A parsimonious default prediction model for Italian SMEs

Chiara Pederzoli () and Costanza Torricelli

Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"

Abstract: 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.

Keywords: credit default prediction; SMEs; Basel II (search for similar items in EconPapers)
JEL-codes: G28 G31 (search for similar items in EconPapers)
Pages: pages 15
Date: 2010-06
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:mod:wcefin:0022

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