76 KB398 KB30 KB2025Volk, Matjaž1 spletni vir (1 datoteka PDF (12 str.))COBISSID:224326659ISBN:978-961-7230-12-3URN:URN:NBN:SI:doc-6ZOJ8ED0enBanka SlovenijeknjigeRisk-based loan pricing by euro area banks|This paper analyzes the risk sensitivity of lending rates among euro area banks using detailed AnaCredit data. The analysis indicates that for each percentage point increase in the probability of default (PD), banks increase lending spreads to non-financial corporations by approximately 9 basis points. This relatively low sensitivity may be partly attributed to the through-the-cycle nature of PDs. The study also reveals that better-capitalised banks exhibit higher sensitivity, likely due to greater caution in risk assessment and more accurate risk pricing by banks with larger equity stakes. Addition-ally, the results show increased risk sensitivity for firms with lower PDs, larger banks, and in less competitive loan markets. The sensitivity remains consistent across different phases of the monetary cycle but intensifies for firms with lower PDs during recent tightening and easing phasesTEXTknjigebooksSlovenian National E-content AggregatorNational and University Library of Slovenia