Preliminary communication
https://doi.org/10.18045/zbefri.2019.2.681
Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures
Natalia Nehrebecka
orcid.org/0000-0003-3870-7231
; Warsaw University – Faculty of Economic Sciences,Poland
Full text: croatian pdf 1.590 Kb
page 681-712
downloads: 576
cite
APA 6th Edition
Nehrebecka, N. (2019). Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 37 (2), 681-712. https://doi.org/10.18045/zbefri.2019.2.681
MLA 8th Edition
Nehrebecka, Natalia. "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, vol. 37, no. 2, 2019, pp. 681-712. https://doi.org/10.18045/zbefri.2019.2.681. Accessed 22 Sep. 2026.
Chicago 17th Edition
Nehrebecka, Natalia. "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business 37, no. 2 (2019): 681-712. https://doi.org/10.18045/zbefri.2019.2.681
Harvard
Nehrebecka, N. (2019). 'Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures', Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 37(2), pp. 681-712. https://doi.org/10.18045/zbefri.2019.2.681
Vancouver
Nehrebecka N. Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business [Internet]. 2019 [cited 2026 September 22];37(2):681-712. https://doi.org/10.18045/zbefri.2019.2.681
IEEE
N. Nehrebecka, "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures", Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, vol.37, no. 2, pp. 681-712, 2019. [Online]. https://doi.org/10.18045/zbefri.2019.2.681
Full text: english pdf 1.590 Kb
page 681-712
downloads: 881
cite
APA 6th Edition
Nehrebecka, N. (2019). Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 37 (2), 681-712. https://doi.org/10.18045/zbefri.2019.2.681
MLA 8th Edition
Nehrebecka, Natalia. "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, vol. 37, no. 2, 2019, pp. 681-712. https://doi.org/10.18045/zbefri.2019.2.681. Accessed 22 Sep. 2026.
Chicago 17th Edition
Nehrebecka, Natalia. "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures." Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business 37, no. 2 (2019): 681-712. https://doi.org/10.18045/zbefri.2019.2.681
Harvard
Nehrebecka, N. (2019). 'Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures', Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 37(2), pp. 681-712. https://doi.org/10.18045/zbefri.2019.2.681
Vancouver
Nehrebecka N. Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures. Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business [Internet]. 2019 [cited 2026 September 22];37(2):681-712. https://doi.org/10.18045/zbefri.2019.2.681
IEEE
N. Nehrebecka, "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures", Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu / Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, vol.37, no. 2, pp. 681-712, 2019. [Online]. https://doi.org/10.18045/zbefri.2019.2.681
Abstract
In recent years, there has been a lot of scientific research stressing the importance of understanding and measuring concentration risk in credit portfolios. The article presents credit risk measurement within the capital requirements regulation of the corporate sector. Main objective is to assess the financial stability of the banking sector from a credit risk perspective. The empirical analysis was based on the individual data from different sources (covering the period 2007 -2018), which are as follows: prudential reporting, business register, financial and behavioural data and balance of payments. This paper analyses the exposure of Polish banks to credit risk arising from different economic sectors. The evaluation includes the firm-level probabilities of default, loss given default, expected losses and unexpected losses. The measures of expected and unexpected losses were estimated by using a structural multi-risk factor approach. While conducting the research, it has been noticed that a credit risk differs across various industries as well as at different phases of economic cycle. Furthermore, the research results indicate that both from the standpoint of individual banks and prudential authorities the correlation risk is being underestimated.
Keywords
corporate sector; concentration risk; , capital requirements regulation
Hrčak ID:
231298
URI
https://hrcak.srce.hr/231298
Publication date:
27.12.2019.
Article data in other languages:
croatian
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