The Report aims to take stock of the products and services currently developed, and/ or under development in the different Central Balance-Sheet Data Offices members of it. To that aim, it was developed a questionnaire to acknowledge the different work done across Europe. The questionnaire comprises five parts: General Information, Raw data, Products and Services (P&S), Future P&S and Summary Table.
Get Insights: Portfolio of selected economic and financial indicators enabling to easily get a picture of the most recent situation of European non-financial corporations also exploring developments on European business environment and specific topics concerning companies.
Outlooks: Analysis papers, dealing with different aspects of the economic and financial situation of European companies, based on information from the BACH database.
You may also find a list of studies based on BACH data done by external researchers at the BACH and ERICA website.
The papers in 1997, 2000 and 2005 were published under the former name "Own Funds Working Group".
The paper in 2013 was published under the name “Study Group”.
Publications associated with the Financial Statement Analysis Working Group:
Mouriaux F., Foulcher-Darwish S.: Corporate equity and financial stability: An approach based on net worth at risk, Banque de France, Financial Stability Review, No. 8, May 2006
The research of the Working Group on Risk Assessment of the ECCBSO is dedicated to credit risk modelling and measurement. Main research contributions are published individually by the single National Central Banks.
WGRA Publications
Credit Risk Assessment Revisited:
WGRA (2007), Credit Risk Assessment Revisited
The collection of papers contained in this publication shows well the spirit behind the work of this group. The papers do not only address concrete and timely problems in credit risk assessment from a purely methodological side but also study their practical implications.
European Central Bank (ECB) Publications
Laura Auria, Markus Bingmer, Carlos Mateo Caicedo Graciano, Clémence Charavel, Sergio Gavilá, Alessandra Iannamorelli, Aviram Levy, Alfredo Maldonado, Florian Resch, Anna Maria Rossi, Stephan Sauer (October, 2021) , Overview of central banks' in-house credit assessment systems in the euro area, Occasional Paper Series of ECB, Nr. 284, October 2021
The paper analyses in detail the role of ICASs in the context of the Eurosystem's credit operations, describing the relevant Eurosystem guidelines and requirements in terms of, among other facztors, the estimation of default probabilities, the role of statistical models versus expert analysis, input data, validation analysis and performance monitoring.
Economic Bulletin Issue 6, 2022 (europa.eu):
(September, 2022) , Common minimum standards for incorporating climate change risks into in-house credit assessment systems in the Eurosystem, Economic Bulletin Issue 6, 2022, Issue 6, September 2021
The article describes the common miniumum standards for incorporating climate change risks in ICAS ratings publciations
Österreichische Nationalbank (OeNB) Publications
https://oenb.at/dam/jcr:2e962f5a-21bb-4dcb-b356-28da75dffc48/stat_2015_q4_analyse_leitner.pdf:
Christoph Leitner, Manuel Mayer (2015), Common Credit Assessment System zur Bonitätsbeurteilung von nichtfinanziellen Unternehmen - das statistische Ratingmodell, "Statistiken": OeNB's quarterly paper series for statistical, Q4/2015
The paper describes the statistical model used in CoCAS for the public audience.
https://oenb.at/dam/jcr:6a55795d-aa3b-4b6a-81f5-29cc843b9389/stat_2016_q3_analyse_leitner.pdf:
Christoph Leitner (2016), Validierung des In-house Credit Assessment Systems der OeNB, "Statistiken": OeNB's quarterly paper series for statistical publciations, Q3/2016
The paper describes the valdiation methodology for ICASs for the public audience.
Sabine Wukovits (2016), Bonitätsbeurteilung von nichtfinanziellen Unternehmen - das OeNB-Expertenmodell, "Statistiken": OeNB's quarterly paper series for statistical publciations, Q1/2016
The paper describes the expert modell used in the human analysis of OeNB's ICASs for the public audience.
