TY  - UNPD
A1  - Bedin, Andrea
A1  - Billio, Monica
A1  - Costola, Michele
A1  - Pelizzon, Loriana
T1  - Credit scoring in SME asset-backed securities : an Italian case study
T2  - SAFE working paper series ; No. 262
N2  - 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.
T3  - SAFE working paper - 262 
KW  - credit scoring
KW  - probability of default
KW  - small and medium enterprises
KW  - assetbacked securities
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/51148
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-511488
UR  - https://ssrn.com/abstract=3469988
N1  - Auch erschienen in: Journal of risk and financial management, 12.2019, Nr. 2, Art. 89, doi:10.3390/jrfm12020089
IS  - October 14, 2019
PB  - SAFE
CY  - Frankfurt am Main
ER  -