Template-Type: ReDIF-Paper 1.0
Author-Name: Li Lian Ong
Author-X-Name-First: Li Lian
Author-X-Name-Last: Ong
Author-Name: Min Wei
Author-X-Name-First: Min
Author-X-Name-Last: Wei
Author-Name: Christian Schmieder
Author-X-Name-First: Christian
Author-X-Name-Last: Schmieder
Title: Insights into credit loss rates: a global database
Abstract: Credit risk has played a significant role in many financial crises, including the great financial crisis. The COVID-19 pandemic also highlighted bank credit losses to the private sector. However, there remains a significant gap in terms of reliable economy-level credit risk data for financial stability analysis, given that such information is not readily available to the public in any systematic manner. Building upon the work of Hardy and Schmieder (2020), we derive time series of actual as well as forward-looking market- and macro-implied credit loss rates for the majority of jurisdictions around the world. Our database, intended as a public good, is available through a user-friendly interactive dashboard, which allows downloads of credit loss rate time series for the desired jurisdiction(s). Users are also able to run simple scenario analyses based on their projected GDP paths. The data series will be updated on an ongoing basis as new information is published by the original sources.
Creation-Date: 2023-05
File-URL: https://www.bis.org/publ/work1101.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1101.htm
File-Format: text/html
Number: 1101
Keywords: credit risk, credit loss rates, data gap, forward-looking, loss given default (LGD), macro-implied, probability of default (PD), stress test
Classification-JEL: F34, E44, E52, G28, G32, P52
Handle: RePEc:bis:biswps:1101