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Bank Lending Policy, Credit Scoring and Value at Risk

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Author Info
Jacobson, Tor () (Research Department, Central Bank of Sweden)
Roszbach, Kasper (Department of Economics)

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Abstract

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Publisher Info
Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 68.

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Length: 25 pages
Date of creation: 01 Jul 1998
Date of revision:
Publication status: Forthcoming in Journal of Banking and Finance.
Handle: RePEc:hhs:rbnkwp:0068

Contact details of provider:
Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Phone: 08 - 787 00 00
Fax: 08-21 05 31
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Web page: http://www.riksbank.com/
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Related research
Keywords: Banks; Lending policy; Credit scoring; Value at Risk; Bivariate probit;

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Find related papers by JEL classification:
C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models
D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions

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  1. Odeh, Oluwarotimi O. & Featherstone, Allen M. & Sanjoy, Das, 2006. "Predicting Credit Default in an Agricultural Bank: Methods and Issues," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35359, Southern Agricultural Economics Association. [Downloadable!]
  2. João Fernandes, 2005. "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance 0505013, EconWPA. [Downloadable!]
  3. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  4. Roszbach, Kasper, 2003. "Bank Lending Policy, Credit Scoring and the Survival of Loans," Working Paper Series 154, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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This page was last updated on 2009-11-30.

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