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A climate stress testing exercise on loans to European small and medium enterprises

Zhenghong Ding Orcid Logo, Yujia Chen, Luca Barbaglia Orcid Logo, Raffaella Calabrese, Serena Fatica Orcid Logo

JRC Publications Repository

Swansea University Author: Zhenghong Ding Orcid Logo

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...

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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
first_indexed 2025-09-23T16:02:20Z
last_indexed 2025-10-31T18:12:14Z
id cronfa70461
recordtype SURis
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spelling 2025-10-30T13:08:46.6729510 v2 70461 2025-09-23 A climate stress testing exercise on loans to European small and medium enterprises c633af9f6171d3786b674b4d5a255f06 0000-0001-6962-5699 Zhenghong Ding Zhenghong Ding true false 2025-09-23 CBAE 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. Working paper JRC Publications Repository European Commission 30 7 2025 2025-07-30 https://publications.jrc.ec.europa.eu/repository/handle/JRC142464 Working paper before certification by peer review. COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University 2025-10-30T13:08:46.6729510 2025-09-23T14:00:22.2489912 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Zhenghong Ding 0000-0001-6962-5699 1 Yujia Chen 2 Luca Barbaglia 0000-0001-5930-5392 3 Raffaella Calabrese 4 Serena Fatica 0000-0002-9990-4354 5
title A climate stress testing exercise on loans to European small and medium enterprises
spellingShingle A climate stress testing exercise on loans to European small and medium enterprises
Zhenghong Ding
title_short A climate stress testing exercise on loans to European small and medium enterprises
title_full A climate stress testing exercise on loans to European small and medium enterprises
title_fullStr A climate stress testing exercise on loans to European small and medium enterprises
title_full_unstemmed A climate stress testing exercise on loans to European small and medium enterprises
title_sort A climate stress testing exercise on loans to European small and medium enterprises
author_id_str_mv c633af9f6171d3786b674b4d5a255f06
author_id_fullname_str_mv c633af9f6171d3786b674b4d5a255f06_***_Zhenghong Ding
author Zhenghong Ding
author2 Zhenghong Ding
Yujia Chen
Luca Barbaglia
Raffaella Calabrese
Serena Fatica
format Working paper
container_title JRC Publications Repository
publishDate 2025
institution Swansea University
publisher European Commission
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url https://publications.jrc.ec.europa.eu/repository/handle/JRC142464
document_store_str 0
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description 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.
published_date 2025-07-30T12:40:00Z
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score 11.08895

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