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.
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References
Basel Committee on Banking Supervision (BCBS), Update on work of the Accord Implementation Group related to validation under the Basel II Framework, 2005.
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© 2013 Emanuele Giovannini
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Giovannini, E. (2013). SMEs: Credit Risk Modeling. In: Anolli, M., Beccalli, E., Giordani, T. (eds) Retail Credit Risk Management. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9781137006769_4
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DOI: https://doi.org/10.1057/9781137006769_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-43507-4
Online ISBN: 978-1-137-00676-9
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