Modelling credit risk with soft facts for micro firms and Smes

Giampaolo Gabbi, Massimo Matthias and Michele Giammarino
Additional contact information
Massimo Matthias: Università di Siena
Michele Giammarino: Banca MPS

BANCARIA, 2019, vol. 1, 32-47

Abstract: We investigate how the use of quantitative along with qualitative variables may improve the evaluation of the creditworthiness of micro, small and medium firms. We harden qualitative variables in order to assign ratings to borrowers. The survey covered a sample of about 17 thousand Italian companies observed during the financial crisis. Soft facts are determined within the balanced scorecard framework in order to find out the explanatory power of customers, business processes, learning and growth, and financial perspectives. The purpose to use such a variables is to estimate the resilience of firms during a crisis period, from the bank’s perspective. Our findings show that credit risk models integrating soft variables optimize the bankruptcy prediction

JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bancaria.it/en/modelling-credit-risk-wi ... micro-firms-and-smes (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:1:y:2019:m:january:p:32-47

Access Statistics for this article

BANCARIA is currently edited by Bancaria Editrice - the publisher of the Italian Banking Association

More articles in BANCARIA from Bancaria Editrice
Bibliographic data for series maintained by Francesco Emiliano Tani ().