Search Results - subject_exact:"Kreditrisiko"

A quantile probability model for sectoral corporate defaults in Europe

Konietschke, Paul; Metzler, Julian; Marques, Aurea Ponte - 2026

Conventional credit risk models understate tail risk by centering on mean default probabilities and neglecting distributional and sectoral heterogeneity. We propose a Quantile Probability of Default (QPD) framework based on unconditional quantile regressions estimated on flow default rates from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618110

Endogenous bank risks and the lending channel of monetary policy

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655489

Credit risk assessment with stacked machine learning

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562268

Severe weather and collateral practices

Cella, Cristina; Schubert, Valentin - 2026

Physical climate risks significantly influence banks' collateral practices. Drawing on comprehensive loan-level data from Sweden, we find that adverse weather events increase both the likelihood and the amount of collateral required for new loans. For existing loans, banks are less inclined to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015564014

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://ebvufind01.dmz1.zbw.eu/10015564128

Explaining contract heterogeneity in the credit card market

Chatterjee, Satyajit; Eyigungor, Burcu - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609891

Model risk under CECL : a consumer finance perspective

Canals-Cerdá, José J. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609899

Survivorship bias in systemic risk estimation

Skouralis, Alexandros - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611084

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://ebvufind01.dmz1.zbw.eu/10015611273

Synthetic risk transfers

2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611480

A framework for interpreting machine learning models in bond default risk prediction using LIME and SHAP

Zhang, Yan; Chen, Lin; Tian, YiXiang - 2026

Interpretability analysis methods, such as LIME and SHAP, are widely employed to explain the predictions of artificial intelligence models; however, they primarily function as post hoc tools and do not directly quantify the intrinsic interpretability of the models. Although it is commonly...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611531

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://ebvufind01.dmz1.zbw.eu/10015612431

Financial Inclusion, Credit Booms, and Financial Stability Risk

Barajas, Adolfo - 2026

Economic benefits of financial inclusion, meaning a broadening access of the population to financial services, have been studied extensively, but less is known about its potential effects on financial stability. We explore the complementarity between credit booms and episodes of rapid expansion...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612695

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613760

The expert assessment within Banca d'Italia's in-house credit assessment system

Esposito, Lorenzo; Guglielmi, Massimo; Monterisi, Francesco - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613766

Passive investors and loan spreads

Adler, Konrad; Dörr, Sebastian; Zhu, Xingyu - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613790

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Passive investors and loan spreads

Adler, Konrad; Doerr, Sebastian; Zhu, Sonya - 2026

Book / Working Paper

A public-private partnership? : central bank funding and credit supply

Chavaz, Matthieu; Elliott, David; Monroe, Win - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613835

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A public-private partnership? : central bank funding and credit supply

Chavaz, Matthieu; Elliott, David; Monroe, Win - 2025

Book / Working Paper

Consumer credit and the rise of electric vehicles

Wang, Yue - 2026

I study the credit channel of the electric-vehicle (EV) transition using more than 1.8 million German auto loans and leases. I show that EV financing contracts default significantly less often than comparable internal combustion engine vehicle (ICEV) contracts-particularly among lower-income...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614088

Interpretable multi-model framework for early warning of SME loan delinquency

Akhmetova, Ardak; Shayakhmetova, Assem; Abdurakhmanov, … - 2026

The rapid expansion of small and medium enterprise (SME) lending has intensified the need for accurate and interpretable credit risk forecasting. Financial institutions must anticipate potential business loan delinquency to maintain portfolio stability and meet regulatory standards. This study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614113

Mission drift or strategic expansion? : non-core lending, risk, and capital in US credit unions

Hu, Changjie; Chen, Zhu; Cao, Ting - 2026

This study investigates credit unions' expansion into non-core lending and its association with risk and financial resilience. Using US credit union call report data from 1994 to 2024, we measure the share of purchased loans, lease receivables, and loans held for sale in non-core lending. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614308

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://ebvufind01.dmz1.zbw.eu/10015614384

The credit gap as a real-time early warning indicator of financial imbalances : a South African perspective

Msiska, Wongani; Sikhosana, Ayanda; Vermeulen, Cobus - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615329

Risky collateral and default probability

Koufopoulos, Kostas; McGowan, Danny; Perdichizzi, Salvatore - 2026

We use a novel data set containing all corporate loans throughout the Eurozone to document a series of novel stylized facts on the relationship between collateral and the probability of default. First, we show that the pervasive empirical finding that riskier borrowers pledge collateral is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592344

Customer-facing technologies and banks' macroeconomic information production

Chen, Wilbur; Kang, Jung Koo; Kim, Sehwa; Lin, Ling - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015597244

Riesgo de crédito gestionado por medio de un modelo de espacio-estado aplicado a un portafolio soberano

Tapia V., Pablo; Vargas P., Diego - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591169

Sweeping it under the rug? : the securitisation of climate- stressed loans by European banks

Pietig, Frederik - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604151

Addressing commercial real estate lending risks with borrower-based measures

Gąsiorowski, Paweł; Skudelny, Frauke; Albanese, Alessandra - 2026

This paper explores ways in which borrower-based measures (BBMs) could be applied to commercial real estate (CRE) lending, focusing on suitable metrics and scope. BBMs have already proven to be effective in mitigating credit risks in residential real estate lending by curbing excessive credit...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605052

Margins as canaries in the coal mine

Kubitza, Christian; Oehmke, Martin - 2026

Central clearing counterparties (CCPs) manage counterparty risk by requiring clearing members to post margins. This paper explores the role of margins as "canaries in the coal mine:" By inducing defaults of fragile counterparties before contract maturity, margin calls enable CCPs to transfer...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605599

