http://www.bis.org/cbhub/list/author/author_4817/index.rss Research hub papers by author Tor Jacobson en http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp256.pdf Sveriges Riksbank Working Papers by Paolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias Villani Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios 2011-11-28T17:38:59Z We demonstrate improvements in predictive power when introducing spline functions to take account of highly non-linear relationships between firm failure and earnings, leverage, and liquidity in a logistic bankruptcy model. Our results show that modeling excessive non-linearities yields substantially improved bankruptcy predictions, on the order of 70 to 90 percent, compared with a standard logistic model. The spline model provides several important and surprising insights into non-monotonic bankruptcy relationships. We find that low-leveraged and highly profitable firms are riskier than given by a standard model. These features are remarkably stable over time, suggesting that they are of a structural nature. Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios 2011-11-28T17:38:59Z Abstract http://www.riksbank.com/templates/Page.aspx?id=51243 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2011/wp256.pdf Paolo Giordani Tor Jacobson Erik von Schedvin Mattias Villani Paolo Giordani, Tor Jacobson, Erik von Schedvin and Mattias Villani 2011-11-28 Sveriges Riksbank Working Papers http://www.federalreserve.gov/pubs/ifdp/2011/1029/ifdp1029.pdf Board of Governors of the Federal Reserve System International Financial Discussion Papers by Tor Jacobson, Jesper Linde, and Kasper Roszbach Firm Default and Aggregate Fluctuations 2011-09-08T12:41:59Z Tor Jacobson, Jesper Linde, and Kasper Roszbach. This paper studies the relationship between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. By using a panel data set for virtually all incorporated Swedish businesses over 1990-2009, a period which includes a full-scale banking crisis, we find strong evidence for a substantial and stable impact from aggregate fluctuations on business defaults. A standard logit model with financial ratios augmented with macroeconomic factors can account surprisingly well for the outburst in business defaults during the banking crisis, as well as the subsequent fluctuations in default frequencies. Moreover, the effects of macroeconomic variables differ across industries in an economically intuitive way. Out-of-sample evaluations show that our approach is superior to models that exclude macro information and standard well-fitting time-series models. Our analysis shows that firm-specific factors are useful in ranking firms' relative riskiness, but that macroeconomic factors are necessary to understand fluctuations in the absolute risk level. Firm Default and Aggregate Fluctuations 2011-09-08T12:41:59Z Abstract http://www.federalreserve.gov/pubs/ifdp/2011/1029/default.htm Full text http://www.federalreserve.gov/pubs/ifdp/2011/1029/ifdp1029.pdf Jesper Lindé Tor Jacobson Kasper Roszbach Tor Jacobson, Jesper Linde, and Kasper Roszbach 2011-09-06 Board of Governors of the Federal Reserve System International Financial Discussion Papers http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2008/wp226.pdf Sveriges Riksbank Working Papers by Tor Jacobson, Rikard Kindell, Jesper Lindé and Kasper Roszbach Firm Default and Aggregate Fluctuations 2008-11-01T12:00:00Z This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a logit approach on a panel data set for all incorporated Swedish businesses over 1990- 2002, we find strong evidence for a substantial and stable impact of aggregate fluctuations. Macroeffects differ across industries in an economically intuitive way. Out-of-sample evaluations show our approach is superior to both models that exclude macro information and best fitting naive forecasting models. While firm-specific factors are useful in ranking firms’ relative riskiness, macroeconomic factors capture fluctuations in the absolute risk level. Firm Default and Aggregate Fluctuations 2008-11-01T12:00:00Z Abstract http://www.riksbank.com/templates/Page.aspx?id=29395 Full text http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2008/wp226.pdf Jesper Lindé Tor Jacobson Kasper Roszbach Rikard Kindell Tor Jacobson, Rikard Kindell, Jesper Lindé and Kasper Roszbach 2008-10-27 Sveriges Riksbank Working Papers C35 C41 C52 E44 G21 G33 http://www.philadelphiafed.org/research-and-data/publications/working-papers/2008/wp08-21.pdf Philadelphia Fed Working Papers by Tor Jacobson Firm Default and Aggregate Fluctuations 2008-09-19T07:22:59Z This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, the authors find strong evidence