Search Results - subject_exact:"Credit risk"

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Endogenous bank risks and the lending channel of monetary policy

Araujo, Gabriela; Rivero, David; Rodríguez, Hugo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655489

Credit risk assessment with stacked machine learning

Columba, Francesco; Cugliari, Manuel; Di Virgilio, Stefano - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562268

Circular economy, non-financial disclosure and credit risk in Europe

Zara, Claudio; Göbel, Maximilian; Barbaglia, Martina - 2026

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564128

The resilience of banks' exposure to the commercial real estate market in Slovenia

Ćirjaković, Jelena - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015608986

Credit risk management dynamics : evidence from Indonesian rural banks

Ariefianto, Mochammad Doddy; Nur, Triasesiarta; … - 2026

This paper investigates credit risk management as a dynamic system. Panel Vector Autoregression (PVAR) is employed to model interrelationships among four key components: Non-Performing Loans (NPLs), Loan Loss Provision (LLP), loan charge-off (LCO) and capital. The Cost-to-Income ratio (CIR) and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611273

Securitization, bank regulation, and the macroeconomy

Luintel, Kul B.; Torres, José L. - 2026

We develop a general equilibrium framework in which a commercial banker, constrained by capital adequacy requirements, creates a special purpose vehicle (SPV) to hold securitized assets off its balance sheet. By operating the bank and SPV as separate entities, the banker circumvents regulation,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612431

Hydrogeological and credit risk : the Italian firms' physical risk-adjusted probability of default

Cugliari, Manuel; Narizzano, Simone; Vassalli, Federica - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613760

Bayesian causal inference for credit default risk

Pitso, Sello Dalton; Michael, Taryn - 2026

Banks often assume that higher credit limits increase customer default risk because greater exposure appears to imply greater vulnerability. This reasoning, however, conflates correlation with causation. Whether increasing a customer's credit limit truly raises the likelihood of default remains...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614384

Forecasting out-of-time credit scoring model risk

Yoshida Jr., Valter T.; Schiozer, Rafael Felipe; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625453

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resourceintensive. In this paper, we contribute to the quantitative validation of probability of default...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638710

ESG disclosure quality and banking risk : a dynamic panel analysis of Middle East and African banks

Ahmed, Ibrahim El Siddig - 2026

This study aims to analyze the impact of environmental, social, and governance (ESG) disclosure quality on banking risk. Data were collected from the 100 largest commercial banks in the Middle East and Africa over ten years and examined using econometric analysis to measure the influence of ESG...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638960

Loan defaults and credit risk in microfinance

Andam Boiquaye, Perpetual; Aidoo, Bernadette; Gyamerah, … - 2026

This study investigates the probability of consumer default across both secured and unsecured assets, with a particular focus on borrower behavior and the role of moral hazard in shaping individual credit risk. It examines how different borrower decisions, such as investing in secured and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639069

Determinants of nonperforming loans in Romania and Central, Eastern and Southeastern Europe

Costache, Cosmin Laurențiu - 2026

This paper investigates the macroeconomic and bank-specific determinants of nonperforming loans in Romania and selected Central and Eastern European countries. Using a combination of econometric approaches, the study employs fixed-effects panel regressions for 18 Romanian banks over the period...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639897

Temporal and cost-sensitive evaluation framework for credit risk modeling under distributional shifts

Sodnomdavaa, Tsolmon; Sandagsuren, Munkhtsetseg - 2026

Machine learning-based credit risk models are commonly assessed using discrimination metrics alone. Such evaluation, however, does not fully capture economic consequences, temporal deployment conditions, or changes in the underlying risk environment. This study develops a decision-aligned,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640365

Modeling the probability of default term structure using different methodologies under IFRS 9

