Artikel
Die hard: Probability of default and soft information
The research aims to verify whether the credit risk of small and medium-sized enterprises can be estimated more accurately using qualitative variables together with financial information from reports. In our paper, we select qualitative variables within the conceptual framework of the balanced scorecard to assess the credit quality of Italian companies of various sizes, from micro to medium. Data were collected to estimate the company's resilience following the shock of the financial crisis of 2007-2008. The analysis based on customer size, processes, knowledge, and corporate finance, synthesized with balanced scorecard methodology, allows us to estimate the resilience of companies in a period of crisis. The research highlights the important contribution of qualitative variables for the estimation of credit risk. The implications concern both financial intermediaries and their supervisory functions, and regulators for rating models based on soft forward and countercyclical variables.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-12 ; Basel: MDPI
- Classification
-
Wirtschaft
- Subject
-
modeling credit risk
qualitative variables
rating
balanced scorecards
SME
- Event
-
Geistige Schöpfung
- (who)
-
Gabbi, Giampaolo
Giammarino, Michele
Matthias, Massimo
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2020
- DOI
-
doi:10.3390/risks8020046
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Gabbi, Giampaolo
- Giammarino, Michele
- Matthias, Massimo
- MDPI
Time of origin
- 2020
Other Objects (12)
Probability of default and default correlations
Validation of corporate probability of default models considering alternative use cases
Diversification can control probability of default or risk, but not both
Non-Performing loans for Italian companies: When time matters. an empirical research on estimating probability to default and loss given default
Default ambiguity
Persistence of bank credit default swap spreads
A model of protocoalition bargaining with breakdown probability
Sovereign default forecasting in the era of the COVID-19 crisis
What explains the sovereign credit default swap spreads changes in the GCC region?
Crypto-coins and credit risk: Modelling and forecasting their probability of death
Bayesian default probability models
The Output Costs of Hard and Soft Sovereign Default
Probability of default and default correlations
Validation of corporate probability of default models considering alternative use cases
Diversification can control probability of default or risk, but not both
Non-Performing loans for Italian companies: When time matters. an empirical research on estimating probability to default and loss given default
Default ambiguity
Persistence of bank credit default swap spreads
A model of protocoalition bargaining with breakdown probability
Sovereign default forecasting in the era of the COVID-19 crisis
What explains the sovereign credit default swap spreads changes in the GCC region?
Crypto-coins and credit risk: Modelling and forecasting their probability of death
Bayesian default probability models
The Output Costs of Hard and Soft Sovereign Default
Probability of default and default correlations
Validation of corporate probability of default models considering alternative use cases
Diversification can control probability of default or risk, but not both
Non-Performing loans for Italian companies: When time matters. an empirical research on estimating probability to default and loss given default
Default ambiguity
Persistence of bank credit default swap spreads
A model of protocoalition bargaining with breakdown probability
Sovereign default forecasting in the era of the COVID-19 crisis
What explains the sovereign credit default swap spreads changes in the GCC region?
Crypto-coins and credit risk: Modelling and forecasting their probability of death
Bayesian default probability models