Purpose This paper aims to analyse the exposure at default (EAD) in the event of multiple banking relationships to understand the differences with respect to solo banking relationships and forecast the banks risk exposure. Design/methodology/approach The paper uses a unique database provided by the Italian public credit register representative of the full Italian market before the financial crisis. The analysis compares different EAD risk proxies for debtors with unique and multiple banking relationships to underline the main differences among the two groups. Findings Results show that EAD forecast could be improved considering the existence of exposures with other lenders and banks that consider such type of information can reduce the risk of underestimating the risk exposure of a debtor. Originality/value The paper is the first attempt to model the EAD on the basis of the existence of multiple lending exposures. Results demonstrate a different lender’s risk exposure for debtors with multiple credit risk exposure and show the usefulness of the information about the overall system exposure in evaluating the risk exposure related to this type of customers.

Gibilaro, L., & Mattarocci, G. (2018). Multiple banking relationships and exposure at default: Evidence from the Italian market. JOURNAL OF FINANCIAL REGULATION AND COMPLIANCE, 26(1), 2-19 [10.1108/JFRC-04-2016-0031].

Multiple banking relationships and exposure at default: Evidence from the Italian market

GIBILARO, LUCIA;Mattarocci G.
2018

Abstract

Purpose This paper aims to analyse the exposure at default (EAD) in the event of multiple banking relationships to understand the differences with respect to solo banking relationships and forecast the banks risk exposure. Design/methodology/approach The paper uses a unique database provided by the Italian public credit register representative of the full Italian market before the financial crisis. The analysis compares different EAD risk proxies for debtors with unique and multiple banking relationships to underline the main differences among the two groups. Findings Results show that EAD forecast could be improved considering the existence of exposures with other lenders and banks that consider such type of information can reduce the risk of underestimating the risk exposure of a debtor. Originality/value The paper is the first attempt to model the EAD on the basis of the existence of multiple lending exposures. Results demonstrate a different lender’s risk exposure for debtors with multiple credit risk exposure and show the usefulness of the information about the overall system exposure in evaluating the risk exposure related to this type of customers.
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-P/11 - Economia degli Intermediari Finanziari
English
Senza Impact Factor ISI
Credit risk; Relationship lending; Exposure at default; Multiple lending
Gibilaro, L., & Mattarocci, G. (2018). Multiple banking relationships and exposure at default: Evidence from the Italian market. JOURNAL OF FINANCIAL REGULATION AND COMPLIANCE, 26(1), 2-19 [10.1108/JFRC-04-2016-0031].
Gibilaro, L; Mattarocci, G
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/194194
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