Banque de France (BdF) Publications
Banque de France, January 2022, La COTATION guide de référence
Description of the credit assessment activity and how the ratings are elaborated
Christophe Cahn, Mattia Girotti , Federica Salvadè, (August 2018), External Credit Ratings and Bank Lending, Working Papers from Banque de France, WP 691, August 2018
Study on how third-party rating information influences firms' access to bank financing and real outcomes, exploiting a refinement in the rating scale that occurred in 2004.
Banque de France (2014), The Banque de France company rating system:a tool to facilitate companies’ access to bank credit, Quarterly selection of articles - Bulletin de la Banque de France, Nr. 35, Autumn 2014
Presentation of the rating of non-financial corporations process by a NCB, highlighting its integration in the mission of the BDF, its main characterics, its legal framework and its use for credit institutions and companies.
Deutsche Bundesbank (BBk) Publications
https://www.bundesbank.de/en/tasks/monetary-policy/collateral/credit-assessment:
The Bundesbank’s credit assessment system, Website of Deutsche Bundesbank, 19/12/2023
Description of credit assessment for NGAAP companies: Topics covered: Eligibility assessment, Model development process, Ratios, The credit assessment process, Outcome of the credit assessment
https://www.bundesbank.de/en/tasks/monetary-policy/collateral/credit-assessment:
How the Bundesbank assesses the credit standing of groups which report under International Financial Reporting Standards (IFRS), Leaflet on the website of Deutsche Bundesbank, 19/12/2023
Description of credit assessment for IFRS companies: Topics covered: Eligibility assessment, Model development process, Ratios, The credit assessment process, Outcome of the credit assessment
https://www.lswb-magazin.bayern:
Franz Josef Benedikt (06/06/2019), Deutsche Bundesbank bietet umfassenden kostenlosen Bonitäts-Check für Unternehmen, Magazine of the regional association of tax consultants and auditors in Bavaria, 06/06/2019
Reasons of credit assessment by ICAS, usage of the credit assessment, process, required information
Justus Grundmann, Anna Silberbach, Laura Auria (February 2023), Including Carbon Taxation Risk in Deutsche Bundesbank’s In-house Credit Assessment System (ICAS): An Empirical Analysis, Deutsche Bundesbank technical paper, February 2023
The present exercise aims at analysing the potential financial risks resulting from a carbon intensive production conveyed through an increased tax burden. It is based on the idea of scenario analysis and uses respectively the European Emissions Trading System (EU ETS) and self-reported emission data as a data source for corporations using national generally accepted accounting principles (GAAP) and IFRS.
Justus Grundmann, Laura Auria (Oktober 2023), Including Carbon Taxation Risk in Deutsche Bundesbank’s In-house Credit Assessment System (ICAS): An Empirical Analysis, SUERF Policy Brief Nr. 695, October 2023
The present exercise aims at analysing the potential financial risks resulting from a carbon intensive production conveyed through an increased tax burden. It is based on the idea of scenario analysis and uses respectively the European Emissions Trading System (EU ETS) and self-reported emission data as a data source for corporations using national generally accepted accounting principles (GAAP) and IFRS.
Die Bonitätsanalyse der Deutschen Bundesbank für Wirtschaftsunternehmen, Quarterly magazine (3/2019) of the chamber of auditors
Short description of Bundesbanks credit assessment and its advantages for corporations, auditors and the Bundesbank
Banca d'Italia (BdI) Publications
https://www.bancaditalia.it/pubblicazioni/qef/index.html:
Filippo Giovannelli, Alessandra Iannamorelli, Aviram Levy, Marco Orlandi (17/11/2020),The In-house Credit Assessment System of Banca d’Italia, Banca d'Italia Occasional Papers (no. 586/2020)
Descriptive document on the BI-ICAS aims and functioning, including technical aspects on the system's architecture, process and coverage.
https://www.bancaditalia.it/pubblicazioni/mercati-infrastrutture-e-sistemi-di-pagamento/index.html:
Laura Auria, Markus Bingmer, Carlos Mateo Caicedo Graciano, Clémence Charavel, Sergio Gavilá, Alessandra Iannamorelli, Aviram Levy, Alfredo Maldonado, Florian Resch, Anna Maria Rossi, Stephan Sauer (November 2021), Overview of central banks’ in-house credit assessment systems in the euro area, Markets, Infrastructures, Payment Systems; Institutional Issues (no. 13/2021)
Comparative description of all the ICASs developed within Eurosystem
https://www.bancariaeditrice.it/la-gestione-dei-rischi-finanziari-e-climatici:
Il sistema interno della Banca d’Italia per la valutazione del merito di credito delle imprese, La gestione dei rischi finanziari e climatici. L'esperienza in una banca centrale. Bancaria Editrice, April 2022.
