The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements

Journal of Banking and Finance

Volumn 26, Issue 2-3, 2002, Pages 303-322

  Dietsch, Michel ^a   Petey, Joël ^a  

^a UNIVERSITÉ DE STRASBOURG   (France)

Author keywords

Capital allocation; Credit risk

Indexed keywords

EID: 0036153370     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(01)00224-2     Document Type: Article

References (10)

1. Statistical inference about Markov chains
2. The New Basel Capital Accord
3. CreditMetrics Technical Document
4. A Credit Risk Management Framework
5. A comparative anatomy of credit risk models
6. A risk-factor model foundation for ratings-based bank capital rules
7. Credit risk models at major US banking institutions: Current state of the art and implications for assessments of capital adequacy
8. Evaluating credit risk models
9. Limited Dependent and Qualitative Variables in Econometrics
10. Portfolio credit risk