Abstract
This chapter describes the methodology and the estimation and validation process of a proprietary SME Credit Rating Model (DefaultMetrics™ 2.0) developed by Capital Investment S.r.l. based on mid-corporate and SME commercial bank databases. The accuracy of the model relies on the integration of accounting information and behavioral information. The related modeling incorporates the author’s 20-year experience in applied research and in modeling customer–bank relationships. This model gains leverage on data from the Italian CCR, which is strongly predictive of default events as explained in this chapter and in Sects. 4.6, 4.7, 4.8, and 4.9.
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Oricchio, G., Lugaresi, S., Crovetto, A., Fontana, S. (2017). SME Credit Rating Models: A New Approach. In: SME Funding. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-58608-7_5
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DOI: https://doi.org/10.1057/978-1-137-58608-7_5
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-58607-0
Online ISBN: 978-1-137-58608-7
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