credit portfolio quality is the share of non-performing loans to the total credit portfolio. The consequences of an increased … amount of non-performing loans may not only reduce the financial results, but also reduce the capital and increase the risk …

-subsidization effect of credit risk. …We employ interest rates and expected loss probabilities from the 2021 EBA Stress Test dataset and euro area credit … registries to examine whether the risk-return relationship holds in banking. After controlling for bank, loan, and debtor …

Purpose: SME sector credit risk has received attention in research from several dimensions of the financial system. SME … is found to be in a low-risk regime in portfolio credit risk estimation. Research limitations/implications: Coverage and … current research on the area, we approach SME risk from perspective of FIs own risk assessments and compare it to how SME risk …

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …