Qualitative determinants and credit-default risk: Evidence from Turkey
Actual Problems of Economics, cilt.145, sa.7, ss.333-344, 2013 (Scopus)
- 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.