Interest and research activity in credit scoring techniques and their appplication has increased in the last decade following the implementation of Basel II agreements, concurrently with the severe economic crisis that has affected Europe and the world. Quantitative methods have been applied to risk analysis for over 50 years. Firms or customers are assigned to two different groups, bad or good, on the basis of the probability of failure/success predicted by the model. Methods of survival analysis from the fields of medicine and engineering were subsequently introduced in order to also study the time until the occurrence of the event of interest. After a brief review of quantitative methods applied in credit scoring, this paper focuses on analyzing different causes of failure, applied to a data set on 15184 Small Business Enterprises in Italy from 2008 to 2013. Firstly, competing risk methodology from survival analysis is applied. Secondly, we go on to take into account the occurrence of a second event in addition to the first; transition and survival probabilities are studied applying a multistate model.
Analysing the risk of bankruptcy of firms: survival analysis, competing risks and multistate models.
Francesca, Pierri;
2019
Abstract
Interest and research activity in credit scoring techniques and their appplication has increased in the last decade following the implementation of Basel II agreements, concurrently with the severe economic crisis that has affected Europe and the world. Quantitative methods have been applied to risk analysis for over 50 years. Firms or customers are assigned to two different groups, bad or good, on the basis of the probability of failure/success predicted by the model. Methods of survival analysis from the fields of medicine and engineering were subsequently introduced in order to also study the time until the occurrence of the event of interest. After a brief review of quantitative methods applied in credit scoring, this paper focuses on analyzing different causes of failure, applied to a data set on 15184 Small Business Enterprises in Italy from 2008 to 2013. Firstly, competing risk methodology from survival analysis is applied. Secondly, we go on to take into account the occurrence of a second event in addition to the first; transition and survival probabilities are studied applying a multistate model.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
