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 and the Journal of Financial Stability.
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
"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)
"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).
"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.
"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
"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
"Mortgages", with Tor Jacobson and Mats Levander