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原文連結
論文資訊
- 類型：已發表論文
- 日期：2024-10-18
摘要
Realistic credit risk assessment, the estimation of losses due to a debtors failure, is central for maintaining financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from the real economy, supply chains in particular. Recent pandemics, geopolitical instabilities, and natural disasters demonstrated that supply chain shocks can contribute to financial losses large enough to threaten financial stability. Based on a unique nation-wide micro-dataset, containing practically all supply chain relations of all Hungarian firms, together with their bank loans, we develop a multi-layer shock propagation framework to estimate how 經濟 shocks to firms cascade in the supply chain 網絡 (SCN), leading to additional financial losses to fi
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