Luigi Santamaria
Author's titles
Multivariate nonparametric testing for comparing sector credit risk
digital
Year:
2009
After the Basel II accord, banks should not distribute funds without considering which sector firms
belong to, as usually done. In this context, we would like to compare firm sector for what concern
different financial ratios. Through a suitable multivariate nonparametric test we evaluate whether
or not sectors can be distinguished with respect to the ratios. The analysis of a data set about positions
from a medium size Italian financial institution clearly contradict the common banking practice
of distributing funds without considering which sector firms belong to and strongly recommend
for alternative credit treatment.