Advanced Search
MyIDEAS: Login to save this paper or follow this series

A parsimonious default prediction model for Italian SMEs

Contents:

Author Info

  • Chiara Pederzoli

    ()

  • Costanza Torricelli

    ()

Abstract

In the light of the fundamental role played by small and medium enterprises (SMEs) in the economy of many countries including Italy and of the specific treatment of this issue within the Basel II regulation, the aim of this work is to build a default prediction model for the Italian SMEs. Specifically, we develop a logit model based on financial ratios: using the AIDA database, we focus the attention on a specific region in Italy, Emilia Romagna, where SMEs represent the firms’ majority . We find that a parsimonious model based on only four explanatory variables fits well the default data.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cefin.unimore.it/sites/default/files/CefinWP22.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" in its series Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) with number 10061.

as in new window
Length: pages 15
Date of creation: Jun 2010
Date of revision:
Handle: RePEc:mod:wcefin:10061

Contact details of provider:
Web page: http://www.economia.unimore.it
More information through EDIRC

Related research

Keywords: credit default prediction; SMEs; Basel II;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07071, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  2. Elisabetta Gualandri & Andrea Landi & Valeria Venturelli, 2009. "Financial Crisis And New Dimensions Of Liquidity Risk: Rethinking Prudential Regulation And Supervision," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09011, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  3. Brunetti Marianna, 2007. "Population Ageing, Household Portfolios and Financial Asset Returns: a Survey of the Literature," Politica economica, Società editrice il Mulino, issue 2, pages 171-208.
  4. Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2008. "Optimization Heuristics for Determining Internal Rating Grading Scales," Working Papers 005, COMISEF.
  5. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08101, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  6. Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  7. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009. "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09032, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  8. repec:col:000162:006653 is not listed on IDEAS
  9. Carlo Alberto Magni, 2009. "Accounting and economic measures:An integrated theory of capital budgeting," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09121, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  10. repec:col:000162:005983 is not listed on IDEAS
  11. Costanza Torricelli, 2009. "Models For Household Portfolios And Life-Cycle Allocations In The Presence Of Labour Income And Longevity Risk," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09033, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  12. S. Muzzioli, 2010. "Option-based forecasts of volatility: an empirical study in the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 561-586.
  13. Carlo Alberto Magni, 2010. "Average internal rate of return and investment decisions: A new perspective," PROYECCIONES FINANCIERAS Y VALORACION 006653, MASTER CONSULTORES.
  14. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  15. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Stefano Cosma & Elisabetta Gualandri, 2014. "The sovereign debt crisis: the impact on the intermediation model of Italian banks," BANCARIA, Bancaria Editrice, vol. 2, pages 48-60, February.
  2. Chiara Pederzoli & Grid Thoma & Costanza Torricelli, 2013. "Modelling Credit Risk for Innovative SMEs: the Role of Innovation Measures," Journal of Financial Services Research, Springer, vol. 44(1), pages 111-129, August.
  3. Marianna SUCCURRO & Lidia MANNARINO, 2014. "The Impact Of Financial Structure On Firms’ Probability Of Bankruptcy: A Comparison Across Western Europe Convergence Regions," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 14(1), pages 81-94.
  4. 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".
  5. 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".

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:mod:wcefin:10061. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Giuseppe Marotta).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.