This analysis is based on a cooperation between the EIF and the University of Luxembourg/Luxembourg School of Finance. The researchers develop distress prediction models for portfolios of SME loans, examine idiosyncratic and systematic covariates, and find that macro conditions and bankruptcy codes add predictive power to the models.

The EIF Working Paper Series has been designed to make available to a wider readership selected topics and studies in relation to EIF´s business. The Working Papers are edited by EIF´s RMA. They are typically authored or co-authored by EIF staff and are usually published only electronically.