期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2009
卷号：1
出版社：European Central Bank
摘要：In terms of regulatory and economic capital, credit risk is the most signi cant risk faced by banks. We implement a credit risk model based on publicly available information with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk pro les across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk pro les of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring nancial stability.
