Modelli di stima della probabilità di default. Il caso di una banca locale.

Emiliano Mastrolia

Abstract


Il lavoro presenta i metodi per stimare la probabilità di default (PD) come parametro cruciale nella gestione del rischio di credito delle banche. Utilizzando un campione di 496 imprese del portafoglio crediti di una banca locale e utilizzando indicatori finanziari sono stati sviluppati un modello discriminante lineare e un modello logistico per la previsione di insolvenza delle imprese. I risultati evidenziano che entrambi i modelli sono in grado di classificare correttamente oltre il 95% delle imprese campionate. Tuttavia, il modello logistico ha prestazioni migliori nel ridurre l'errore di tipo I. Pertanto, nelle piccole banche la regressione logistica rappresenta uno strumento utile per stimare la probabilità di default delle imprese e per migliorare le strategie di pricing e monitoraggio del credito.

 

Based on a sample of 496 firms from the loans portfolio of a local bank and using financial variables we estimate a linear discriminant function for predicting firm default and we used a logistic model to estimate the probability of default. Results highlight that both the models are able to correctly classify over the 95% of sampled firms. However, logistic regression has a better performance in reducing type I error. Therefore, logistic regression represents a useful tool for estimating the probability of default of firms and for improving credit management strategies.


Parole chiave


Default, credit scoring, analisi discriminante, regression logistica

Full Text

PDF

Riferimenti bibliografici


Abdou, Hussein A., and John Pointon. 2011. “Credit Scoring, Statistical Techniques and Evaluation Criteria: A Review of the Literature.” Intelligent Systems in Accounting, Finance and Management 18 (2–3): 59–88. https://doi.org/10.1002/isaf.325.

Agarwal, Sumit, and Robert Hauswald. 2010. “Distance and Private Information in Lending.” Review of Financial Studies 23 (7): 2757–88. https://doi.org/10.1093/rfs/hhq001.

Albertazzi, Ugo, and Domenico Junior Marchetti. 2010. “Credit Supply, Flight to Quality and Evergreening: An Analysis of Bank-Firm Relationships after Lehman.” Temi Di Discussione No. 756. Bank of Italy. https://doi.org/10.2139/ssrn.1670563.

Altman, Edward I. 1968. “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.” The Journal of Finance 23 (4): 589–609. https://doi.org/10.2307/2978933.

Altman, Edward I., Robert G. Haldeman, and P. Narayanan. 1977. “ZETATM Analysis A New Model to Identify Bankruptcy Risk of Corporations.” Journal of Banking and Finance 1 (1): 29–54. https://doi.org/10.1016/0378-4266(77)90017-6.

Antão, Paula, and Ana Lacerda. 2011. “Capital Requirements under the Credit Risk-Based Framework.” Journal of Banking and Finance 35 (6): 1380–90. https://doi.org/10.1016/j.jbankfin.2010.10.003.

Ari, Anil, Sophia Chen, and Lev Ratnovski. 2021. “The Dynamics of Non-Performing Loans during Banking Crises: A New Database with Post-COVID-19 Implications.” Journal of Banking & Finance, April, 106140. https://doi.org/10.1016/j.jbankfin.2021.106140.

Ashofteh, Afshin, and Jorge M. Bravo. 2021. “A Conservative Approach for Online Credit Scoring.” Expert Systems with Applications 176 (August): 114835. https://doi.org/10.1016/j.eswa.2021.114835.

Baesens, B., T. Van Gestel, S. Viaene, M. Stepanova, J. Suykens, and J. Vanthienen. 2003. “Benchmarking State-of-the-Art Classification Algorithms for Credit Scoring.” Journal of the Operational Research Society 54 (6): 627–35. https://doi.org/10.1057/palgrave.jors.2601545.

Basel Committee on Banking Supervision. 2004. International Convergence of Capital Measurement and Capital Standards. A Revised Framework. Bank for International Settlements. http://www.bis.org/publ/bcbs107.pdf.

