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Modelling Credit Risk for Innovative SMEs: the Role of Innovation Measures

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  • Chiara Pederzoli
  • Grid Thoma
  • Costanza Torricelli

    ()

Abstract

Small-medium enterprises (SMEs) encounter financial constraints when they try to obtain credit from banks. These constraints are particularly severe for innovative SMEs. Thus, developing models for innovative SMEs that provide reliable estimates of their probabilities of default (PD) is important because the PDs can also serve as ratings. We examine the role of innovative assets such as patents in credit risk modelling due to their signaling value. Specifically, we add to a logit model two innovation-related variables in order to account for both the dimension and the value of the patent portfolio. Based on a unique data set of innovative SMEs with default years of 2005–2008, we show that, although the value of the patent portfolio always reduces the PD, its dimension reduces the firm’s riskiness only if coupled with an appropriate equity level. Copyright Springer Science+Business Media New York 2013

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File URL: http://hdl.handle.net/10.1007/s10693-012-0152-0
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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 44 (2013)
Issue (Month): 1 (August)
Pages: 111-129

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Handle: RePEc:kap:jfsres:v:44:y:2013:i:1:p:111-129

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Innovative small-medium enterprises; Default probability; Patent value; R&D productivity; G21; G32; C25; O34;

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References

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Citations

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Cited by:
  1. Stefano Cosma & Elisabetta Gualandri, 2013. "The sovereign debt crisis: the impact on the intermediation model of Italian banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13102, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  2. Chiara Pederzoli & Costanza Torricelli, 2013. "Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13091, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  3. Elisabetta Gualandri & Valeria Venturelli, 2013. "The financing of Italian firms and the credit crunch: findings and exit strategies," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13101, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".

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