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A vulnerability analysis of Irish SME credit exposures

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  • McGeever, Niall

    (Central Bank of Ireland)

Abstract

I use loan-level data from three major banks to analyse the stock of performing Irish SME credit exposures as at June 2018. I calculate a vulnerability score for each exposure by linking borrower characteristics and macroeconomic conditions to historical default outcomes. I find evidence of improvement in the condition of the aggregate SME portfolio, but a subset of exposures – accounting for 7.3 per cent of performing balances – continue to have high vulnerability scores. These exposures are spread across all regions. Accommodation & Food and Wholesale & Retail borrowers account for a large share of high vulnerability balances, while borrowers in the Agriculture, Forestry & Fishing and Manufacturing sectors are under-represented relative to their share of outstanding credit.

Suggested Citation

  • McGeever, Niall, 2019. "A vulnerability analysis of Irish SME credit exposures," Financial Stability Notes 7/FS/19, Central Bank of Ireland.
    • Handle: RePEc:cbi:fsnote:7/fs/19
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    File URL: https://www.centralbank.ie/docs/default-source/publications/financial-stability-notes/no-7-a-vulnerability-analysis-of-irish-sme-credit-exposures-(mcgeever).pdf?sfvrsn=5
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