The circular economy (CE) is increasingly recognized as a financially material dimension of corporate sustainability, complementing and in some respects surpassing traditional Environmental, Social, and Governance (ESG) metrics. Building on prior evidence of a negative relationship between...

The paper analyses the association between the reporting of the Sustainable Development Goals (SDGs) and the behaviour of Romanian banks, focusing on the relationship between SDG disclosure scores (both total and across the four sustainability dimensions) and credit risk management practices,...

How do banks respond to geopolitical risk, and is this response distinct from other macroeconomic risks? Using U.S. supervisory data and new geopolitical risk indices, we show that banks reduce cross-border lending to countries with elevated geopolitical risk but continue lending to those...

How do banks respond to geopolitical risk, and is this response distinct from other macroeconomic risks? Using U.S. supervisory data and new geopolitical risk indices, we show that banks reduce cross-border lending to countries with elevated geopolitical risk but continue lending to those...

How do banks respond to geopolitical risk, and is this response distinct from other macroeconomic risks? Using U.S. supervisory data and new geopolitical risk indices, we show that banks reduce cross-border lending to countries with elevated geopolitical risk but continue lending to those...

This study provides a comparative analysis of European banking systems, focusing on how macroeconomic factors influence non-performing loans (NPLs) to evaluate bank credit risk from 2008 to 2022. Using the Cross-Sectional Autoregressive Distributed Lag (CS-ARDL) model, the research examines both...

Climate risk is the negative effect of climate change on several aspects of the environment, business, and society. There are two categories of climate risks: physical risks include direct impacts due to extreme events and chronic changes due to climate modifications that have become commonplace;...

Traditionally, business risk management models have not taken into consideration household composition for the purposes of credit granting or project financing in order to manage the risk of default. In this research, an improvement in the risk management model was obtained by introducing...

Over the past decade, the debate on the microeconomic effects of financial inclusion has intensified, with a growing body of research exploring how access to financial services impacts banks' behaviors. Studying the effect of financial inclusion on bank risk is crucial because it helps...

In the aftermath of global financial crises and amid increasing complexity in banking operations, understanding and managing various types of risk - especially liquidity, credit, and solvency risks - has become a global concern for financial stability. This study addresses a critical gap in the...

We develop a novel stress testing framework to quantify the risks to the German banking sector from the green transition. Our methodology combines a macro-level and a micro-level approach to calculate scenario-dependent probabilities of default and losses. The macro approach leverages...

This study examines how dismantling Mafia-connected firms affects banks' lending practices. Using a unique dataset of 667 such firms and loan-level data from the European Central Bank, our analysis shows that anti-Mafia operations precede an increase in bank loans to businesses that operate in...

This paper explores how the low-carbon transition affects firms' credit ratings and market-implied distance-to-default. We develop a novel dataset covering firms' greenhouse gas emissions alongside climate disclosure and forward-looking emission reduction targets. Panel regression analysis...

From an Internal Audit perspective, the integration of Artificial Intelligence (AI) into credit risk modelling through Machine Learning (ML) algorithms presents significant challenges due to the complexity and multidimensional nature of these models. While AI enhances predictive performance and...

This study addresses the quantification of credit risk in solidarity economy entities, proposing a new methodology to redefine the concept of a "default" in the frequent situations of extreme class imbalances. The objective is to develop and evaluate credit scoring models that enhance risk...

This study aims to combine deep and recurrent neural networks with a reduced-form portfolio model to predict future default rates across economic sectors. The industry-specific forecasts for Italian default rates produced with the proposed approach demonstrate its effectiveness, achieving...

European Union legislation, particularly Council Directive 2004/113/EC, mandates gender neutrality in credit scoring to prevent discrimination. However, this creates a regulatory paradox if gender is a statistically relevant predictor of default risk. This study investigates this...

This study employs a quantile-on-quantile connectedness approach to analyze the asymmetric, distribution-dependent, and time-varying spillovers between FinTech indices and traditional financial markets. The results show that spillovers are concentrated in the distribution tails, with FinTech...

Integrating Environmental, Social, and Governance (ESG) metrics into supply chain finance is critical for promoting sustainable development. However, the dynamic mechanisms through which real-time ESG performance influences credit allocation and, consequently, shapes credit risk and...

In recent years, the financial sustainability and survival of microfinance institutions (MFIs) have been seriously threatened by factors such as the reduction in donations, cooperation funds and international aid, and increased competition from commercial banks. Faced with this hostile scenario,...

The objective of this research is to identify whether the risks associated with bank syndications can contribute to the increase or decrease in bank profitability and also whether bank syndications can contribute to the dispersion of risks associated with this activity, within the three most...

Climate change is expected to lead to more frequent and intense extreme weather events, such as floods and droughts, which in turn increase physical risks. In this paper, we assess the direct exposure of Slovak banks' corporate loan portfolios to riverine flood risk. We propose several...

We attempt to assess and explain the credit risk premium of peer-to-peer (P2P) loans for small business purposes. Our evidence shows that P2P borrowers pay significantly higher interest rates for small business financing purposes than for other purposes, controlling for loan amount and...

Purpose. The purpose of this research is to propose a tool for designing a microcredit risk pricing strategy for borrowers of microfinance institutions (MFIs). Design/methodology/approach. Considering the specific characteristics of microcredit borrowers, we first estimate and measure...

For a bank-based economy like Vietnam, the commercial banking sector's conduct greatly influences Vietnamese economic and social prosperity. In Vietnam, net income from credit activities hold the largest portion of the total revenue of Vietnamese commercial banks. Therefore, in the context of...

The increasing population and emerging business opportunities have led to a rise in consumer spending. Consequently, global credit card companies, including banks and financial institutions, face the challenge of managing the associated credit risks. It is crucial for these institutions to...

This research explores the impact of financial indicators on the credit ratings of companies listed on the S&P 500, employing a Sys-GMM model to address endogeneity concerns. Three independent variables categorized as market and survival factors alongside seven control variables sourced from...

The EU faces two economic challenges: managing non-performing exposures (NPEs) and climate change. This paper analyzes the relationship between the NPEs of domestic banking groups and climate risks, including macroeconomic variables such as the GDP growth rate, unemployment rate (UnEmp), and the...

We present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European System. In accordance with regulation,...