———. 2011. “A Global Regulatory Framework for More Resilient Banks and Banking Systems.” http://www.bis.org/publ/bcbs230.htm.

Beaver, William H. 1966. “Financial Ratios As Predictors of Failure.” Journal of Accounting Research 4: 71–111. https://doi.org/10.2307/2490171.

Behn, Markus, Rainer Haselmann, and Paul Wachtel. 2016. “Procyclical Capital Regulation and Lending.” The Journal of Finance 71 (2): 919–56. https://doi.org/10.1111/jofi.12368.

Berger, Allen N., and Gregory F. Udell. 2002. “Small Business Credit Availability and Relationship Lending: The Importance of Bank Organisational Structure.” The Economic Journal 112 (477): F32–53. https://doi.org/10.1111/1468-0297.00682.

Berger, Allen N, Adrian M Cowan, W Scott Frame, A N Berger Center, A M Cowan, and W S Frame. 2011. “The Surprising Use of Credit Scoring in Small Business Lending by Community Banks and the Attendant Effects on Credit Availability, Risk, and Profitability.” J Financ Serv Res 39: 1–17. https://doi.org/10.1007/s10693-010-0088-1.

Bluhm, Christian, Ludger Overbeck, and Christoph Wagner. 2010. Introduction to Credit Risk Modeling. Boca Raton (FL): CRC Press.

Bolognesi, Enrica, Patrizia Stucchi, and Stefano Miani. 2020. “Are NPL-Backed Securities an Investment Opportunity?” Quarterly Review of Economics and Finance 77 (August): 327–39. https://doi.org/10.1016/j.qref.2019.10.007.

Carbó-Valverde, Santiago, Francisco Rodríguez-Fernández, and Gregory F. Udell. 2009. “Bank Market Power and SME Financing Constraints*.” Review of Finance 13 (2): 309–40. https://doi.org/10.1093/rof/rfp003.

Ciampi, Francesco, and Niccolò Gordini. 2013. “Small Enterprise Default Prediction Modeling through Artificial Neural Networks: An Empirical Analysis of Italian Small Enterprises.” Journal of Small Business Management 51 (1): 23–45. https://doi.org/10.1111/j.1540-627X.2012.00376.x.

Crook, Jonathan N., David B. Edelman, and Lyn C. Thomas. 2007. “Recent Developments in Consumer Credit Risk Assessment.” European Journal of Operational Research 183 (3): 1447–65. https://doi.org/10.1016/j.ejor.2006.09.100.

Crouhy, Michel, Dan Galai, and Robert Mark. 2001. “Prototype Risk Rating System.” Journal of Banking and Finance 25 (1): 47–95. https://doi.org/10.1016/S0378-4266(00)00117-5.

Cucinelli, Doriana, Maria Luisa Di Battista, Malvina Marchese, and Laura Nieri. 2018. “Credit Risk in European Banks: The Bright Side of the Internal Ratings Based Approach.” Journal of Banking and Finance 93 (August): 213–29. https://doi.org/10.1016/j.jbankfin.2018.06.014.

Cucinelli, Doriana, and Arturo Patarnello. 2017. “Bank Credit Risk Management and Risk Culture.” In Risk Culture in Banking, 321–48. Springer International Publishing. https://doi.org/10.1007/978-3-319-57592-6_15.

Demma, Cristina. 2017. “Credit Scoring and the Quality of Business Credit During the Crisis.” Economic Notes 46 (2): 269–306. https://doi.org/10.1111/ecno.12080.

Durango‐Gutiérrez, Maria Patricia, Juan Lara‐Rubio, and Andrés Navarro‐Galera. 2021. “Analysis of Default Risk in Microfinance Institutions under the Basel III Framework.” International Journal of Finance & Economics, January, ijfe.2475. https://doi.org/10.1002/ijfe.2475.

Durguner, Sena. 2017. “Do Borrower-Lender Relationships Still Matter for Small Business Loans?” Journal of International Financial Markets, Institutions and Money 50 (September): 98–118. https://doi.org/10.1016/j.intfin.2017.09.007.

