszbach has published articles on credit risk, bank lending policies, internal ratings and the interaction between financial aggregates and the monetary transmission mechanism. His current research interests deal with credit risk and correlations, information sharing by financial institutions, the corporate governance of central banks, firm distress and bank relations. He is also affiliated with the University of Groningen as a professor of banking and finance.
Work in progress and working papers
"Firm Default and Aggregate Fluctuations", with Rikard Kindell, Tor Jacobson, and Jesper Lindé. [CEPR discussion paper no. 7083] [Updated version]
"Governings the Governors: A Clinical Study of Central Banks" (with Lars Frisell and Giancarlo Spagnolo), [CEPR discussion paper no. 6888] [Coverage in FT] [Reuters]
"Is Firm Interdependence within Industries Important for Portfolio Credit Risk?" (with Kenneth Carling and Lars Rönnegård), [paper]
"Credit Ratings and Bank Monitoring Ability", with Leonard Nakamura [paper revised] [appendix]
"The Anatomy of the Bank and Borrower Relationships: Evidence from Distressed Firms" (with Loretta Mester and Leonard Nakamura)
"Bankruptcy and the Business Cycle: Are SMEs Less Sensitive to Systematic Risk?", with Tor Jacobson and Jesper Lindé. [presentation]
The Dynamics of Bank Loan Losses, with Geraldo Cerqueiro, Tor Jacobson and Steven Ongena
Pawn credit or bank credit?, with Sumit Agarwal and Marieke Bos
Publications in refereed journals
"Corporate Credit Risk Modelling and the Macroeconomy", Journal of Banking and Finance (March 2007), Vol. 31 (3), pp. 845-868, (with Kenneth Carling, Tor Jacobson and Jesper Lindé). [link to pdf of last version] [link to journal]
"Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies", Journal of Banking and Finance (July 2006), Vol. 30 (7), pp. 1899-1926. (with Tor Jacobson and Jesper Lindé). [link to pdf] [link to journal]
"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.
Paper discussions
"Macro, industry and frailty effects in defaults - the 2008 credit crisis in perspective", by Siem Jan Koopman. André Lucas and Bernd Schwaab, Day-ahead conference, FRB Atlanta, January 2010 [presentation]
"Benefits of Relationship Banking: Evidence from Consumer Credit Markets", by Sumit Agarwal, Souphala Chomsisengphet, Chunlin Liu, and Nick Souleles, at CEPR/EBC/U. Antwerp conference December 2009 [presentation]
“Credit Allocation, Capital Requirements and Procyclicality”, by Esa Jokivuolle, Ilkka Kiema, Timo Vesala, at Riksbank conference, 2009 [presentation]
“On the Real Effects of Bank Bailouts: Micro-Evidence from Japan”, by Mariassunta Giannetti and Andrei Simonov, at CEPR - Banca d’Italia conference, 2009 [presentation]
“Does Monetary Policy Affect Bank Credit Standards?”, by Angela Maddaloni, José Luis Peydró-Alcalde and Silvia Scopel, at FIRS, 2009 [presentation]
“Banking Crises and Crisis Dating: Theory and Evidence”, by John Boyd, Gianni De Nicolò and Elena Loukoianova, at FIRS, 2009 [presentation]
“Financial Frictions, Foreign Direct Investment and Growth”, by Luis San Vicente Portes, at ASSA, 2009 [presentation]
“Monetary Policy and Financial Instability: An Integrated Micro-macro Approach”, by Ferre de Graeve, Thomas Kick and Michael Koetter, at Bundesbank, 2008 [presentation]
“Checking account information and credit risk of bank borrowers”, by Lars Norden and Martin Weber, at EFA, 2008 [presentation]
“Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle”, by Holger Kraft and Claus Munk, at EFA, 2008 [presentation]
“Shocks at Large Banks and Banking Sector Distress: The Banking Granular Residual”, by Sven Blank, Claudia Buch, and Katja Neugebauer, at DNB/UoG/JFS conference, 2008 [presentation]
“Modeling the Distribution of Credit Losses with Observable and Latent Factors”, by Gabriel Jiménez and Javier Mencia, at Probanker meeting, 2007 [presentation]
“Modeling Credit Risk for SME’s: Evidence from the US Market”, by Edward Altman & Gabriele Sabato, at FMA Europe meeting, 2006 [presentation]
“The Determinants of Collateral“, by Gabriel Jiménez, Vicente Salas and Jesús Saurina, at EFA, 2004 [presentation]
“Understanding the recovery rates on defaulted securities”, by Viral Acharya, Shreedar Bharath and Anand Srinivsasan, at FIRS, 2004 [old technology presentation]
“Bank mergers, diversification and risk”, by Gaetano Chionsini. Antonella Foglia. Paolo Marullo Reedtz, at Banca d’Italia, 2003 [presentation]
