Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

被引：8

作者：

Bedin, Andrea ^{[1
]}

Billio, Monica ^{[2
]}

Costola, Michele ^{[1
]}

Pelizzon, Loriana ^{[1
,2
]}

机构：

[1] Goethe Univ, Res Ctr SAFE, D-60323 Frankfurt, Germany

[2] Ca Foscari Univ Venice, Dept Econ, I-30121 Venice, Italy

来源：

JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2019年 / 12卷 / 02期

关键词：

credit scoring; probability of default; small and medium enterprises; asset-backed securities; BANKRUPTCY PREDICTION; NEURAL-NETWORKS; DISCRIMINANT-ANALYSIS; FINANCIAL RATIOS;

D O I：

10.3390/jrfm12020089

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic regression to estimate the company default probability. We include loan-level default probabilities and recovery rates to estimate the loss distribution of the underlying assets. We find that bank securitised loans are less risky, compared to the average bank lending to small and medium enterprises.

引用

页数：28

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