<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This paper aims to assess the level of credit risk (from the perspective of default risk) among Polish households associated with the physical risks of climate change. In order to determine the potential impact of the physical risk of climate change on household credit risk, we conducted CAWI interviews with 1,006 borrowers residing in different Polish voivodeships (to account for heterogeneity of credit exposures to extreme weather events). According to these respondents, wildfires and storms in Poland are the greatest source of physical risk of climate change. In the event of a wildfire or storm, approximately 13% of borrowers would not be able to repay their loans while not being insured, which potentially increases banks’ credit risk and exposes banks to losses. However, we find that households underestimate the credit risk that could arise from a drought.</p>
</abstract>

This paper aims to assess the level of credit risk (from the perspective of default risk) among Polish households associated with the physical risks of climate change. In order to determine the potential impact of the physical risk of climate change on household credit risk, we conducted CAWI interviews with 1,006 borrowers residing in different Polish voivodeships (to account for heterogeneity of credit exposures to extreme weather events). According to these respondents, wildfires and storms in Poland are the greatest source of physical risk of climate change. In the event of a wildfire or storm, approximately 13% of borrowers would not be able to repay their loans while not being insured, which potentially increases banks’ credit risk and exposes banks to losses. However, we find that households underestimate the credit risk that could arise from a drought.

Polish household default risk and physical risk of climate change

Financial Internet Quarterly

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Polish household default risk and physical risk of climate change"}

This paper aims to assess the level of credit risk (from the perspective of default risk) among Polish households associated with the physical risks of climate...

Polish household default risk and physical risk of climate change

Published Online: Oct 06, 2023

Page range: 87 - 99

Received: May 08, 2023

Accepted: Aug 31, 2023

DOI: https://doi.org/10.2478/fiqf-2023-0021

Keywords
Physical Risk, Credit Risk, Household Debt, Extreme Weather

© 2023 Łukasz Kurowski et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Polish household default risk and physical risk of climate change

Published Online: Oct 06, 2023

Page range: 87 - 99

Received: May 08, 2023

Accepted: Aug 31, 2023

DOI: https://doi.org/10.2478/fiqf-2023-0021

KeywordsPhysical Risk, Credit Risk, Household Debt, Extreme Weather

© 2023 Łukasz Kurowski et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Physical Risk, Credit Risk, Household Debt, Extreme Weather