Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach
发现SBA 7(a)贷款担保计划下的小企业贷款违约率与大型商业银行相当，且违约风险随时间变化，在第二年达到峰值，并受借款人、贷款人、贷款特征及经济条件影响。
In this paper we report that, although medium-maturity loans originated under the SBA 7(a) loan guarantee program are targeted to small firms that fail to obtain credit through conventional channels, the default experience is comparable to that of a large percentage of loans held by larger commercial banks. We establish that the default behavior of these loans is time sensitive— as a loan seasons, the likelihood of default increases initially, peaks in the second year, and declines thereafter. Using a discrete-time hazard framework, we show that the likelihood of default is conditional on borrower, lender, and loan characteristics, and changes in economic conditions.