Moremoholo, Kgotso Rudolf; Shongwe, Sandile Charles; … - 2026

To mitigate credit risk, banks are required to set aside a specific amount as a safety net to absorb the expected loss on a banks' loan portfolio called loan loss provisions (LLPs) or provisions for bad debts. All banks worldwide had to adopt International Financial Reporting Standard 9 (IFRS 9)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643351

The impact of biodiversity risk on banks' credit default swap spread changes

Praetz, Moritz - 2026

This paper explores the impact of biodiversity risk on banks' credit risk using a news-based biodiversity index and CDS of 39 global banks between 2015 and 2023. Using a linear OLS regression, this paper finds evidence for a significant positive relationship between biodiversity news and CDS...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652040

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The impact of biodiversity risk on banks' credit default swap spread changes

Praetz, Moritz - 2026

Article

The influence of operational efficiency (SFA modeling), credit risk, and third-party funds on stock prices with financial performance as a mediating variable

Amimakmur, Satria Amiputra; Sutrisno Sutrisno; Rahman, … - 2026

This study examines how operational efficiency, credit risk, and third-party funds affect the stock prices of banks listed on the Indonesia Stock Exchange, with financial performance acting as a mediating variable. Focusing on banks included on the main board during 2020-2024, the study uses...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652361

Do credit and liquidity risks interact to shape bank stability? : evidence from an emerging banking system

Atari, Sana'; Bin Saddig, Ruaa; Awwad, Bahaa Sobhi Abde … - 2026

This paper examines whether the interaction between credit risk and liquidity conditions helps explain bank stability in a fragile and institutionally constrained banking environment. Using an annual panel of 13 Palestinian banks over 2011-2024 and measuring stability by the (log) Z-score, we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652373

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk models

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632814

The cyber risk of non-financial firms

Columba, Francesco; Cugliari, Manuel; Orlandi, Marco; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015575068

Assessing the effects of recent provisioning rules on consumer credit allocation in Colombia

Cuesta-Mora, Diego Fernando; Gamboa-Estrada, Fredy; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665402

Policy implications of ESG-moderated credit risk on bank profitability

Gopane, Thabo J. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618332

Audit Program on Artificial Intelligence (AI)-driven credit risk

De Palma, Valeria Anna; Di Maria, Alessandro; Foschini, … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373726

The low-carbon transition, climate commitments and firm credit risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272774

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The low-carbon transition, climate commitments and firm credit risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2022

Book / Working Paper

The low-carbon transition, climate commitments and firm credit risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

Book / Working Paper

The Low-Carbon Transition, Climate Commitments and Firm Credit Risk

Carbone, Sante; Giuzio, Margherita; Kapadia, Sujit; … - 2021

Book / Working Paper

Data mining for the adjustment of credit scoring models in solidarity economy entities : a methodology for addressing class imbalances

Bermudez Vera, Ivan Mauricio; Restrepo, Jaime Mosquera; … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333680

The use of Banca d'Italia's credit assessment system for Italian non-financial firms within the Eurosystem's collateral framework

Di Virgilio, Stefano; Iannamorelli, Alessandra; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417018

The rise of climate risks : evidence from expected default frequencies for firms

Faralli, Matilde; Ruggiero, Francesco - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015422810

Machine learning applications in credit risk prediction

Bölükbaş, Kübra; Tok, Ertan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425112

Incorporating physical climate risks into banks' credit risk models

Pozdyshev, Vasily; Lobanov, Alexey; Ilinsky, Kirill - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448625

AI-powered reduced-form model for default rate forecasting

Giacomelli, Jacopo - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448921

Geopolitical risk and global banking

Niepmann, Friederike; Shen, Leslie Sheng - 2025 - This version: August 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492611

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Geopolitical risk and global banking

Niepmann, Friederike; Shen, Leslie Sheng - 2025

Book / Working Paper

Geopolitical risk and global banking

Niepmann, Friederke; Shen, Leslie Sheng - 2025

Book / Working Paper

Exploring the exposure of Slovak banks' corporate loan portfolio to flood risk

Gogová, Lea; Hledik, Juraj; Klacso, Ján - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451133

