• A Model for Predicting Aggregated Corporate Credit Risk 

      Nordal, Kjell Bjørn; Syed, Haseeb (Journal article, 2010)
      For many financial institutions credit risk, and in particular credit risk on loans to corporate borrowers, is the major source of risk. Good estimates of credit risk are important both for pricing individual loans and ...
    • A Model for Predicting Aggregated Corporate Credit Risk 

      Nordal, Kjell Bjørn; Syed, Haseeb (Journal article, 2010)
      We present a model linking macroeconomic variables directly to an aggregate measure of credit risk in selected industries. The model is an alternative to an approach where firm-specific credit risk is predicted and then ...
    • Bankenes tilpasning til reguleringer : en modellbasert analyse 

      Nordal, Kjell Bjørn; Aronsen, Per Atle; Turtveit, Lars-Tore (Staff Memo;11/2016, Working paper, 2016)
      I denne artikkelen benytter vi en modell for å belyse insentivene banker har til å velge nivåene på kapitaldekning og utlånsvekst når de står overfor et regulatorisk kapitalkrav og regler om tvungen konvertering av gjeld ...
    • Banks’ Optimal Implementation Strategies for a Risk Sensitive Regulatory Capital Rule: A Real Options and Signalling Approach 

      Nordal, Kjell Bjørn (Working Papers;12/2006, Working paper, 2006)
      I evaluate a bank's incentives to implement a risk sensitive regulatory capital rule and to invest in improved risk measurement. The decision making is analyzed within a real options framework where optimal policies are ...
    • Bond market fire sales and turbulence in the Norwegian FX market in March 2020 

      Alstadheim, Ragna; Nordal, Kjell Bjørn; Syrstad, Olav; ter Ellen, Saskia; Wassas, May-Iren Walstad (Staff Memo;2/2021, Working paper, 2021)
      The world witnessed a meltdown in financial markets in March 2020 as the Covid-19 pandemic hit the global economy. In this memo we document how the turbulence affected Norwegian financial markets. We describe possible ...
    • Contingent Convertible Bonds (Cocos) Issued by European Banks 

      Nordal, Kjell Bjørn; Stefano, Nicolas (Staff Memo;19/2014, Working paper, 2014)
      During the recent global financial crisis, numerous banking institutions faced acute capital strain. In order to support banking sectors, many governments stepped in and propped up financial institutions, often at the ...
    • Endringer i bankreguleringen etter finanskrisen i 2008 

      Lund, Arild J.; Nordal, Kjell Bjørn (Aktuell Kommentar;5/2017, Others, 2017)
      Den globale finanskrisen i 2008 utløste omfattende endringer i reguleringen av finansiell sektor. I denne aktuelle kommentaren gjennomgår vi de viktigste endringene i reguleringen av bankene. Bankene har blitt mer solide ...
    • IMFs stresstesting av norsk finansiell sektor 

      Hagen, Jan; Lund, Arild J.; Nordal, Kjell Bjørn; Steffensen, Emil (Journal article, 2005)
      Etter en grundig gjennomgang av Norges finansielle system har IMF konkludert med at systemet er solid og under god styring. Sårbarheten er på kort sikt liten. Konklusjonen er blant annet basert på såkalte stresstester av ...
    • Mean Reversion in Profitability for Non-Listed Firms 

      Nordal, Kjell Bjørn; Næs, Randi (Working Papers;29/2009, Working paper, 2009)
      The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. We investigate the mean reversion in accounting profitability for Norwegian non-listed ...
    • Norwegian Banks’ Adjustment to Stricter Capital and Liquidity Regulation 

      Aronsen, Per Atle; Erard, Monique E. Erlandsen; Nordal, Kjell Bjørn; Turtveit, Lars-Tore (Staff Memo;18/2014, Working paper, 2014)
      Capital and liquidity requirements for Norwegian banks are being gradually tightened. This paper presents the alternatives Norwegian banks have for complying with stricter capital regulation and the forthcoming LCR. Norwegian ...
    • Om gjennomslaget fra styringsrenten til bankenes renter 

      Juelsrud, Ragnar; Nordal, Kjell Bjørn; Winje, Hanna (Staff Memo;11/2020, Working paper, 2020)
      For at pengepolitikken skal virke inn på økonomien er det viktig at endringer i styringsrenten får gjennomslag til bankenes utlåns- og innskuddsrenter til foretak og husholdninger. Over tid ser vi at det er en sterk ...
    • Pensjonsinnretningenes tilpasning til Solvens II 

      Nordal, Kjell Bjørn (Journal article, 2012)
      Solvens II er det nye solvensregelverket i EU for forsikringsselskapene som planlegges innført fra januar 2014. Regelverket bygger på tre pilarer, som Baselregelverket for bankene: i) kvantitative krav til kapital, ii) ...
    • Solvensavstand og andre risikoindikatorer for banker 

      Aronsen, Per Atle; Nordal, Kjell Bjørn (Staff Memo;6/2009, Working paper, 2009)
      Siden finansuroen begynte i 2007 har mange banker verden over opplevd kraftig fall i aksjekursen og økte risikopåslag i prisene på gjeldsfinansiering. Grunnen til dette er i all hovedsak at markedet forventet redusert ...
    • The IMF's Stress Testing of the Norwegian Financial Sector 

      Hagen, Jan; Nordal, Kjell Bjørn; Steffensen, Emil (Journal article, 2005)
      Following a thorough examination of the Norwegian financial system, the IMF concluded in summer 2005 that the system is sound and well managed. Shorter-term vulnerabilities are low. This conclusion is based partly on the ...
    • The Relationship Between Bankruptcy Risk and Growth for Non-Listed Firms 

      Nordal, Kjell Bjørn; Næs, Randi (Working Papers;31/2010, Working paper, 2010)
      We investigate the relationship between bankruptcy risk and expected future sales growth for Norwegian non-listed firms for the period 1988-2007. We find that firms with high bankruptcy risk also have high expected future ...