What is it about?
This paper outlines a framework based on microdata and a structural model to gauge credit risk in banks’ exposures to non-financial firms.
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Why is it important?
We apply the model to the Italian economy, showing the sensitivity of credit risk indicators to different characteristics of default risk, cyclicality and concentration of economic sectors.
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This page is a summary of: Credit risk in banks’ exposures to non-financial firms, European Financial Management, September 2017, Wiley,
DOI: 10.1111/eufm.12138.
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