Title:
Covid-19 e rischio di insolvenza: il punto di vista del mercato azionario
Description:
Working Paper Ircres-CNR 07/2021. The Covid-19 pandemic has been a big shock for economic systems. Governments and Central Banks quickly got fundamental decisions to counteract the main effects of the pandemic. Here the increase of default risk of Italian industrial corporates is studied. The perspective adopted is that of stock market: effectively the share prices have been deeply affected by the pandemic and this research has used data from 69 Italian listed companies. The probabilities of default of these firms have been estimated with the recourse to the Merton’s model and its adaptation from KMV. Statistical results show a significant rise of the credit risk metrics in 2020’s early months, followed then by a fast recovery.
Publisher:
Ircres-CNR
Date:
2021
