Working paper 160 views
A climate stress testing exercise on loans to European small and medium enterprises
Zhenghong Ding 
,
Yujia Chen,
Luca Barbaglia ,
Raffaella Calabrese,
Serena Fatica
,
Yujia Chen,
Luca Barbaglia ,
Raffaella Calabrese,
Serena Fatica
JRC Publications Repository
Swansea University Author:
Zhenghong Ding
Abstract
This paper assesses the impact of floods on credit to European small and medium-sized enterprises (SMEs) using a discrete-time survival model.We find a statistically significant relationship between the default probability of loans to SMEs and floods occurring in the region where the firm is located...
| Published in: | JRC Publications Repository |
|---|---|
| Published: |
European Commission
2025
|
| Online Access: |
https://publications.jrc.ec.europa.eu/repository/handle/JRC142464 |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa70461 |
| Abstract: |
This paper assesses the impact of floods on credit to European small and medium-sized enterprises (SMEs) using a discrete-time survival model.We find a statistically significant relationship between the default probability of loans to SMEs and floods occurring in the region where the firm is located.We propose a micro-level stress testing exercise to assess the performance of small business loans under different climate scenarios.Our results allow us to identify the European regions with heightened vulnerability under a stressed climate scenario and to quantify the impacts upon individual firms in terms of increases in loan default probability. |
|---|---|
| Item Description: |
Working paper before certification by peer review. |
| College: |
Faculty of Humanities and Social Sciences |