We estimate a model of credit risk for portfolios of Small and Medium-sized enterprises, conditional on being a non-profit or for-profit firms. The estimation is based on a unique dataset on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for non-profit and for-profit firms. Traditional balance sheet information seems to be less crucial for non-profit firms.
Credit risk and Basel II: Are nonprofit firms financially different? / Luppi, Barbara; Marzo, Massimiliano; ANTONELLO EUGENIO, Scorcu. - In: APPLIED FINANCIAL ECONOMICS LETTERS. - ISSN 1744-6546. - STAMPA. - 4:3(2008), pp. 199-203. [10.1080/17446540701604283]
Credit risk and Basel II: Are nonprofit firms financially different?
LUPPI, Barbara;
2008
Abstract
We estimate a model of credit risk for portfolios of Small and Medium-sized enterprises, conditional on being a non-profit or for-profit firms. The estimation is based on a unique dataset on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for non-profit and for-profit firms. Traditional balance sheet information seems to be less crucial for non-profit firms.
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