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 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 InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 601.
Date of creation: Jul 2007
Date of revision:
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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, 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, The Rimini Centre for Economic Analysis 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, 2007.
"Banks' riskiness over the business cycle: a panel analysis on Italian intermediaries,"
Applied Financial Economics, Taylor & Francis Journals,
Taylor & Francis Journals, vol. 17(2), pages 119-138.
- Mario Quagliariello, 2006. "BanksÂ’ Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 599, Bank of Italy, Economic Research and International Relations Area.
- Kraft, Kornelius & Czarnitzki, Dirk, 2004.
"Are Credit Ratings Valuable Information?,"
ZEW Discussion Papers, ZEW - Zentrum fÃ¼r EuropÃ¤ische Wirtschaftsforschung / Center for European Economic Research
04-07, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Dirk Czarnitzki & Kornelius Kraft, 2007. "Are credit ratings valuable information?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(13), pages 1061-1070.
- 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, Società editrice il Mulino, issue 2, pages 209-238.
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