SMEs: Credit Risk Modeling
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.
KeywordsCredit Risk Internal Rating Default Probability Capital Allocation Customer Data
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