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SMEs: Credit Risk Modeling

  • Emanuele Giovannini
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

In this chapter we discuss credit risk modeling with particular respect to the small-medium enterprise (SME) segment. After a brief introduction to the meaning and the purposes of an internal rating system, the first part introduces the main differences between internal rating models (that is, bank systems) and external rating models (external agency systems). Given the aims of this chapter, we will concentrate more on bank models explaining the different types of internal systems, the related parameters and the regulation issues.

Keywords

Credit Risk Internal Rating Default Probability Capital Allocation Customer Data 
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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References

  1. Basel Committee on Banking Supervision (BCBS), Update on work of the Accord Implementation Group related to validation under the Basel II Framework, 2005.Google Scholar
  2. Resti A., Sironi A., Rischio e valore nelle banche, Egea, Milano, 2008.Google Scholar
  3. Varetto E, Corso di Analisi Finanziaria e Risk Management, Politecnico di Torino, A.A. 2010–2011.Google Scholar

Copyright information

© Emanuele Giovannini 2013

Authors and Affiliations

  • Emanuele Giovannini

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