TY  - JOUR
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  - Journal of risk and financial management
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.
KW  - credit scoring
KW  - probability of default
KW  - small and medium enterprises
KW  - asset-backed securities
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/52580
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-525805
SN  - 1911-8074
SN  - 1911-8066
N1  - This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited
N1  - Auch erschienen als: SAFE working paper series ; No. 262
VL  - 12
IS  - 2, Art. 89
SP  - 1
EP  - 28
PB  - MDPI
CY  - Basel
ER  -