Credit risk and Basel II: Are non-profit firms financially different?
AbstractWe estimate a model of credit risk for portfolios of Small and Medium-sized enterprises, conditional on being a non-profit or for-profit firms. The estimation is based on a unique dataset on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for non-profit andcrucial for non-profit firms. Classification-JEL: G21, G28
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Bibliographic InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 601.
Date of creation: Jul 2007
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Other versions of this item:
- Barbara Luppi & Massimiliano Marzo & Antonello Scorcu, 2008. "Credit risk and Basel II: are nonprofit firms financially different?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(3), pages 199-203.
- Barbara Luppi & Massimiliano Marzo & Antonello E. Scorcu, 2007. "Credit risk and Basel II: Are non-profit firms financially different?," Working Paper Series 30-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-24 (All new papers)
- NEP-BAN-2007-11-24 (Banking)
- NEP-FMK-2007-11-24 (Financial Markets)
- NEP-RMG-2007-11-24 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mario Quagliariello, 2006.
"BanksÂ’ Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries,"
Temi di discussione (Economic working papers)
599, Bank of Italy, Economic Research and International Relations Area.
- 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.
- Dirk Czarnitzki & Kornelius Kraft, 2007.
"Are credit ratings valuable information?,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 17(13), pages 1061-1070.
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