Modelling credit risk for SMEs: Evidence from the US market
Modelling credit risk for SMEs: Evidence from the US market
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DOI：
10.1111/j.1467-6281.2007.00234.x
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发表时间：
2007-09-01
影响因子：
2.1
通讯作者：
Sabato, Gabriele
中科院分区：
文献类型：
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作者：
Altman, Edward I.;Sabato, Gabriele
考虑到中小企业（SMEs）在许多国家的经济中发挥的重要作用，以及新巴塞尔资本雅阁对中小企业的关注，我们开发了一个专门针对中小企业部门的困境预测模型，并分析其有效性相比，一个通用的公司模型。分析了中小企业财务指标的行为，并选择了预测实体信用价值的最重要变量，以构建违约预测模型。使用logit回归技术的面板数据的2,000多家美国公司（销售额低于6500万美元）在1994年至2002年期间，我们开发了一个为期一年的违约预测模型。该模型具有样本外预测能力，比一般公司模型高出近30%。一个相关的目标是观察我们的模型的能力，以降低银行的资本要求，考虑到新的巴塞尔资本雅阁的中小企业规则。
Considering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyse its effectiveness compared to a generic corporate model. The behaviour of financial measures for SMEs is analysed and the most significant variables in predicting the entities' credit worthiness are selected in order to construct a default prediction model. Using a logit regression technique on panel data of over 2,000 U.S. firms (with sales less than $65 million) over the period 1994-2002, we develop a one-year default prediction model. This model has an out-of-sample prediction power which is almost 30 per cent higher than a generic corporate model. An associated objective is to observe our model's ability to lower bank capital requirements considering the new Basel Capital Accord's rules for SMEs.