Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

Andrea Bedin, Monica Billio, Michele Costola and Loriana Pelizzon ()
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Andrea Bedin: Research Center SAFE, Goethe University, 60323 Frankfurt am Main, Germany
Michele Costola: Research Center SAFE, Goethe University, 60323 Frankfurt am Main, Germany

JRFM, 2019, vol. 12, issue 2, 1-28

Abstract: We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic regression to estimate the company default probability. We include loan-level default probabilities and recovery rates to estimate the loss distribution of the underlying assets. We find that bank securitised loans are less risky, compared to the average bank lending to small and medium enterprises.

Keywords: credit scoring; probability of default; small and medium enterprises; asset-backed securities (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Working Paper: Credit scoring in SME asset-backed securities: An Italian case study (2019)
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