Fields: micro-econometrics, banking and credit risk

Short bio

Kasper Roszbach obtained his Ph.D. in economics from the Stockholm School of Economics in 1998. He started as a research economist at the De Nederlandsche Bank, the central bank of the Netherlands. He also worked at ABN Amro Bank and as a senior economist and deputy director of merger control at the Netherlands Competition Authority.

 

Kasper Roszbach has published articles on credit risk, bank lending policies, internal ratings and the interaction between financial aggregates and the monetary transmission mechanism. His current research interests deal with credit risk and correlations, information sharing by financial institutions, the corporate governance of central banks, firm distress and bank relations. He is also affiliated with the University of Groningen as a professor of banking and finance


CV

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Education

  • Ph.D., Economics, Stockholm School of Economics, 1998
  • M.A., Economics, University of Rochester, 1995
  • M.Sc., Economics, Erasmus Universiteit Rotterdam, 1988

Work in progress and working papers

"Governings the Governors: A Clinical Study of Central Banks" (with Lars Frisell and Giancarlo Spagnolo), [CEPR discussion paper no. 6888]

 

"Is Firm Interdependence within Industries Important for Portfolio Credit Risk?" (with Kenneth Carling and Lars Rönnegård)

 

"Credit Ratings and Bank Monitoring Ability", with Leonard Nakamura
Appendix

 

"The Anatomy of the Bank and Borrower Relationships: Evidence from Distressed Firms" (with Loretta Mester and Leonard Nakamura)

 

"Bankruptcy and the Business Cycle: Are SMEs Less Sensitive to Systematic Risk?", with Tor Jacobson and Jesper Lindé.

 

"Pawn credit, with Sumit Agarwal and Marieke Bos 


Publications in refereed journals

"Causality between Financial and Economic Development": Time Series Evidence on Causality (with Oana Peia), Forthcoming in Journal of Financial Stability, link to paper

 

"Financial stability and Central Bank Governance", Joint with Michael Koetter and Giancarlo Spagnolo,

forthcoming in International Journal of Central Banking (December 2014)

 

"Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment", with Geraldo Cerqueiro and Steven Ongena, forthcoming in the Journal of Finance, link to paper

 

"Firm Default and Aggregate Fluctuations", with Tor Jacobson and Jesper Lindé, Journal of the European Economic Association, vol 11, (4), 2013, pages 945–972.

CEPR discussion paper no. 7083Appendix July 2011

 

"Corporate Credit Risk Modelling and the Macroeconomy", Journal of Banking and Finance (March 2007), Vol. 31 (3), pp. 845-868, (with Kenneth Carling, Tor Jacobson and Jesper Lindé).
Link to journal

 

"Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies", Journal of Banking and Finance (July 2006), Vol. 30 (7), pp. 1899-1926. (with Tor Jacobson and Jesper Lindé).
Link to journal

 

"Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?", Journal of Financial Services Research, Volume 28, Numbers 1 - 3, (October 2005), Pages: 43 -75. (with Tor Jacobson and Jesper Lindé).

“Exploring Relationships between Firms’ Balance Sheets and the Macro Economy”, Journal of Financial Stability, Volume 1, Issue 3, (April 2005), Pages 308-341. (with Tor Jacobson and Jesper Lindé).

 

"Bank lending policy, credit scoring and the survival of loans", The Review of Economics and Statistics, November 2004, 86(4): 946-958.
Link to ReStat

 

"Bank lending policy, credit scoring, and value at risk" (with Tor Jacobson), Journal of Banking and Finance, 27 (4), 2003, 615-633.
Link to JBF, Link to "Coverage in Hindustan Times"

 

"Dormancy risk and expected profits of consumer loans" (with Kenneth Carling and Tor Jacobson), Journal of Banking and Finance 25 (4), 2001, 717-739.
Link to JBF 


Other publications

"The IRB approach in the Basel Committeés proposal for new capital requirements regulation: simulation based illustrations" (with Jesper Lindé and Tor Jacobson), Sveriges Riksbank Economic Review (4), 2002, 35-72.

 

"Evaluating bank lending policy and consumer credit risk" (with Tor Jacobson), in Y.S. Abu-Mostafa, B. Lebaron, A.W. Lo, and A.S. Weigend (eds.), Computational Finance, MIT Press, 1999.
 
