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.
Link: Borrower vulnerabilities, their distribution and credit losses