for a substantial and stable impact of aggregate fluctuations. Macroeffects differ across industries in an economically intuitive way. Out-of-sample evaluations show their approach is superior to both models that exclude macro information and best fitting naive forecasting models. While firm-specific factors are useful in ranking firms' relative riskiness, macroeconomic factors capture fluctuations in the absolute risk level. Firm Default and Aggregate Fluctuations 2008-09-19T07:22:59Z Full text http://www.philadelphiafed.org/research-and-data/publications/working-papers/2008/wp08-21.pdf Tor Jacobson Tor Jacobson 2008-09 Philadelphia Fed Working Papers http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/wp_184.pdf Sveriges Riksbank Working Papers by Tor Jacobson , Jesper Lindé and Kasper Roszbach Exploring Interactions between Real Activity and the Financial Stance 2005-06-01T12:00:00Z Exploring Interactions between Real Activity and the Financial Stance 2005-06-01T12:00:00Z Abstract http://www.riksbank.se/templates/Page.aspx?id=16634 Full text http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/wp_184.pdf Jesper Lindé Tor Jacobson Kasper Roszbach Tor Jacobson , Jesper Lindé and Kasper Roszbach 2005-05-16 Sveriges Riksbank Working Papers C41 G21 G33 G38 http://www.riksbank.se/upload/8378/WP_155.pdf Sveriges Riksbank Working Papers by Tor Jacobson , Jesper Lindé and Kasper Roszbach Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies 2004-05-22T07:10:00Z Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies 2004-05-22T07:10:00Z Abstract http://www.riksbank.se/templates/Document.aspx?id=8623 Full text http://www.riksbank.se/upload/8378/WP_155.pdf Jesper Lindé Tor Jacobson Kasper Roszbach Tor Jacobson , Jesper Lindé and Kasper Roszbach 2003-12-01 Sveriges Riksbank Working Papers C14 C15 G21 G28 G33 http://www.riksbank.com/upload/6681/wp_134.pdf Sveriges Riksbank Working Papers by Tor Jacobson , Per Jansson , Anders Vredin and Anders Warne Identifying the Effects of Monetary Policy Shocks in an Open Economy 2004-05-21T18:39:59Z Identifying the Effects of Monetary Policy Shocks in an Open Economy 2004-05-21T18:39:59Z Abstract http://www.riksbank.se/templates/Document.aspx?id=6723 Full text http://www.riksbank.com/upload/6681/wp_134.pdf Anders Vredin Tor Jacobson Anders Warne Per Jansson Tor Jacobson , Per Jansson , Anders Vredin and Anders Warne 2002-05-01 Sveriges Riksbank Working Papers C32 E31 E52 http://www.riksbank.com/upload/6907/wp_138.pdf Sveriges Riksbank Working Papers by Tor Jacobson and Sune Karlsson Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach 2004-05-21T18:39:59Z Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach 2004-05-21T18:39:59Z Abstract http://www.riksbank.se/templates/Document.aspx?id=6950 Full text http://www.riksbank.com/upload/6907/wp_138.pdf Tor Jacobson Sune Karlsson Tor Jacobson and Sune Karlsson 2002-08-01 Sveriges Riksbank Working Papers C11 C51 C52 C53 http://www.riksbank.com/upload/7069/wp_142.pdf Sveriges Riksbank Working Papers by Kenneth Carling, Tor Jacobson , Jesper Lindé and Kasper Roszbach Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy 2004-05-21T18:39:59Z Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy 2004-05-21T18:39:59Z Abstract http://www.riksbank.se/templates/Document.aspx?id=7029 Full text http://www.riksbank.com/upload/7069/wp_142.pdf Kenneth Carling Jesper Lindé Tor Jacobson Kasper Roszbach Kenneth Carling, Tor Jacobson , Jesper Lindé and Kasper Roszbach 2002-09-01 Sveriges Riksbank Working Papers C41 G21 G33 G38 http://www.riksbank.se/upload/7405/wp_145.pdf Sveriges Riksbank Working Papers by Tor Jacobson , Johan Lyhagen , Rolf Larsson and Marianne Nessén Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model 2004-05-21T18:39:59Z Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model 2004-05-21T18:39:59Z Abstract http://www.riksbank.se/templates/Document.aspx?id=7518 Full text http://www.riksbank.se/upload/7405/wp_145.pdf Johan Lyhagen Marianne Nessén Tor Jacobson Rolf Larsson Tor Jacobson , Johan Lyhagen , Rolf Larsson and Marianne Nessén 2002-12-01 Sveriges Riksbank Working Papers C15 C32 F30 http://www.riksbank.se/upload/WorkingPapers/WP_162.pdf Sveriges Riksbank Working Papers by Tor Jacobson , Jesper Lindé and Kasper Roszbach Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? 2004-01-01T12:00:00Z Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? 2004-01-01T12:00:00Z Abstract http://www.riksbank.se/templates/Page.aspx?id=13250 Full text http://www.riksbank.se/upload/WorkingPapers/WP_162.pdf Jesper Lindé Tor Jacobson Kasper Roszbach Tor Jacobson , Jesper Lindé and Kasper Roszbach 2004-04-01 Sveriges Riksbank Working Papers C14 C15 G21 G28 G33