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...

In this paper we describe an analytical framework to assess financial stability risks in the Italian economy. We use a large number of indicators, selected to take into account the peculiarities of the Italian economy, to monitor risks in seven areas: interlinkages, the credit markets, the...

We use an extensive loan-level dataset to study the influence of non-performing loans (NPLs) on the supply of bank credit to non-financial firms in Italy between 2008 and 2015. We use time-varying firm fixed effects to control for shifts in demand and changes in borrower characteristics, and we...