A structural model of capital buffer usability

Lang, Jan Hannes; Menno, Dominik - 2026

Under which conditions do usability constraints for regulatory capital buffers emerge? To answer this question, we build a non-linear structural banking sector model with a minimum capital requirement that banks are not allowed to breach, and a capital buffer requirement (CBR) that banks can...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605600

How do macroprudential measures affect mortgage lending standards? : evidence from the ECB's Bank Lending Survey

Behn, Markus; Lo Duca, Marco; Perales, Cristian - 2026

Using information from the ECB's Bank Lending Survey, we examine how the implementation of borrower-based macroprudential measures (BBMs) between 2009-Q1 and 2023-Q3 affected mortgage lending standards in a sample of 15 euro area countries. We find that banks generally tightened credit standards...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606391

Stabilizing credit when nonperforming loans surge : the role of asset management companies

Martin, Reiner; O'Brien, Edward J.; Peiris, Udara; … - 2026

When default losses elevate borrowing costs, expanding credit cannot stabilize the economy because default rates feed back to lending rates through bank balance sheets. Asset management companies (AMCs) break this loop by purchasing nonperforming loans at their long-run recovery values, thereby...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606839

Climate transition risks in Chile's banking industry: a loan-level stress test

Córdova, Julio Felipe; Pinto, Francisco; Salas, Mauricio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625202

Precios de viviendas en Chile: herramientas para evaluar desalineamientos y sus efectos sobre la banca

Díaz V., Sergio; Salas G., Mauricio; Vásquez L., Francisco - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625260

Covid-19 pandemic crisis and macroprudential policy measures in Brazil

Bandeira, Fernanda Martins; Ornelas, José Renato Haas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625394

Forecasting out-of-time credit scoring model risk

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625453

Financial technology as a tool to enhance financial consumer protection and reduce defaults on personal loans : to achieve financial inclusion and sustainable development in Jordan

AlBataineh, AbdelKarim - 2026

Financial technology (FT) has been credited for supporting sustainable development and financial inclusion. However, issues such as balancing innovation with consumer protection and the challenges of loan default have emerged as significant concerns in this context. The study aimed to test the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626644

Synthetic, but how much risk transfer?

Osberghaus, Alex; Schepens, Glenn - 2026

Banks use synthetic risk transfers (SRTs) to offload potential losses in their loan portfolios to non-bank investors while retaining the loans on their balance sheets. We investigate this trillion-euro market using transaction-level data from the euro area, the largest SRT market, and highlight...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626666

Central clearing and the pricing of specialness in repo markets

Danisewicz, Piotr; Dieler, Tobias; Mancini, Loriano; … - 2026

Repo markets clear either bilaterally over the counter (OTC) or through central counter-parties (CCPs), which differ in how counterparty risk is priced. In bilateral markets, repo rates reflect borrower-specific risk, while CCP clearing pools counterparties and applies a common pricing rule. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626941

Timing matters : creditor incentives and delayed admission under India's IBC

Sharma, Anjali; Sengupta, Rajeswari - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627675

CBDCs and liquidity risks : evidence from the SandDollar's impact on deposits and loans in the Bahamas

Giraldo-Gordillo, Francisco Elieser; Bustillo Mesanza, … - 2026

This study evaluates the early impact of Central Bank Digital Currencies (CBDCs) on key financial indicators in The Bahamas, focusing on the introduction of the SandDollar-the world's first fully implemented retail CBDC. Using the Synthetic Control Method (SCM), the analysis constructs...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628744

Earnings manipulation and probability of default : insights from AnaCredit and supervisory implications

Allali, Lamia; Dierick, Nicolas; Santoni, Alessandro - 2026

This article provides a novel insight into whether earnings manipulation signals are reflected in banks' internal credit risk estimates, as measured by the probability of default (PD) estimates, and whether such manipulation has an impact on credit risk (point in time or deferred). The...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628824

Macroprudential policy effects on the access to finance, default and inequality : evidence from Romania

Alupoaiei, Alexie; Ichim, Simona; Neagu, Florian; Popa, Radu - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637498

More credit, better risk sharing : why europe needs securitisation

Thomadakis, Apostolos - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637850

Consumers' path to mortgage delinquency

Zhao, Laura; Xiao, Jia Qi; Witts, Aidan - 2026 - Last updated: February 26, 2026

This paper examines the behavioural patterns of Canadian borrowers as they progress toward mortgage delinquency. Using the full universe of TransUnion borrower credit data from 2015 to 2024, we document that mortgage holders begin increasing their credit utilization roughly two years before...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638041

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://ebvufind01.dmz1.zbw.eu/10015638710

Examining the macro drivers of mortgage arrears in Canada

Pugh, Thomas; Wang, Tao; Webley, Taylor - 2026 - Last updated: March 24, 2026

Mortgage debt represents over 70% of all Canadian household financial liabilities, and the performance of these debts is critical to the health of the financial system. We explore the relationships between mortgage arrears and key macroeconomic fundamentals such as labour market variables,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638772

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://ebvufind01.dmz1.zbw.eu/10015638960

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638968

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://ebvufind01.dmz1.zbw.eu/10015639069

Complementarities between loan sales and standby letters of credit : a theoretical model

Gargalas, Vassilios N.; Corzo, Mario G. - 2026

In their traditional function, commercial banks engage in recourse loan sales while evaluating clients' creditworthiness and assuming risk. However, banks face regulatory constraints that prevent them from fully exploiting this activity. Loan sales with recourse are treated as deposits, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639896