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.
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Oricchio, G., Lugaresi, S., Crovetto, A., Fontana, S. (2017). Corporate and SME Credit Rating Models. In: SME Funding. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-58608-7_4
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DOI: https://doi.org/10.1057/978-1-137-58608-7_4
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