Author(s):
Li Lian Ong, Christian Schmieder, Min Wei
Date:
June 2023
Abstract:
Credit risk has played a significant role as a catalyst or key factor in many financial crises, including the great financial crisis. More recently, the COVID-19 pandemic highlighted the importance of potential 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 publicly available in any systematic manner. We discuss the various credit loss concepts and estimate a time series database of actual as well as forward-looking market- and macro-implied credit loss rates for the majority of jurisdictions around the world, intended as a public good that is freely accessible.
Link: SUERF Policy Brief, No 620 – Insights into Credit Loss Rates: A Global Database