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Covid-19 e rischio di insolvenza: il punto di vista del mercato azionario

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Abstract

The Covid-19 pandemic has been a big shock for economic systems. Governments and Central Banks quickly got fundamental decisions to counteract the main effects of the pandemic. Here the increase of default risk of Italian industrial corporates is studied. The perspective adopted is that of stock market: effectively the share prices have been deeply affected by the pandemic and this research has used data from 69 Italian listed companies. The probabilities of default of these firms have been estimated with the recourse to the Merton’s model and its adaptation from KMV. Statistical results show a significant rise of the credit risk metrics in 2020’s early months, followed then by a fast recovery.

Suggested Citation

  • Franco Varetto, "undated". "Covid-19 e rischio di insolvenza: il punto di vista del mercato azionario," IRCrES Working Paper 202110, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
    • Handle: RePEc:csc:ircrwp:202110
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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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