Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210187 
Year of Publication: 
2008
Series/Report no.: 
Staff Memo No. 5/2008
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper describes Norges Bank's micro stress testing framework for assessing the Norwegian banking sector's losses on loans to the non-financial enterprise sector. Using projected macro variables and a stock-flow approach, annual financial statements of every firm in Norway are projected five years ahead. The loan loss potential is then assessed using a credit scoring model. We present a backtest of projections taking the history of macro variables as given. Our results are fairly good using a relatively simple set-up, and we conclude that stock-flow projections of financial statements can be useful for stress testing banks' loan portfolios.
JEL: 
G21
G32
G33
M49
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-458-1
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Research Report
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