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Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

Author

Listed:
  • Andrea Bedin

    () (Research Center SAFE, Goethe University, 60323 Frankfurt am Main, Germany)

  • Monica Billio

    () (Department of Economics, Ca’ Foscari University of Venice, 30121 Venice, Italy)

  • Michele Costola

    () (Research Center SAFE, Goethe University, 60323 Frankfurt am Main, Germany)

  • Loriana Pelizzon

    () (Research Center SAFE, Goethe University, 60323 Frankfurt am Main, Germany
    Department of Economics, Ca’ Foscari University of Venice, 30121 Venice, Italy)

Abstract

We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic regression to estimate the company default probability. We include loan-level default probabilities and recovery rates to estimate the loss distribution of the underlying assets. We find that bank securitised loans are less risky, compared to the average bank lending to small and medium enterprises.

Suggested Citation

  • Andrea Bedin & Monica Billio & Michele Costola & Loriana Pelizzon, 2019. "Credit Scoring in SME Asset-Backed Securities: An Italian Case Study," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-28, May.
  • Handle: RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:89-:d:232160
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    References listed on IDEAS

    as
    1. Anderson, Raymond, 2007. "The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation," OUP Catalogue, Oxford University Press, number 9780199226405.
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    More about this item

    Keywords

    credit scoring; probability of default; small and medium enterprises; asset-backed securities;

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • E - Macroeconomics and Monetary Economics
    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • G - Financial Economics

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