Journal of
Italian
Banking
Association

year 100
 

Forum | Papers » Modelling credit risk with soft facts for micro firms and Smes

Modelling credit risk with soft facts for micro firms and Smes

Giampaolo Gabbi, Massimo Matthias, Michele Giammarino
January 2019 - n. 1
Keywords: Variabili qualitative, rischio di credito, microimprese, Pmi
Jel codes: G21, G32

We investigate how the use of quantitative along with qualitative variables may improve the evaluation of the creditworthiness of micro, small and medium firms. We harden qualitative variables in order to assign ratings to borrowers. The survey covered a sample of about 17 thousand Italian companies observed during the financial crisis. Soft facts are determined within the balanced scorecard framework in order to find out the explanatory power of customers, business processes, learning and growth, and financial perspectives. The purpose to use such a variables is to estimate the resilience of firms during a crisis period, from the bank’s perspective. Our findings show that credit risk models integrating soft variables optimize the bankruptcy prediction.

 

Interested in this paper?
Buy the issue