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Borrower vulnerabilities, their distribution and credit losses

Author

Listed:
  • Ryan Niladri Banerjee
  • Francesco Franceschi
  • Stéphane Riederer

Abstract

Central banks and other supervisory authorities have made significant efforts to collect borrower-level data on debt vulnerabilities. Do such data add to the information in aggregate measures? We find that statistics about household and non-financial corporate borrowers with low repayment capacity help to explain changes in non-performing loans and bankruptcies that aggregate measures would have missed. Borrower-level data could thus be useful for financial stability assessments.

Suggested Citation

  • Ryan Niladri Banerjee & Francesco Franceschi & Stéphane Riederer, 2022. "Borrower vulnerabilities, their distribution and credit losses," BIS Quarterly Review, Bank for International Settlements, September.
    • Handle: RePEc:bis:bisqtr:2209e
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    References listed on IDEAS

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    Cited by:

    1. Sergio A. Correia & Stephan Luck & Emil Verner, 2024. "Failing Banks," NBER Working Papers 32907, National Bureau of Economic Research, Inc.
    2. Mathias Drehmann & Mikael Juselius & Sarah Quincy, "undated". "Aggregate debt servicing and the limit on private credit," BIS Working Papers 1235, Bank for International Settlements.

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    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth

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