Libri di Luigi Santamaria - libri Statistica & Applicazioni

Luigi Santamaria

Author's titles

Multivariate nonparametric testing for comparing sector credit risk digital Multivariate nonparametric testing for comparing sector credit risk
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.
Download
 

Enter the code to activate the service.