Probability of default in collateralized credit operations for small business

Carvalho Jaimilton; Orrillo Jaime; Gomes da Silva Fernanda Rocha

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Probability of default in collateralized credit operations for small business

机译：小企业抵押信用业务违约概率

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摘要

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 enterprises.

机译：本文研究了抵押品如何影响小公司违约的概率。我们提出了一种程式化的理论模型，从而导出了抵押品和随后的贷款违约程度之间的关系。我们发现默认概率与抵消的概要与直观的抵押品水平负相关。随后，我们通过使用小巴西企业的抵押贷款数据库来测试这种关系。

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来源
《The North American journal of economics and finance》 |2020年第4期|101129.1-101129.13|共13页
作者
Carvalho Jaimilton; Orrillo Jaime; Gomes da Silva Fernanda Rocha;
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作者单位

Secretaria Estado Educac Ao Dist Fed Mexico City DF Mexico;

Univ Catolica Brasilia Grad Program Econ Brasilia DF Brazil;

Univ Fed Mato Grosso Cuiaba MT Brazil;

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原文格式 PDF
正文语种 eng
中图分类
关键词
General equilibrium; Incomplete markets; Probability of default;

机译：一般均衡;市场不完整;默认概率;

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Probability of default in collateralized credit operations for small business

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