Influence of bank, portfolio and country-level characteristics

The results of the working paper show that, although EBA variables explain most part of credit risk provisions, there is evidence about the role played by bank-level variables, banking sector features in each country, and the specific characteristics of the portfolio in explaining part of the provisions. Moreover, the results also indicate the existence of complementary/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk provisions.

Please find the working paper here.