Blar i Staff Memo på forfatter "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 ...