Stress Testing the Enterprise Sector's Bank Debt: A Micro Approach
This paper describes Norges Bank’s micro stress-testing framework for assessing the Norwegian banking sector’s losses on loans to the nonfinancial 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 creditscoring model. We present a backtest of projections, taking the history of macro variables as given. Our results are fairly good using a relatively simple setup, and we conclude that stockflow projections of financial statements can be useful for stress testing banks’ loan portfolios.
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Arthur Lewbel, 2000.
"Identification of the Binary Choice Model with Misclassification,"
Boston College Working Papers in Economics
457, Boston College Department of Economics.
- Lewbel, Arthur, 2000. "Identification Of The Binary Choice Model With Misclassification," Econometric Theory, Cambridge University Press, vol. 16(04), pages 603-609, August.
- Hausman, J. A. & Abrevaya, Jason & Scott-Morton, F. M., 1998. "Misclassification of the dependent variable in a discrete-response setting," Journal of Econometrics, Elsevier, vol. 87(2), pages 239-269, September.
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