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We enhance the Bank of Italy’s statistical model for the credit assessment of non-financial firms (S-ICAS) in two ways. First, we account directly for the effects of the business cycle in the estimation of the probability of default of firms with the use of a satellite macroeconomic model. Second, to fully exploit the heterogeneity of the dataset, we experiment panel econometric methods to estimate the probability of default on a subsample of firms. The two enhancements increase the discriminatory power and the stability of S-ICAS. The macroeconomic model has already been implemented in the running system. The possible adoption of the panel econometric techniques for operational purposes requires further investigation.

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Macroeconomic Variables and Panel Estimation

  • 章节

  • 发表日期：

    2026年

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  • Francesco Columba,
  • Stefano Di Virgilio,
  • Giulio Gariano,
  • Alessandra Iannamorelli,
  • Simone Narizzano,
  • Marco Orlandi,
  • Federica Vassalli

摘要

We enhance the Bank of Italy’s statistical model for the credit assessment of non-financial firms (S-ICAS) in two ways. First, we account directly for the effects of the business cycle in the estimation of the probability of default of firms with the use of a satellite macroeconomic model. Second, to fully exploit the heterogeneity of the dataset, we experiment panel econometric methods to estimate the probability of default on a subsample of firms. The two enhancements increase the discriminatory power and the stability of S-ICAS. The macroeconomic model has already been implemented in the running system. The possible adoption of the panel econometric techniques for operational purposes requires further investigation.