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http://bura.brunel.ac.uk/handle/2438/19134
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DC Field | Value | Language |
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dc.contributor.author | Vinciotti, V | - |
dc.contributor.author | Tosetti, E | - |
dc.contributor.author | Moscone, F | - |
dc.contributor.author | Lycett, M | - |
dc.date.accessioned | 2019-09-16T09:28:03Z | - |
dc.date.available | 2019-01-01 | - |
dc.date.available | 2019-09-16T09:28:03Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Journal of the Royal Statistical Society. Series A: Statistics in Society, 2019, 182(4): 1205 - 1226 | en_US |
dc.identifier.issn | 0964-1998 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/19134 | - |
dc.description.abstract | © 2019 The Authors. Despite the recognized importance of interfirm financial links in determining a company's performance, only a few studies have incorporated proxies for interfirm links in credit risk models, and none of these use real financial transactions. We estimate a credit risk model for small and medium-sized enterprises, augmented with information on observed interfirm financial transactions. We exploit a novel data set on about 60000 companies based in the UK and their financial transactions over the years 2015 and 2016. We develop several network-augmented credit risk models and compare their prediction performance with that of a conventional credit risk model that includes only a set of financial ratios. We find that augmenting a default risk model with information on the transaction network makes a significant contribution to increasing the default prediction power of risk models built specifically for small and medium-sized enterprises. Our results may help bankers and credit scoring agencies to improve the credit scoring of these companies, ultimately reducing their propensity to apply excessive lending restrictions. | en_US |
dc.description.sponsorship | Engineering and Physical Sciences Research Council (grant EP/L021250/1). | - |
dc.language.iso | en | en_US |
dc.publisher | John Wiley & Sons Ltd on behalf of the Royal Statistical Society | en_US |
dc.subject | credit risk modelling | en_US |
dc.subject | financial transactions | en_US |
dc.subject | small and medium-sized enterprises | en_US |
dc.title | The effect of interfirm financial transactions on the credit risk of small and medium-sized enterprises | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1111/rssa.12500 | - |
dc.relation.isPartOf | Journal of the Royal Statistical Society. Series A: Statistics in Society | - |
pubs.publication-status | Published | - |
dc.identifier.eissn | 1467-985X | - |
Appears in Collections: | Dept of Mathematics Research Papers |
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FullText.pdf | 860.67 kB | Adobe PDF | View/Open |
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