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Probability of default and probability of excellence, an inverse model of rating. One more tool to overcome the crisis: an empirical analysisDOI: 10.7350/bsr.v06.2013 Keywords: Rating , SME finance , Modelling credit risk , Value of firms , Structural models Abstract: After rated as "excellent firms" which in 2010 showed good profitability and a solid financial balance, this essay aims to explore the possibility that a rating model already focused on bankruptcy prediction may also be a valuable tool for the selection of firms that after three years could turn to a state of excellence. Furthermore, the test is carried out and completed even starting from the opposite side: it detects the opportunity of a model calibrated on the prediction of successful firms to provide accurate results in the calculation of the probability of default. In this paper we empirically examine the determinants of a predictive econometric model, in a time frame of three years, using the statistical technique of logistic regression on a panel of 5,000 North Italian SMEs over the period 2007-2010.
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