IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

A parsimonious default prediction model for Italian SMEs

  • Chiara Pederzoli

    ()

  • Costanza Torricelli

    ()

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.

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

Paper provided by Universita di Modena e Reggio Emilia, Dipartimento 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

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. Elisabetta Gualandri & Andrea Landi & Valeria Venturelli, 2009. "Financial crisis and new dimensions of liquidity risk: rethinking prudential regulation and supervision," BANCARIA, Bancaria Editrice, vol. 7, pages 24-42, July.
  2. repec:col:000162:006653 is not listed on IDEAS
  3. Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2009. "Optimization Heuristics for Determining Internal Rating Grading Scales," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09031, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  4. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Center for Economic Research (RECent) 001, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  5. Carlo Alberto Magni, 2009. "Accounting and economic measures: an integrated theory of capital budgeting," PROYECCIONES FINANCIERAS Y VALORACION 005983, MASTER CONSULTORES.
  6. 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, Dipartimento di Economia "Marco Biagi".
  7. 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, Dipartimento di Economia "Marco Biagi".
  8. Silvia Muzzioli, 2008. "Option based forecasts of volatility: An empirical study in the DAX index options market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08051, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  9. Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Center for Economic Research (RECent) 021, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  10. Brunetti Marianna, 2007. "Population Ageing, Household Portfolios and Financial Asset Returns: a Survey of the Literature," Politica economica - Journal of Economic Policy (PEJEP), Società editrice il Mulino, issue 2, pages 171-208.
  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, Dipartimento di Economia "Marco Biagi".
  12. Carlo Alberto Magni, 2010. "Average Internal Rate of Return and investment decisions: A new perspective," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10021, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  13. 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, Dipartimento di Economia "Marco Biagi".
  14. repec:col:000162:005983 is not listed on IDEAS
  15. 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, Dipartimento di Economia "Marco Biagi".
Full references (including those not matched with items on IDEAS)

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

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.