Bedin, Andrea; Billio, Monica; Costola, Michele; … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-28
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...