Franco Varetto<\/p>\n
CNR-IRCrES, Consiglio Nazionale delle Ricerche, Istituto di Ricerca sulla Crescita Economica Sostenibile, Italia<\/p>\n
Corresponding author: francoww@tin.it<\/a><\/p>\n Abstract<\/strong><\/p>\n 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\u2019s model and its adaptation from KMV. Statistical results show a significant rise of the credit risk metrics in 2020\u2019s early months, followed then by a fast recovery.<\/p>\n Keywords:<\/strong> Credit Risk, Probability of default, Stock prices, Merton\u2019s Model<\/p>\n JEL codes:<\/strong> E44, G12, G13, G32, G33, I18<\/p>\n DOI:<\/strong> 10.23760\/2421-7158.2021.007<\/p>\n How to Cite this Article<\/strong><\/p>\n Varetto, F. (2021). Covid-19 e rischio di insolvenza: il punto di vista del mercato azionario <\/em>(CNR-IRCrES Working Paper 7\/2021). Istituto di Ricerca sulla Crescita Economica Sostenibile. Disponibile da http:\/\/dx.doi.org\/10.23760\/2421-7158.2021.007<\/a><\/p>\n<\/h3>\n","protected":false},"parent":0,"menu_order":0,"template":"","categoria-pubblicazioni":[40],"class_list":["post-2760","pubblicazione","type-pubblicazione","status-publish","hentry","categoria-pubblicazioni-working-paper"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione\/2760","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione"}],"about":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/types\/pubblicazione"}],"version-history":[{"count":1,"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione\/2760\/revisions"}],"predecessor-version":[{"id":3538,"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/pubblicazione\/2760\/revisions\/3538"}],"wp:attachment":[{"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/media?parent=2760"}],"wp:term":[{"taxonomy":"categoria-pubblicazioni","embeddable":true,"href":"https:\/\/www.ircres.cnr.it\/en\/wp-json\/wp\/v2\/categoria-pubblicazioni?post=2760"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}