Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/204824 
Year of Publication: 
2019
Series/Report no.: 
SAFE Working Paper No. 262
Publisher: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
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.
Subjects: 
credit scoring
probability of default
small and medium enterprises
asset-backed securities
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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