Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics

Abstract

JEL classification: G21 G33 E32 C25 C41 a b s t r a c t Understanding if credit risk is driven mostly by idiosyncratic firm characteristics or by systematic factors is an important issue for the assessment of financial stability. By exploring the links between credit risk and macroeconomic developments, we observe that in periods of economic growth there may be some tendency towards excessive risk-taking. Using an extensive dataset with detailed information for more than 30 000 firms, we show that default probabilities are influenced by several firm-specific characteristics. When time-effect controls or macroeconomic variables are also taken into account, the results improve substantially. Hence, though the firms' financial situation has a central role in explaining default probabilities, macroeconomic conditions are also very important when assessing default probabilities over time.

The Role of Leverage in Firm Solvency: Evidence From Bank Loans

“…They find that firms with more debt and lower bond ratings became financially distressed more frequently during the Depression. Using Portuguese data, Bonfim (2009) confirms the hypothesis that in periods of economic growth there is a tendency towards excessive risk-taking and such imbalances become apparent only when economic growth slows down. She finds that while default mainly depends on firm specific financial characteristics, their interactions with macroeconomic conditions should be taken into account, as they improve the fit of the model.…”

“…Bonfim (2009) uses the Banco de Portugal Central Credit Register data, and a firm is considered defaulted if it has credit overdue; Carling et al (2007) use credit data from a major Swedish bank: customers are considered defaulted if principal or interest payments are 60 days overdue, and a bank official has to make a judgement and reach the conclusion that any such payment is unlikely to occur in the future. Behr and Güttler (2007) estimate the probability of default for German SMEs, using data from a major German bank engaged in financing small and medium enterprises, while Fidrmuc and Hainz (2010) analyze the data from a Slovakian commercial bank.…”

“…We share with the most recent studies the use of credit register or internal bank data on defaults (e.g. Carling et al 2007;Bonfim 2009). To our knowledge, there is no study on Italy that analyzes firm defaults during 2008-2012 using credit register data.…”

Determinantes do risco de crédito rural no Brasil: uma crítica às renegociações da dívida rural

“…Após a crise financeira de 2008, ressurge o interesse em se investigar os efeitos na inadimplência de crédito de fatores macroeconômicos de risco sistêmico (Bonfim, 2009), que é aquele gerado sistematicamente pelas flutuações da economia ou por choques no sistema financeiro. Em linhas gerais, o risco sistêmico é gerado em períodos expansivos do ciclo de negócios quando os tomadores de crédito estão propensos e em condições de contrair empréstimos e as instituições financeiras credoras, propensas e em condições de assumir maiores risco.…”

“…Já utilizando dados de painel com variáveis em nível mais agregado, os autores observam que fatores macroeconômicos têm efeitos significativos na inadimplência. Assim, concluem que resultados mais robustos serão obtidos se forem incluídas variáveis de risco idiossincrático e macroeconômicas de risco sistêmico (Bonfim, 2009). Na mesma linha, Louzis et al (2012) investigam os efeitos dos riscos idiossincrático e sistêmico no sistema financeiro grego, considerando a taxa de inadimplência de vários tipos de empréstimos e variáveis explicativas similares às usadas por Ali & Daly (2010) e Bonfim (2009, adicionando mais variáveis macroeconômicas de risco sistêmico (nível de endividamento do governo, taxa de desemprego e inadimplência defasada) e variáveis de risco idiossincrático do setor bancário e de características dos empréstimos.…”