Kasper Roszbach

Research Director


Tel.: +47 22 31 68 65 / +47 404 66 220
E-mail: Kasper.Roszbach@Norges-Bank.no

Fax: +47 22 42 40 62

Norges Bank
P.O. Box 1179 Sentrum
0107 Oslo

Research interests

Banking, financial intermediation, household finance, credit risk, central bank governance

Kasper Roszbach has published articles on credit risk, empirical banking, credit ratings and the interaction between financial aggregates and the monetary transmission mechanism. His current research interests deal with empirical banking, information production and information sharing by financial institutions, the corporate governance of central banks and household finance. He is also affiliated with the University of Groningen as a professor of banking and finance (on leave) and an associate editor of the Journal of International Money and Finance.

Before starting at Norges Bank, Kasper was director of financial stability , deputy director of monetary policy and deputy head of research at Sveriges Riksbank and a special advisor at the Swedish Ministry of Finance. Before that he worked at De Nederlandsche Bank, ABN Amro Bank, and the Netherlands Competition Authority. During 2013-2017 he was a member of the research advisory committee at the Czech National Bank.

Kasper Roszbach holds a Ph.D. in economics from the Stockholm School of Economics

Journal publications

"Credit Ratings and Bank Monitoring Ability", with Leonard Nakamura, Forthcoming in: Journal of Financial Intermediation. Link to latest version

"Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment", with Geraldo Cerqueiro and Steven Ongena, Journal of Finance, 71 (3), June 2016, pp. 1295–1322 Last working paper version

"Causality between Financial and Economic Development": Time Series Evidence on Causality, with Oana Peia, Journal of Financial Stability, August 2015, pp. 105-118 link to paper last working paper version

"Financial stability and Central Bank Governance", with Michael Koetter and Giancarlo Spagnolo, International Journal of Central Banking (December 2014)

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

"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).

"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).

"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.

"Bank lending policy, credit scoring, and value at risk" (with Tor Jacobson), Journal of Banking and Finance, 27 (4), 2003, 615-633.

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

 Other publications

"The Banking Union from an Outside Perspective", in: Allen, Carletti and Gray (eds), The New Financial Architecture in the Eurozone, European University Institute (2015). Link to e-book

"Online Intermediation and the Terms of Consumer Credit", with Gustav Alfelt and Marieke Bos, Sveriges Riksbank Economic Review, 2014:1, Link to paper

 "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

 Bad Times, Good Credit, with Bo Becker and Marieke Bos, link to latest version of paper

Collateral Damaged? On Liquidation Value, Credit Supply, and Firm Performance, with Geraldo Cerqueiro and Steven Ongena, (2017).   Link to latest version of paper  

"The Impact of Sharing Credit Information, Evidence from a Quasi-Experimental Variation", with Marieke Bos and Paola Morales

"Governing the Governors: A Clinical Study of Central Banks", with Lars Frisell and Giancarlo Spagnolo, (2008). CEPR Discussion Paper No. DP6888  Coverage in Financial Times

"Mortgages", with Tor Jacobson and Mats Levander

Published 4 September 2017 14:09