"Evaluating bank lending policy and consumer credit risk", in Y.S. Abu-Mostafa, B. Lebaron, A.W. Lo, and A.S. Weigend (eds.), Computational Finance, MIT Press, 1999. 


Paper discussions

"Macroprudential policy, countercyclical bank capital buffers and credit supply: Evidence from the Spanish Dynamic Provisioning Experiment", by Gabriel Jiménez, Steven Ongena, José-Luis Peydró, and Jesús Saurina. Discussion at National Bank of Belgium, conference on Endogenous Financial Risk, 11 October 2012.

 

"Lending relationships and credit rationing: the impact of securitization", by Santiago Carbó-Valverde, Hans Degryse and Francisco Rodriquez-Fernandez Lending relationships and credit rationing: the impact of securitization Discussion ASSA San Diego, 5 January 2013.

 

"Do Loan Officers' Incentives Lead to Lax Lending Standards?", by Itzhak Ben-David and Sumit Agarwal, at SIFR conference, "SIFR conference on Real Estate and Mortgage Finance", August 2012.

 

"The Hidden Costs of Hidden Debt", by Johan Almenberg and Artashes Karapetyan, NBER Summer Institute, July 2011

 

"Financial Crises and Bank Lending", by Simon Kwan, Day ahead conference, FRB Kansas City, Denver January 2011

 

"The crisis as a wake-up call: Do banks tighten screening and lending during a financial crisis?", by Ralph de Haas and Neeltje van Horen, CEPR - National Bank of Hungary conference, Budapest, September 2009

 

"Were Bank Bailouts Effective during the 2007-9 Financial Crisis: Evidence from Counterparty Risk in the Hedge Fund Industry", by Robert Faff, Jerry Parwada and Kian Tian, EFA Frankfurt, August 2010 

  

"Macro, industry and frailty effects in defaults - the 2008 credit crisis in perspective", by Siem Jan Koopman. André Lucas and Bernd Schwaab, Day-ahead conference, FRB Atlanta, January 2010

 

"Benefits of Relationship Banking: Evidence from Consumer Credit Markets", by Sumit Agarwal, Souphala Chomsisengphet, Chunlin Liu, and Nick Souleles, at CEPR/EBC/U. Antwerp conference December 2009


“Credit Allocation, Capital Requirements and Procyclicality”, by Esa Jokivuolle, Ilkka Kiema, Timo Vesala, at Riksbank conference, 2009


“On the Real Effects of Bank Bailouts: Micro-Evidence from Japan”, by Mariassunta Giannetti and Andrei Simonov, at CEPR - Banca d’Italia conference, 2009


“Does Monetary Policy Affect Bank Credit Standards?”, by Angela Maddaloni, José Luis Peydró-Alcalde and Silvia Scopel, at FIRS, 2009.
Presentation


“Banking Crises and Crisis Dating: Theory and Evidence”, by John Boyd, Gianni De Nicolò and Elena Loukoianova, at FIRS, 2009


“Financial Frictions, Foreign Direct Investment and Growth”, by Luis San Vicente Portes, at ASSA, 2009


“Monetary Policy and Financial Instability: An Integrated Micro-macro Approach”, by Ferre de Graeve, Thomas Kick and Michael Koetter, at Bundesbank, 2008


“Checking account information and credit risk of bank borrowers”, by Lars Norden and Martin Weber, at EFA, 2008


“Optimal Housing, Consumption, and Investment Decisions over the Life-Cycle”, by Holger Kraft and Claus Munk, at EFA, 2008


“Shocks at Large Banks and Banking Sector Distress: The Banking Granular Residual”, by Sven Blank, Claudia Buch, and Katja Neugebauer, at DNB/UoG/JFS conference, 2008

 

“Modeling the Distribution of Credit Losses with Observable and Latent Factors”, by Gabriel Jiménez and Javier Mencia, at Probanker meeting, 2007


"Modeling Credit Risk for SME’s: Evidence from the US Market”, by Edward Altman & Gabriele Sabato, at FMA Europe meeting, 2006


“The Determinants of Collateral“, by Gabriel Jiménez, Vicente Salas and Jesús Saurina, at EFA, 2004


“Understanding the recovery rates on defaulted securities”, by Viral Acharya, Shreedar Bharath and Anand Srinivsasan, at FIRS, 2004


“Bank mergers, diversification and risk”, by Gaetano Chionsini. Antonella Foglia. Paolo Marullo Reedtz, at Banca d’Italia, 2003