credit portfolio quality is the share of non-performing loans to the total credit portfolio. The consequences of an increased …

Estimating expected credit losses on banks' portfolios has long been difficult. The issue has become of increasing … develops a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit … of expected credit losses. ExpectedRCL performs substantially better than net charge-offs in predicting one …

This study develops a timely and unbiased measure of expected credit losses. The expected rate of credit losses … (ExpectedRCL) is a linear combination of various non-discretionary credit risk-related measures disclosed by banks. ExpectedRCL … performs substantially better than net charge-offs, realized credit losses, and fair value of loans in predicting credit losses …

Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to …-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit risk disclosed by banks. It uses cross …-sectional analyses to obtain coefficients for estimating each period's measure of expected credit losses. ExpectedRCL substantially …

This study highlights the differences in performance of commercial banks operating in Pakistan in the context of credit … portfolio management. Specifically, we look at their credit allocation policies and outcomes in the shape of nonperforming loans … tests several hypotheses related to the overall efficiency of banks' credit portfolio management over time as well as the …

compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

-based benchmark portfolio that mimics individual banks' interest rate and credit risk exposure. From 2015 to mid-2022, euro area banks … rate or credit risk when hit by shocks. Using the euro area credit register and the pandemic shock for identification, we … find that higher edge banks originate more credit, direct it towards more productive firms, and support more firm …

The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio … drivers of the three-year projections of credit losses. First, we define a model containing all the macroeconomic variables … variables. Our results show that, although EBA variables explain most part of credit risk provisions, we obtain evidence about …

are translated into aggregate estimates of credit risk indicators. The micro approach uses firm- level balance sheet and …