ASSESSING PORTFOLIO CREDIT RISK CHANGES IN A SAMPLE OF EU LARGE AND COMPLEX BANKING GROUPS IN REACTION TO MACROECONOMIC SHOCKS 1 by

@inproceedings{Castrn2009ASSESSINGPC,
  title={ASSESSING PORTFOLIO CREDIT RISK CHANGES IN A SAMPLE OF EU LARGE AND COMPLEX BANKING GROUPS IN REACTION TO MACROECONOMIC SHOCKS 1 by},
  author={Olli Castr{\'e}n and Trevor Fitzpatrick and Matthias Sydow},
  year={2009}
}
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… CONTINUE READING
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