The evaluation of credit risk using survival models: an application on Italian SMEs

digital

Article

Magazine

STATISTICA & APPLICAZIONI

Section

Open Access

Title

The evaluation of credit risk using survival models: an application on Italian SMEs

Author

Andrea Marletta

Publisher

Vita e Pensiero

Format

Article |

Pdf

Online from

07-2022

Doi

10.26350/999999_000047

Issn

1824-6672 (print) | 2283-6659 (digital)

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Description Readers' comments

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.

keywords

Credit scoring, Survival Analysis, Insolvency risk, Default probability

Author biography

Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca - Piazza dell’Ateneo Nuovo, 1 - Milano (e-mail: andrea.marletta@unimib.it).

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