Qualitative determinants and credit-default risk: Evidence from Turkey

Yildirak K., Süer Ö.

Actual Problems of Economics, vol.145, no.7, pp.333-344, 2013 (Scopus) identifier

  • Publication Type: Article / Article
  • Volume: 145 Issue: 7
  • Publication Date: 2013
  • Journal Name: Actual Problems of Economics
  • Journal Indexes: Scopus
  • Page Numbers: pp.333-344
  • Keywords: Credit-default risk, Default probability estimation, Emerging markets, Qualitative risk predictors, Risk management
  • Galatasaray University Affiliated: Yes

Abstract

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.