Arbeitspapier
Assessment of Credit Risk in the Norwegian Business Sector
In this thesis, I present a model that measures credit risk in the Norwegian business sector, using firm bankruptcy as proxy for credit risk. Probit analysis, a discrete response model, is applied to micro level financial information from more than 500 000 observations from the period 1989-1998. Bankruptcies in the period 1995-1998 are used to develop the model, and bankruptcies in the period 1991-1993 are used for out of sample testing. A set of timeconsistent indicators of bankruptcy is found by combining ideas from both the theory of industrial organisation and financial statement analysis. The results support the idea of a learning effect in companies. This effect is recognised with reduced risk of bankruptcy when observations are subject to age. Furthermore, the results indicate that debt and interest burden increase risk of bankruptcy, while equity decrease risk of bankruptcy. Real-estate companies generally have a lower risk, while restaurants generally have a higher risk.
- ISBN
-
82-7553-147-0
- Sprache
-
Englisch
- Erschienen in
-
Series: Arbeidsnotat ; No. 1999/9
- Klassifikation
-
Wirtschaft
Estimation: General
Bankruptcy; Liquidation
- Thema
-
bankruptcy
probit estimation
credit risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sjøvoll, Espen
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sjøvoll, Espen
- Norges Bank
Entstanden
- 1999
Ähnliche Objekte (12)
Strategy Report - The Norwegian Government Pension Fund - Global
Norwegian Business Cycles 1982-2003
Empirical Modelling of Norwegian Import Prices
Input-Output Analysis of the Norwegian Economy
Norwegian Gross Domestic Product by Industry 1830 - 1930
Failure Prediction of Norwegian Banks: A Logit Approach
Liquidity indicators for the Norwegian government bond market
Norwegian and International Yields in the 10 Year Segment
Norges Bank's BEER Models for the Norwegian Effective Exchange Rate
When Does the Oil Price Affect the Norwegian Exchange Rate?
Norwegian Banks in a Recession: Procyclical Implications of Basel II
Price Adjustments and Inflation - Evidence from Norwegian Consumer Price Data 1975-2004
Strategy Report - The Norwegian Government Pension Fund - Global
Norwegian Business Cycles 1982-2003
Empirical Modelling of Norwegian Import Prices
Input-Output Analysis of the Norwegian Economy
Norwegian Gross Domestic Product by Industry 1830 - 1930
Failure Prediction of Norwegian Banks: A Logit Approach
Liquidity indicators for the Norwegian government bond market
Norwegian and International Yields in the 10 Year Segment
Norges Bank's BEER Models for the Norwegian Effective Exchange Rate
When Does the Oil Price Affect the Norwegian Exchange Rate?
Norwegian Banks in a Recession: Procyclical Implications of Basel II
Price Adjustments and Inflation - Evidence from Norwegian Consumer Price Data 1975-2004
Strategy Report - The Norwegian Government Pension Fund - Global
Norwegian Business Cycles 1982-2003
Empirical Modelling of Norwegian Import Prices
Input-Output Analysis of the Norwegian Economy
Norwegian Gross Domestic Product by Industry 1830 - 1930
Failure Prediction of Norwegian Banks: A Logit Approach
Liquidity indicators for the Norwegian government bond market
Norwegian and International Yields in the 10 Year Segment
Norges Bank's BEER Models for the Norwegian Effective Exchange Rate
When Does the Oil Price Affect the Norwegian Exchange Rate?
Norwegian Banks in a Recession: Procyclical Implications of Basel II