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Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
(2020-03-01)
We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ...
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
(2019-10-14)
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ...
Inside the ESG Ratings: (Dis)agreement and Performance
(2020-07-31)
We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. ...