Gaffeo, Edoardo, and Ronny Mazzocchi. 2019. “‘The Price Is Right’: Using Auction Theory to Enhance Competition in the NPL Market.” Journal of Banking Regulation 20 (1): 104–12. https://doi.org/10.1057/s41261-018-0069-0.

Gordy, Michael B. 2003. “A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules.” Journal of Financial Intermediation 12 (3): 199–232. https://doi.org/10.1016/S1042-9573(03)00040-8.

Grunert, Jens, Lars Norden, and Martin Weber. 2005. “The Role of Non-Financial Factors in Internal Credit Ratings.” Journal of Banking and Finance 29 (2): 509–31. https://doi.org/10.1016/j.jbankfin.2004.05.017.

Hakenes, Hendrik, and Isabel Schnabel. 2011. “Bank Size and Risk-Taking under Basel II.” Journal of Banking and Finance 35 (6): 1436–49. https://doi.org/10.1016/j.jbankfin.2010.10.031.

Kliestik, Tomas, Maria Misankova, and Katarina Kocisova. 2015. “Calculation of Distance to Default.” Procedia Economics and Finance 23 (January): 238–43. https://doi.org/10.1016/s2212-5671(15)00481-5.

Laurent, Jean Paul, Michael Sestier, and Stéphane Thomas. 2016. “Trading Book and Credit Risk: How Fundamental Is the Basel Review?” Journal of Banking and Finance 73 (December): 211–23. https://doi.org/10.1016/j.jbankfin.2016.07.002.

Lee, Tian Shyug, Chih Chou Chiu, Chi Jie Lu, and I. Fei Chen. 2002. “Credit Scoring Using the Hybrid Neural Discriminant Technique.” Expert Systems with Applications 23 (3): 245–54. https://doi.org/10.1016/S0957-4174(02)00044-1.

Louzada, Francisco, Anderson Ara, and Guilherme B. Fernandes. 2016. “Classification Methods Applied to Credit Scoring: Systematic Review and Overall Comparison.” Surveys in Operations Research and Management Science. Elsevier Science B.V. https://doi.org/10.1016/j.sorms.2016.10.001.

Louzada, Francisco, Paulo H. Ferreira-Silva, and Carlos A.R. Diniz. 2012. “On the Impact of Disproportional Samples in Credit Scoring Models: An Application to a Brazilian Bank Data.” Expert Systems with Applications 39 (9): 8071–78. https://doi.org/10.1016/j.eswa.2012.01.134.

Meyer, Eric. 2018. “The New Economic Scenario and Its Impact on the Cooperative Banking Business Model.” In New Cooperative Banking in Europe: Strategies for Adapting the Business Model Post Crisis, edited by M. Migliorelli, 29–45. Palgrave Macmillan. https://doi.org/10.1007/978-3-319-93578-2_2.

Nguyen, Nguyen T.H., and James R. Barth. 2020. “Community Banks vs. Non-Community Banks: Where Is the Advantage in Local Small Business Funding?” Atlantic Economic Journal 48 (2): 161–74. https://doi.org/10.1007/s11293-020-09671-5.

Ohlson, James A. 1980. “Financial Ratios and the Probabilistic Prediction of Bankruptcy.” Journal of Accounting Research 18 (1): 109–31. https://doi.org/10.2307/2490395.

Resti, Andrea, and Andrea Sironi. 2008. Rischio e Valore Nelle Banche: Misura, Regolamentazione, Gestione. Milan: EGEA.

Saunders, Anthony, and Linda Allen. 2010. Credit Risk. Hoboken (NJ): John Wiley & Sons, Inc.

Westgaard, Sjur, and Nico Van der Wijst. 2001. “Default Probabilities in a Corporate Bank Portfolio: A Logistic Model Approach.” European Journal of Operational Research 135 (2): 338–49. https://doi.org/10.1016/S0377-2217(01)00045-5.




ISSN: 1971-5293

ISSNe: 2283-3374

Esperienze d'Impresa, Reg. Tribunale Salerno n. 875 del 3/11/1993