Single chapter (within a broader pubblication) describing the BI-ICAS aims and functioning, including technical aspects on the system's architecture, process and coverage.
https://www.bancaditalia.it/pubblicazioni/mercati-infrastrutture-e-sistemi-di-pagamento/index.html:
Stefano Di Virgilio, Ivan Faiella, Alessandro Mistretta, Simone Narizzano (September 2023), Assessing credit risk sensitivity to climate and energy shocks, Market, Infrastructures, Payment System
The paper assess the senstivity of italian firms (evaluated by the ICAS model) to the introduction of a carbon tax. The carbon tax can take different values according to the NGFS scenario and its impact is projected to the balance sheet via the elasticity of the demand for energy consumption.
Banco de Portugal (BdP) Publications
https://www.bportugal.pt/en/paper/firm-default-probabilities-revisited:
António Antunes, Homero Gonçalves, Pedro Prego (April 2016), Firm default probabilities revisited
This article describes a tool to assess the creditworthiness of the Portuguese non-financial firms.
Banco de Espana (BdE) Publications
https://www.bde.es/f/webbde/GAP/Secciones/Publicaciones/InformesBoletinesRevistas/RevistaEstabilidadFinanciera/20/mayo/en/Banco_Espana_in_house_credit.pdf:
Sergio Gavilá, Alfredo Maldonado, Antonio Marcelo, The Banco de España in-house credit assessment system, Banco de España Financial Stability Review, Issue38
The paper describes the role of ICASs in general and the Banco de España ICAS in particular as a source of credit assessment, including aspects on the non-financial companies assessed, information sources, credit assessment system (statistical and expert model) and expansion plans.
Roberto Blanco, Sergio Mayordomo, Álvaro Menéndez, Maristela Mulino (2020), Spanish Non-financial corporations' liquidity needs and solvency after the covid-19 shock, Banco de España Occasional Paper, No. 2020
The paper analyses the impact of the Covid-19 pandemic on Spanish non-financial corporations. Banco de España ICAS' ratings are used as input to assess the impact on the financial vulnerability of the companies
Sergio Gavilá, Lola Morales (06/06/2023), The role of loans and the ICAS BE in the Eurosystem’s collateral framework in 2023, Banco de España Economic Bulletin, 2023/Q2
The paper analyses the recent evolution of the share of non-marketable assets pledged as collateral by the Spanish counterparties in the monetary policy credit operations focusing on the current and future role played by the Banco de España’s corporate credit assessment system (ICAS BE)
National Bank of Poland (NBP) Publications
Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic, Econ Change Restruct 56, 129–158 (2023)
The aim of the work underpinning this paper has been to track the evolution of tail risk in banks’ NPL portfolios present under normal and worst conditions (before and during the pandemic of COVID-19), and to estimate the impact of sector concentration risk on amounts of economic capital.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4545090:
Natalia Nehrebecka, Kai Xing, (2023), The Relationship between ESG Performance and Corporate Financial Performance, SSRN (2023)
This paper presents the economic theories related to ESG (Environment, Society, Governance), CSR (Corporate Social Responsibility) and CFP (Corporate Financial Performance). The main goal is to analyze the relationship between ESG performance and corporate financial performance using a sample of 1719 non-financial companies listed on S&P 500, Nikkei 500, S&P ASX 300, CSI 300, FTSE 350 and S&P Europe 350 index and considering a time span of twelve years (from 2010 to 2021).
Bank of Greece (BoG) Publications
© ECCBSO