Multivariate nonparametric testing for comparing sector credit risk

Name: Multivariate nonparametric testing for comparing sector credit risk
Brand: Vita e Pensiero
Availability: OnlineOnly

digital

Article

Magazine

STATISTICA & APPLICAZIONI

Section

Open Access

Title

Multivariate nonparametric testing for comparing sector credit risk

Authors

Marco Marozzi, Luigi Santamaria

Publisher

Vita e Pensiero

Format

Article |

Pdf

Pages

Online from

01-2009

Issn

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

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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.

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