Show simple item record

dc.contributor.authorBernhardsen, Eivind
dc.contributor.authorSyversten, Bjørne Dyre H.
dc.description.abstractThis 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.publisherNorges Banknb_NO
dc.relation.ispartofseriesStaff Memo;5/2008
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.subjectJEL: G21nb_NO
dc.subjectJEL: G32nb_NO
dc.subjectJEL: G33nb_NO
dc.subjectJEL: M49nb_NO
dc.titleStress Testing the Enterprise Sector's Bank Debt - a Micro Approachnb_NO
dc.typeWorking papernb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210nb_NO

Files in this item


This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal