We estimate a model of credit risk for portfolios of small and medium-sized enterprises, conditional on being a nonprofit (NP) or for-profit (FP) firms. The estimation is based on a unique data set on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for NP and FP firms. Traditional balance sheet information seems to be less crucial for NP firms.
Barbara, L., Massimiliano, M., Antonello, E.S. (2008). Credit risk and Basel II: Are non-profit firms financially different?. APPLIED FINANCIAL ECONOMICS LETTERS, 4(3), 199-203.
Credit risk and Basel II: Are non-profit firms financially different?
MARZO, MASSIMILIANO;SCORCU, ANTONELLO EUGENIO
2008
Abstract
We estimate a model of credit risk for portfolios of small and medium-sized enterprises, conditional on being a nonprofit (NP) or for-profit (FP) firms. The estimation is based on a unique data set on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for NP and FP firms. Traditional balance sheet information seems to be less crucial for NP firms.File in questo prodotto:
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