Luppi, Barbara Marzo, Massimiliano Scorcu, Antonello E
Year of Publication:
Quaderni - Working Paper DSE 600
We use a multiple-factor credit risk model to provide new estimates of default probabilities in a sample of Italian Small and Medium-sized Enterprises. Results show that, on average, SMEs are riskier than large businesses within the retail segment. It is possible to distinguish different segments inside the SMEs' population based on geographical location, sector of activity and juridical status.