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

38 Pages Posted: 22 Oct 2019

See all articles by Andrea Bedin

Andrea Bedin

Goethe University Frankfurt

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia

Michele Costola

Goethe University Frankfurt - Research Center SAFE

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration; Goethe University Frankfurt - Research Center SAFE; Ca Foscari University of Venice

Date Written: October 14, 2019

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; assetbacked securities

Suggested Citation

Bedin, Andrea and Billio, Monica and Costola, Michele and Pelizzon, Loriana, Credit Scoring in SME Asset-Backed Securities: An Italian Case Study (October 14, 2019). SAFE Working Paper No. 262 (2019). Available at SSRN: https://ssrn.com/abstract=3469988 or http://dx.doi.org/10.2139/ssrn.3469988

Andrea Bedin

Goethe University Frankfurt ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/persone/billio

Michele Costola

Goethe University Frankfurt - Research Center SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

Loriana Pelizzon (Contact Author)

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, D-60323
Germany

Goethe University Frankfurt - Research Center SAFE ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.safe-frankfurt.de

Ca Foscari University of Venice ( email )

Dorsoduro 3246
Venice, Veneto 30123
Italy

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