Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
1
Research Center SAFE, Goethe University, 60323 Frankfurt am Main, Germany
2
Department of Economics, Ca’ Foscari University of Venice, 30121 Venice, Italy
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(2), 89; https://doi.org/10.3390/jrfm12020089
Received: 31 March 2019 / Revised: 12 May 2019 / Accepted: 13 May 2019 / Published: 17 May 2019
(This article belongs to the Special Issue Risk Analysis and Portfolio Modelling)
Abstract
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. View Full-TextKeywords:
credit scoring; probability of default; small and medium enterprises; asset-backed securities
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Bedin, A.; Billio, M.; Costola, M.; Pelizzon, L. Credit Scoring in SME Asset-Backed Securities: An Italian Case Study. J. Risk Financial Manag. 2019, 12, 89.
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J. Risk Financial Manag.
EISSN 1911-8074
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