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Credit risk in banks’ exposures to non‐financial firms
Author(s) -
Accornero Matteo,
Cascarino Giuseppe,
Felici Roberto,
Parlapiano Fabio,
Sorrentino Alberto Maria
Publication year - 2018
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/eufm.12138
Subject(s) - microdata (statistics) , credit risk , business , systemic risk , financial risk management , financial sector , bank credit , credit valuation adjustment , financial risk , financial system , economics , finance , financial crisis , risk management , credit reference , macroeconomics , population , demography , sociology , census
This paper outlines a framework based on microdata and a structural model to gauge credit risk in banks’ exposures to non‐financial firms. Sectoral risk factors are accounted for using a multi‐factor model. We use expected and unexpected losses as indicators of credit risk stemming from the corporate sector as a whole, and we put forward a measure of systemic risk relevance of economic sectors. We apply the model to the Italian economy, showing the sensitivity of credit risk indicators to different characteristics of default risk, cyclicality and concentration of economic sectors.