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Credit risk and Basel II: are nonprofit firms financially different?

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  • Barbara Luppi
  • Massimiliano Marzo
  • Antonello Scorcu

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.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 4 (2008)
Issue (Month): 3 ()
Pages: 199-203

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Handle: RePEc:taf:apfelt:v:4:y:2008:i:3:p:199-203

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  1. Dirk Czarnitzki & Kornelius Kraft, 2007. "Are credit ratings valuable information?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1061-1070.
  2. Bocchi Lorenzo & Lusignani Giuseppe, 2004. "Le nuove regole di "Basilea2": prime valutazioni di impatto sul rapporto banca-impresa in Italia," Banca Impresa Società, Società editrice il Mulino, issue 2, pages 209-238.
  3. Mario Quagliariello, 2007. "Banks' riskiness over the business cycle: a panel analysis on Italian intermediaries," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 119-138.
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