Durrani, Agha; Metzler, Julian; Michail, Nektarios; … - 2022
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 … characteristics as well as macroeconomic conditions, results indicate that a risk-return relationship in bank lending is present but …
