dc.contributor.author | Bernhardsen, Eivind | |
dc.contributor.author | Syversten, Bjørne Dyre H. | |
dc.date.accessioned | 2018-08-08T07:47:11Z | |
dc.date.available | 2018-08-08T07:47:11Z | |
dc.date.issued | 2008 | |
dc.identifier.isbn | 978-82-7553-458-1 | |
dc.identifier.issn | 1504-2596 | |
dc.identifier.uri | http://hdl.handle.net/11250/2507963 | |
dc.description.abstract | This paper describes Norges Bank’s micro stress testing framework for assessing the Norwegian banking sector’s losses on loans to the non-financial enterprise sector. Using projected macro variables and a stock-flow approach, annual financial statements of every firm in Norway are projected five years ahead. The loan loss potential is then assessed using a credit scoring model. We present a backtest of projections taking the history of macro variables as given. Our results are fairly good using a relatively simple set-up, and we conclude that stock-flow projections of financial statements can be useful for stress testing banks’ loan portfolios. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Staff Memo;5/2008 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: G21 | nb_NO |
dc.subject | JEL: G32 | nb_NO |
dc.subject | JEL: G33 | nb_NO |
dc.subject | JEL: M49 | nb_NO |
dc.title | Stress Testing the Enterprise Sector's Bank Debt - a Micro Approach | nb_NO |
dc.type | Working paper | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | nb_NO |
dc.source.pagenumber | 33 | nb_NO |