Credit risk and Basel II: are nonprofit firms financially different?
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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Volume (Year): 4 (2008)
Issue (Month): 3 ()
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- Fabrizio Fabi & Sebastiano Laviola & Paolo Marullo Reedtz, 2005. "Lending decisions, procyclicality and the New Basel Capital Accord," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 361-91 Bank for International Settlements.
- Dirk Czarnitzki & Kornelius Kraft, 2007.
"Are credit ratings valuable information?,"
Applied Financial Economics,
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, issue 2, pages 209-238.
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