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

Dieses Objekt wird bereitgestellt von:
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)