[Autom. eng. transl.] The measurement and management of credit risk represents a central theme in the economic system even more in historical periods such as the current one dominated by the international debt crisis. The main negative effect deriving from credit risk is the loss of creditor's trust in the debtor; the issue becomes systemic to the extent that scandals and bankruptcies in financial markets increase, increasing a general loss of investor and economic confidence in the market as an instrument of economic / financial growth. In this perspective, it is crucial to define a reliable and usable system for forecasting the debtor's bankruptcy and managing any credit risk. The present volume offers a theoretical and empirical overview, initially presenting the most relevant academic contributions that have determined key points in the scientific evolution of the subject and secondly offering a detailed empirical analysis of the main previsional models, applied to the Italian stock market. Specifically, models based on market information do not seem to offer advantages in terms of forecasting, despite having a higher execution cost and contrary to what we should theoretically expect. This result is attributable to the low level of efficiency of the Italian financial market and therefore to the low capacity of share prices to reflect the prospective information of the issuers.
|Translated title of the contribution||[Autom. eng. transl.] The Default Risk in the Italian Stock Market: Empirical Profiles and Trends|
|Number of pages||168|
|Publication status||Published - 2014|
- credit risk
- modelli di previsione
- predicting models
- rischio di credito