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Borrower vulnerabilities, their distribution and credit losses

Ryan Banerjee, Francesco Franceschi and Stéphane Riederer

BIS Quarterly Review, 2022

Abstract: Central banks and other supervisory authorities have made significant efforts to collect borrower-level data on debt vulnerabilities. Do such data add to the information in aggregate measures? We find that statistics about household and non-financial corporate borrowers with low repayment capacity help to explain changes in non-performing loans and bankruptcies that aggregate measures would have missed. Borrower-level data could thus be useful for financial stability assessments.

JEL-codes: E32 E44 G32 G33 G51 (search for similar items in EconPapers)
Date: 2022
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