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SME Funding pp 59-138 | Cite as

Corporate and SME Credit Rating Models

Chapter
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Abstract

This chapter presents and discusses corporate and SME credit rating models, and identifies the main steps in developing a rating model. The chapter goes on to present SME sub-segment models related to the probability of default (PD) encountered in corporate entities. Other topics considered include the term structure of probability of default, the production of European transition matrices based on the different phases of the cycle itself, validation of internal credit rating models and the validation of the PD model. The chapter closes with a section on the performance assessment of PD and the backtesting related to the model.

Keywords

Default Probability Rating Class Default Rate Analytical Hierarchical Process Accuracy Ratio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.Springrowth SGRMilanItaly
  2. 2.ABIRomeItaly
  3. 3.EPIC SIMMilanItaly
  4. 4.Sapienza Università di RomaRomeItaly

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