Financial constraints encountered by small-medium enterprises (SME) are particularly severe for innovative firms, which, in the EU, cannot rely on a sufficiently developed venture capital industry and have to depend on debt capital. It is thus important to develop models which, in consideration of the specific features of innovative SMEs, provide a reliable estimate of their probability of default (PD) that can also serve as a rating of the innovative firm. Based on the signaling value of innovation-related assets such as patents, this paper shows the role of innovative assets in credit risk modeling. Specifically, we include in a logit model two innovation-related variables in order to account for both the dimension and the value of the patent portfolio. Based on a unique dataset of innovative SMEs with default years 2006-2008 we show that, while the value of the patent portfolio always reduces the PD, its dimension increases the firm’s riskiness unless coupled with an appropriate equity level.
Modelling credit risk for innovative firms: the role of innovation measures
THOMA, Grid;
2011-01-01
Abstract
Financial constraints encountered by small-medium enterprises (SME) are particularly severe for innovative firms, which, in the EU, cannot rely on a sufficiently developed venture capital industry and have to depend on debt capital. It is thus important to develop models which, in consideration of the specific features of innovative SMEs, provide a reliable estimate of their probability of default (PD) that can also serve as a rating of the innovative firm. Based on the signaling value of innovation-related assets such as patents, this paper shows the role of innovative assets in credit risk modeling. Specifically, we include in a logit model two innovation-related variables in order to account for both the dimension and the value of the patent portfolio. Based on a unique dataset of innovative SMEs with default years 2006-2008 we show that, while the value of the patent portfolio always reduces the PD, its dimension increases the firm’s riskiness unless coupled with an appropriate equity level.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
