Credit scoring in SME asset-backed securities : an Italian case study

  • 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.

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Author:Andrea Bedin, Monica BillioORCiDGND, Michele CostolaORCiD, Loriana PelizzonORCiDGND
Parent Title (English):SAFE working paper series ; No. 262
Series (Serial Number):SAFE working paper series (262)
Place of publication:Frankfurt am Main
Document Type:Working Paper
Year of Completion:2019
Year of first Publication:2019
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2019/10/21
Tag:assetbacked securities; credit scoring; probability of default; small and medium enterprises
Issue:October 14, 2019
Page Number:38
Auch erschienen in: Journal of risk and financial management, 12.2019, Nr. 2, Art. 89, doi:10.3390/jrfm12020089
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht