Non-conventional data and default prediction: the challenge of companies’ websites

Small and Medium Enterprises (SMEs) contribution to the European Union economy has always been relevant, for both value added and the creation of jobs. That is why the prediction of their survival is considered one of the economic pillars UE keeps under observation. Default prediction models, accounting for SMEs idiosyncratic traits, are based on several types of data, mainly accounting indicators. Balance sheet data, indeed, are considered the standard predictors for classification models in this field, although they do not allow to completely overcome the information opacity that is one of the main barriers preventing these firms from accessing credit. In our work, we explore the possibility of complementing accounting information with data scraped from the firms’ websites. We modeled the data using a nonlinear discriminant analysis and we benchmarked the results with the Logistic Regression. The evidence of our study is promising although the combination of online and offline data shows better results in case of survival firms than for defaulted companies.