Qualitative determinants and credit-default risk: Evidence from Turkey

Yildirak K., Süer Ö.

Actual Problems of Economics, cilt.145, sa.7, ss.333-344, 2013 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 145 Sayı: 7
  • Basım Tarihi: 2013
  • Dergi Adı: Actual Problems of Economics
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.333-344
  • Anahtar Kelimeler: Credit-default risk, Default probability estimation, Emerging markets, Qualitative risk predictors, Risk management
  • Galatasaray Üniversitesi Adresli: Evet

Özet

This paper investigates the qualitative and quantitative determinants of firm defaults for Turkish manufacturing companies over the time period 2001-2005 by using yearly observation intervals. The paper uses a multivariate logistic regression on the sample of 1772 firms to construct a predictive model. According to the results of this study, the most significant predictors of default are short-term financial leverage, profitability, nonperforming loan volume, and the levels of collateral and guarantees. The qualitative variables significantly increase the power of the model to predict firm default.