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Exploring the exposure of Slovak banks' corporate loan portfolio to flood risk

Gogová, Lea; Hledik, Juraj; Klacso, Ján - 2025

Book / Working Paper

Transition risk in climate change : a literature review

Di Febo, Elisa; Angelini, Eliana - 2025

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;...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408391

Fuzzy non-payment risk management rooted in optimized household consumption units

Izquierdo Llanes, Gregorio; Salcedo Fernández, Antonio - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408410

Forecasting corporate default probabilities : a local logit approach for scenario analysis

Cascarino, Giuseppe; Ciocchetta, Federica; Pietrosanti, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408453

Does financial inclusion affect non-performing loans and liquidity risk in the MENA region? : a comparative analysis between GCC and non-GCC countries

Hakimi, Abdelaziz; Saidi, Hichem; Adili, Lamia - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410220

Investigating the relationship between liquidity risk, credit risk, and solvency risk in banks listed on the Iranian capital market : a Panel Vector Error Correction Model

Peykani, Pejman; Sargolzaei, Mostafa; Tănăsescu, Cristina - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410231

Climate stress test for the German banking sector : impact of the green transition on corporate loan portfolios

Gross, Christian; Kuntz, Laura-Chloé; Niederauer, Simon; … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015410354

Factor investing with delays

Dickerson, Alexander; Nozawa, Yoshio; Robotti, Cesare - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432765

Analyzing macroeconomic variables and stress testing effects on credit risk : comparative analysis of European banking systems

Gallas, Salma; Bouzgarrou, Houssam; Zayati, Montassar - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438617

Does climate change risk impact insurance credit risk? : cross country evidence

Alokla, Jassem; Tzouvanas, Panagiotis; Albitar, Khaldoon - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459687

Dynamic balance sheet simulation and credit default prediction: a stress test model for Colombian firms

Cuesta-Mora, Diego Fernando; Gómez, Camilo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461306

Sustainability reporting and credit risk management in the Romanian banking landscape

Huian, Maria Carmen; Curea, Mihaela; Mironiuc, Marilena - 2025

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,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461851

Analyst responses to changes in credit risk

Isabel, Abinzano; Pilar, Corredor; Beatriz, Martinez - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015462067

A risk-aware dynamic credit allocation mechanism in green supply chains : an agent-based model with ESG metrics

Zhang, Yuansheng; Song, Ping; Yang, Qifeng - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561512

Gender as a risk factor : a test of gender-neutral pricing in Lithuania's P2P market

Jasas, Mindaugas; Lastauskaite, Aiste - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561612

Asymmetric and time-varying connectedness of FinTech with equities, bonds, and cryptocurrencies : a quantile-on-quantile perspective

Karimi, Mohammad Sharif; Esqueda, Omar; Weerasinghe, … - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561630

Credit risk prediction with corruption perception index : machine learning approaches

Cuong, Nguyen Thanh; Tam Phan Huy; Tuyet, Pham Hong; … - 2025

This study examines the impact of corruption on credit risk in Southeast Asian commercial banks by using machine learning models to predict non-performing loans (NPLs) based on the Corruption Perception Index (CPI). Analyzing data from 70 banks over a decade, it employs Decision Tree, Random...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015608016

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2025 - Original version: October 2022, this version: August 2025

Using Credit Default Swap spreads, we construct and validate a forward-looking, market-implied carbon risk (CR) factor that captures how lenders price firms’ exposure to carbon regulation. The credit-risk impact of carbon regulation depends on its scope (breadth of coverage), stringency (share...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015608383

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Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023

Book / Working Paper

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Book / Working Paper

Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Book / Working Paper

Bank syndication : a premise for increasing bank performance or diversifying risks?

Nitescu, Dan Costin; Anghel, Cristian Marius - 2025

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596471