The financial literature proposed many contributions to measure the credit risk, in this work a survival approach is proposed to reach this purpose. Having available the survival times for each credit line, the choice was oriented to survival models to evaluate the pathological death of the loan. A survival analysis was conducted on a dataset containing 5322 credits for Italian companies through a Cox model considering some risk factors about both the company and the loan. The selected Cox model led to the identification of risk profiles representing different situations in terms of probability of insolvency.
Marletta, A. (2021). The evaluation of credit risk using survival models: an application on Italian SMEs. STATISTICA & APPLICAZIONI, 19(2), 161-178 [10.263509/999999_000047].
The evaluation of credit risk using survival models: an application on Italian SMEs
Marletta, A
2021
Abstract
The financial literature proposed many contributions to measure the credit risk, in this work a survival approach is proposed to reach this purpose. Having available the survival times for each credit line, the choice was oriented to survival models to evaluate the pathological death of the loan. A survival analysis was conducted on a dataset containing 5322 credits for Italian companies through a Cox model considering some risk factors about both the company and the loan. The selected Cox model led to the identification of risk profiles representing different situations in terms of probability of insolvency.
| File | Dimensione | Formato | |
|---|---|---|---|
|
03txt_Marletta (2).pdf
accesso aperto
Tipologia di allegato:
Publisher’s Version (Version of Record, VoR)
Dimensione
1.21 MB
Formato
Adobe PDF
|
1.21 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
