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
URN:urn:nbn:de:hebis:30:3-525805
DOI:https://doi.org/10.3390/jrfm12020089
ISSN:1911-8074
ISSN:1911-8066
Parent Title (English):Journal of risk and financial management
Publisher:MDPI
Place of publication:Basel
Document Type:Article
Language:English
Year of Completion:2019
Date of first Publication:2019/05/17
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2019/12/23
Tag:asset-backed securities; credit scoring; probability of default; small and medium enterprises
Volume:12
Issue:2, Art. 89
Page Number:28
First Page:1
Last Page:28
Note:
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
Note:
Auch erschienen als: SAFE working paper series ; No. 262
HeBIS-PPN:458294365
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universit├Ątspublikationen
Licence (German):License LogoCreative Commons - Namensnennung 4.0