信用风险与巴塞尔协议II:非营利性公司在财务上不同吗?

Applied Financial Economics Letters Pub Date : 2008-04-21 DOI:10.1080/17446540701604283

Barbara Luppi, Massimiliano Marzo, A. Scorcu

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引用次数: 4

摘要

我们估计了中小企业投资组合的信用风险模型，条件是成为非营利(NP)或营利性(FP)公司。这一估计是基于一家大型商业银行提供的关于意大利公司的独特数据集。我们表明,主要变量来确定NP和FP公司信誉是不同的。传统的资产负债表信息似乎对NP公司不那么重要。

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Credit risk and Basel II: are nonprofit firms financially different?

We estimate a model of credit risk for portfolios of small and medium-sized enterprises, conditional on being a nonprofit (NP) or for-profit (FP) firms. The estimation is based on a unique data set on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for NP and FP firms. Traditional balance sheet information seems to be less crucial for NP firms.

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Applied Financial Economics Letters

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