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Bank lending policy, credit scoring and value at risk

Jacobson, Tor; Roszbach, Kasper - In: Essays on banking, credit and interest rates, (pp. 1-25). 1998

Persistent link: https://www.econbiz.de/10001396314

Bank lending policy, credit scoring and value at risk

Jacobson, Tor; Roszbach, Kasper - 1998

Persistent link: https://www.econbiz.de/10000993768

Credit rating and the business cycle : can bankruptcies be forecast?

Jacobson, Tor; Lindé, Jesper - In: Sveriges Riksbank economic review (2000) 4, pp. 11-33

Persistent link: https://www.econbiz.de/10001551376

Bank lending policy, credit scoring and value-at-risk

Jacobson, Tor; Roszbach, Kasper - In: Journal of banking & finance 27 (2003) 4, pp. 615-633

Persistent link: https://www.econbiz.de/10001745382

Internal ratings systems, implied credit risk and the consistency of banks ́risk classification policies

Jacobson, Tor; Lindé, Jesper; Roszbach, Kasper - In: Journal of banking & finance 30 (2006) 7, pp. 1899-1926

Persistent link: https://www.econbiz.de/10003339447

Bank lending policy, credit scoring and value at risk

Jacobson, Tor; Roszbach, Kasper - 1998

In this paper we apply a bivariate probit model to investigate the implications of bank lending policy. In the first equation we model the bank's decision to grant a loan, in the second the probability of default. We confirm that banks provide loans in a way that is not consistent with default...

Persistent link: https://www.econbiz.de/10011583112