Browsing Norges Banks vitenarkiv by Author "Raknerud, Arvid"
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A Model of Credit Risk in the Corporate Sector Based on Bankruptcy Prediction
Hjelseth, Ida Nervik; Raknerud, Arvid (Staff Memo;20/2016, Working paper, 2016)We propose a method for assessing the risk of losses on bank lending to the non-financial corporate sector based on bankruptcy probability modelling. We estimate bankruptcy models for different industries and attach a risk ... -
A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection
Hjelseth, Ida Nervik; Raknerud, Arvid; Vatne, Bjørn H. (Working paper;7/2022, Working paper, 2022)We propose an econometric model for predicting the share of bank debt held by bankrupt firms by combining a novel set of firm-level financial variables and macroeconomic indicators. Our firm-level data include payment ... -
How Do Banks’ Funding Costs Affect Interest Margins?
Raknerud, Arvid; Vatne, Bjørn Helge; Rakkestad, Ketil Johan (Working Papers;9/2011, Working paper, 2011)We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to study the effects of banks’ funding costs on their retail rates. Banks’ funds are categorized into two ... -
The Relation Between Banks' Funding Costs, Retail Rates and Loan Volumes: An Analysis of Norwegian Bank Micro Data
Raknerud, Arvid; Vatne, Bjørn Helge (Working Papers;17/2012, Working paper, 2012)We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding costs affect retail loan rates and ii) how retail rate differences between banks affect market shares. The ...