Credit risk in banks’ exposures to non‐financial firms
基于微观数据和结构模型，提出衡量银行对非金融企业敞口信用风险的框架，并应用于意大利经济，分析行业违约风险、周期性和集中度对信用风险指标的影响。
Abstract This paper outlines a framework based on microdata and a structural model to gauge credit risk in banks’ exposures to non‐financial firms. Sectoral risk factors are accounted for using a multi‐factor model. We use expected and unexpected losses as indicators of credit risk stemming from the corporate sector as a whole, and we put forward a measure of systemic risk relevance of economic sectors. 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.