Using DEA and financial ratings for credit risk evaluation: an empirical analysis

被引：20
|
作者：
Iazzolino, Gianpaolo [1 ]
Bruni, Maria Elena [1 ]
Beraldi, Patrizia [1 ]
机构：
[1] Univ Calabria, Dept Mech Energy & Management Engn DIMEG, I-87036 Cosenza, Italy
来源：
APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 14期
关键词：
credit risk; credit rating; DEA; efficiency; MORE; leather industry; G32; G33; C14; ENVELOPMENT ANALYSIS; EFFICIENCY; BANKRUPTCY; RATIOS;
D O I：
10.1080/13504851.2013.806771
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The article deals with the methodologies for credit risk evaluation. It describes an empirical analysis carried out on a sample of Italian firms belonging to the leather manufacturing and wholesale industry. The study uses the efficiency, calculated through data envelopment analysis (DEA), and the credit rating at the same time. As long as efficiency is calculated by using inputs and outputs strictly linked to the credit reliability of the firm, the study confirms that there is a relationship between efficiency and credit rating, and then that efficiency can be considered as an early warning index for evaluating credit risk.
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页码：1310 / 1317
页数：8
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