dc.contributor.author | Hjelseth, Ida Nervik | |
dc.contributor.author | Raknerud, Arvid | |
dc.date.accessioned | 2018-07-26T07:19:18Z | |
dc.date.available | 2018-07-26T07:19:18Z | |
dc.date.issued | 2016 | |
dc.identifier.isbn | 978-82-7553-942-5 | |
dc.identifier.issn | 1504-2596 | |
dc.identifier.uri | http://hdl.handle.net/11250/2506528 | |
dc.description.abstract | 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 weight to each firm's debt in a given year. The risk weight is equal to the probability of bankruptcy. By summing all risk-weighted debt in an industry, we obtain an estimate of the share of debt in bankruptcy accounts in a given year. A key feature of our model is the inclusion of economic indicators at the industry level, observed in real time, as explanatory variables together with standard financial accounting variables and real-time credit rating information. We find that historically, during 2000-2014, there is good correspondence between our estimated measure of risk-weighted debt and actual debt in bankruptcy accounts. Moreover, bank losses according to bank statistics and debt in bankruptcy accounts display a similar pattern over time in most industries. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Staff Memo;20/2016 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.title | A Model of Credit Risk in the Corporate Sector Based on Bankruptcy Prediction | nb_NO |
dc.type | Working paper | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | nb_NO |
dc.source.pagenumber | 38 | nb_NO |