between household debt levels, financial stability risks, and the ongoing implications of the ‘debt overhang’ for economic … growth. However, accurately measuring the household debt burden remains problematic. Aggregate measures of household … indebtedness (e.?g. household liabilities relative to income) fail to fully capture the debt servicing burdens of households …

This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the … role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations … is also closely examined. Using a large panel of countries it is found that housing affordability and household fragility …

systemic risk caused by the developing gap between the growth of household indebtedness and the growth in real estate prices …. The paper recapitulates the main factors of the growth rate of household indebtedness and the extent to which the adopted …

We show that banks' risk exposure in one asset category affects how they report regulatory risk weights for another … asset category. Specifically, banks report lower credit risk weights for their loan portfolio when they face higher risk … constraints. Our results suggest the existence of incentive spillovers across different risk categories. We relate this behavior …

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk … default risk of STOXX Europe 600 firms. For about 5% of the sample firms, we find asset devaluation shocks larger than 30% and … stress test on credit risk based on these results, we find a decrease in capital ratios between $$-1.2$$and $$-1 …

), the higher its transition risk. Recent Hungarian trends of this indicator alerts to significantly regrowing risks. …

We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and … measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads …

We examine the impact of the U.S. withdrawal from the Paris Agreement on the relationship between climate risk and … systemic risk of U.S. global banks. We find that after 2017, investors stopped pricing climate risk into U.S. systemic risk … directly, consistent with domestic investors expecting climate risk deregulation. However, climate risk still indirectly …