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Credit risk in banks’ exposures to non‐financial firms

Author

Listed:
  • Matteo Accornero
  • Giuseppe Cascarino
  • Roberto Felici
  • Fabio Parlapiano
  • Alberto Maria Sorrentino

Abstract

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.

Suggested Citation

  • Matteo Accornero & Giuseppe Cascarino & Roberto Felici & Fabio Parlapiano & Alberto Maria Sorrentino, 2018. "Credit risk in banks’ exposures to non‐financial firms," European Financial Management, European Financial Management Association, vol. 24(5), pages 775-791, November.
    • Handle: RePEc:bla:eufman:v:24:y:2018:i:5:p:775-791
    DOI: 10.1111/eufm.12138
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    References listed on IDEAS

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    Cited by:

    1. Roberta Fiori & Claudia Pacella, 2019. "Should the CCYB be enhanced with a sectoral dimension? The case of Italy," Questioni di Economia e Finanza (Occasional Papers) 499, Bank of Italy, Economic Research and International Relations Area.
    2. Natalia Nehrebecka, 2023. "Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic," Economic Change and Restructuring, Springer, vol. 56(1), pages 129-158, February.
    3. António Santos & Nuno Silva, 2019. "Sectoral concentration risk in Portuguese banks’ loan exposures to non-financial firms," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.

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