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Credit risk and Basel II: Are non-profit firms financially different?

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Abstract

We estimate a model of credit risk for portfolios of Small and Medium-sized enterprises, conditional on being a non-profit or for-profit firms. The estimation is based on a unique dataset on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for non-profit and for-profit firms. Traditional balance sheet information seems to be less crucial for non-profit firms.

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  • B. Luppi & M. Marzo & E. Scorcu, 2007. "Credit risk and Basel II: Are non-profit firms financially different?," Working Papers 601, Dipartimento Scienze Economiche, Universita' di Bologna.
    • Handle: RePEc:bol:bodewp:601
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    1. Fabrizio Fabi & Sebastiano Laviola & Paolo Marullo Reedtz, 2005. "Lending decisions, procyclicality and the New Basel Capital Accord," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 361-91, Bank for International Settlements.
    2. Fabi, Fabrizio & Laviola, Sebastiano & Marullo Reedtz, Paolo, 2005. "The new Capital Accord and banks' lending decisions," Journal of Financial Stability, Elsevier, vol. 1(4), pages 501-521, October.
    3. Dirk Czarnitzki & Kornelius Kraft, 2007. "Are credit ratings valuable information?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1061-1070.
    4. Jesús Saurina & Carlos Trucharte, 2004. "The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 121-144, October.
    5. Lorenzo Bocchi & Giuseppe Lusignani, 2004. "Le nuove regole di "Basilea2": prime valutazioni di impatto sul rapporto banca-impresa in Italia," Banca Impresa Società, Società editrice il Mulino, issue 2, pages 209-238.
    6. Laitinen, Erkki K., 1999. "Predicting a corporate credit analyst's risk estimate by logistic and linear models," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 97-121, June.
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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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