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.
No
Articolo in rivista - Articolo scientifico
Scientifica
Credit scoring, Survival Analysis, Insolvency risk, Default probability
English
161
178
18
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].
Marletta, A
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/389734
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