Bank Lending Policy, Credit Scoring and Value at Risk

Research, Preprint English OPEN
Jacobson, Tor; Roszbach, Kasper;
  • Publisher: Stockholm: Sveriges Riksbank
  • Subject: Banks; Lending policy; Credit scoring; Value at Risk; Bivariate probit; | Value at Risk | C35 | Banks | G21 | G23 | Banks; lending policy; credit scoring; Value at Risk; bivariate | Credit scoring | Bivariate probit | D81 | Lending policy | D61
    • jel: jel:G23 | jel:G33 | jel:G21 | jel:C35 | jel:D61 | jel:D81
      ddc: ddc:330

In this paper we apply a bivariate probit model to investigate the implications of bank lending policy. In the first equation we model the bank´s decision to grant a loan, in the second the probability of default. We confirm that banks provide loans in a way that is not... View more
  • References (2)

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