Economics in a picture
Risk of bank’s corporate loans portfolio decreasing since 2013
Credit risk to companies in the portfolio of Portuguese banks has been decreasing since 2013. This decrease is observed in the expected loss and in the value-at-risk (potential large losses which occur with very low probability). This trend is corroborated by other risk measures.
Value-at-risk is especially affected by the interdependence of corporate defaults. In the period under analysis there is a greater reduction in the value-at-risk than in the amount of the expected loss. This result suggests that the Portuguese banks' loan portfolio has become more diversified, which is related to a large extent to a significant reduction in the importance of the construction sector.
For more details see Santos e Silva (2019): “Sectoral concentration risk in Portuguese banks’ loan exposures to non-financial firms”, published in Banco de Portugal Economic Studies (Vol. 5, N. 1).
Prepared by António Santos and Nuno Silva. The analyses, opinions and findings expressed above represent the views of the authors and not necessarily those of Banco de Portugal or the Eurosystem.
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