Probability of default in collateralized credit operations for small business
Volume: 52, Pages: 101129 - 101129
Published: Apr 1, 2020
Abstract
The paper examines how the collateral affects the probability of default for small firms. We present a stylized theoretical model to derive the relationship between the level of collateral and subsequent loan default. We find that the probability of default is negatively correlated with the level of collateral, which is intuitive. Subsequently, we test this relationship by using a proprietary database of collateralized loans of small Brazilian...
Paper Details
Title
Probability of default in collateralized credit operations for small business
Published Date
Apr 1, 2020
Volume
52
Pages
101129 - 101129
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