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| Author: | Dietsch, M. Petey, J. |
| Title: | The credit risk in SME loans portfolios: modeling issues, pricing, and capital requirements |
| Journal: | Journal of Banking and Finance
2002 : MAR, VOL. 26:2-3, p. 303-322 |
| Index terms: | Financial risk Credit management Capital budgeting Allocation |
| Language: | eng |
| Abstract: | The paper is devoted to the credit risk modeling issues of small commercial loans portfolios. The authors propose specific solutions dealing with the most important pecularities of these portfolios: their large size and the limited information about the financial situation of borrowers. They then compute the probability density function of futures losses and VaR measures in a portfolio of 220.000 French SMEs. |
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