Financieel Forum: Bank- en Financiewezen / Forum financier. Revue Bancaire et Financier vol:2010 issue:1 pages:38-42
In this paper we develop a default prediction model for Belgian manufacturing SMEs using a dataset of over 5000 companies between 2000 and 2006. We are able to show that this tailor-made model performs markedly better than the generic corporate Z-score model in terms of accurately predicting defaults. Moreover, we discover a possible incentive for banks to invest in more accurate models as they can yield lower capital requirements.