The aim of this work is to propose a rigorous statistical procedure to identify which subset of balance sheet indicators is able to accurately measure the default probability of a firm and to assess their predictive capacity. Through a case-control study on firms operating in the Italian region of Umbria, and after performing a matching based on industry and legal status, the authors propose a statistical procedure of analysis which allows to identify the most influential variables and then study the functional form linking their effect to the probability of default. The paper presents innovative features with respect to the number of indicators considered, the identification of a limited number of key variables and the quantification of their effect on the default probability.
La capacità predittiva degli indicatori di bilancio: un metodo per le PMI
PIERRI, Francesca;BURCHI, Alberto;STANGHELLINI, Elena
2013
Abstract
The aim of this work is to propose a rigorous statistical procedure to identify which subset of balance sheet indicators is able to accurately measure the default probability of a firm and to assess their predictive capacity. Through a case-control study on firms operating in the Italian region of Umbria, and after performing a matching based on industry and legal status, the authors propose a statistical procedure of analysis which allows to identify the most influential variables and then study the functional form linking their effect to the probability of default. The paper presents innovative features with respect to the number of indicators considered, the identification of a limited number of key variables and the quantification of their effect on the default probability.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
