Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
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Daily Overview |
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Climate disasters: wildfires and floods Location: Auditorium C: Thore Johnsen Session Chair: Stefano Ceolotto, Euro-Mediterranean Center on Climate Change | |
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The Impact of Wildfires on Loss Given Default: Evidence from Defaulted Consumer Credits 1: Ghent University, Belgium; 2: Imperial College Business School; 3: IESEG School of Management Natural disasters are increasingly affecting the financial system. While most of the literature on natural disasters and credit losses focuses on probability of default, very little is known about what happens after default. In this study, we combine two unique datasets to provide novel empirical evidence on the financial impact of wildfires through a loss given default channel. First, we determine Italian provinces’ exposure to wildfires using geospatial data on burned areas derived from satellite imagery. Second, we exploit a proprietary dataset on defaulted consumer credits obtained from a third-party collection agency in Italy. Our results reveal a robust negative relationship between debtors’ exposure to wildfires and the realized recovery rate. By focusing on wildfires that occur during the recovery process of already-defaulted consumer credits, we are able to isolate a loss given default channel, complementing existing evidence on default probabilities. | |