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CASMEF Seminar November 8 - Filomena Pietrovito: Bank-firm relationships in default prediction models. An analysis on a sample of Italian firms

Filomena Pietrovito (Università del Molise and Università di Cassino) will present a research co-authored by Carmen Gallucci, Vincenzo Formisano e Michele Modina about "Bank-firm relationships in default prediction models. An analysis on a sample of Italian firms" in meeting room 409 at h13.

Abstract

The aim of this paper is to evaluate the contribution of several aspects of the bank-firm relationships in anticipating the corporate default event at least one year before. Using a unique dataset on a sample of 113 co-operative credit banks and about 12,000 firms operating in Italy, between 2012 and 2014, this paper documents that checking accounts and long-term loans activities provide additional explanatory power respect to financial information gathered from balance sheets in predicting the likelihood of default. Estimating a probit model, it finds that overruns and usage of credit lines on checking accounts, as well as overruns and payments overdue on long-term loans increase the accuracy prediction of default events by about 10%.

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Bank-firm relationship in default prediction models.pdf845.63 KB