Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

摘要

We investigate the default probability, recovery rates and loss distribution of a portfolio ofsecuritised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loanlevel data information provided by the European DataWarehouse platform and employ a logisticregression to estimate the company default probability. We include loan-level default probabilities andrecovery rates to estimate the loss distribution of the underlying assets. We find that bank securitisedloans are less risky, compared to the average bank lending to small and medium enterprises.