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Logit statico, Logit dinamico e modelli hazard

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Abstract

The application of survival analysis to credit risk has received a lot of attention and is the base of many empirical research. Here that analysis has been applied to a sample of Italian corporates working in the metallurgical sector. The survival analysis in the discrete and continuous domains have been compared to the traditional static logit regression. The results have been raised some interesting problems in both life table and dynamic logit regression; in the first case the heterogeneous aggregation of observations can produce difficulties in the interpretation of the metrics of the table; in the second case the treatment of the past observation of bad companies as observation from good companies reduces the accuracy of the model and contributes to obscure the identification of typical patterns to default.

Suggested Citation

  • Franco Varetto, 2022. "Logit statico, Logit dinamico e modelli hazard," IRCrES Working Paper 202211, 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:202211
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    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • 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
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics

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