The evaluation of credit risk using survival models: an application on Italian SMEs - Andrea Marletta - Vita e Pensiero - Articolo Statistica & Applicazioni

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

newdigital The evaluation of credit risk using survival models: an application on Italian SMEs
Article
Journal STATISTICA & APPLICAZIONI
Issue STATISTICA & APPLICAZIONI - 2021 - 2
Title The evaluation of credit risk using survival models: an application on Italian SMEs
Author
Publisher Vita e Pensiero
Format Article | Pdf
Online da 07-2022
Doi 10.263509/999999_000047
Issn 1824-6672 (print) | 2283-6659 (digital)
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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).