SME Credit Risk Literature

From Open Risk Manual

Literature List of SME Credit Risk

This page aims to create a useful list of Category:SME Credit Risk literature, with a focus on methodologies for the quantification of Credit Risk at the various stages of SME Lending.

  • It does not include general literature about SME Finance unless it has specific relevance for credit risk purposes
  • It does not include corporate credit risk literature (while there is obviously some domain overlap) to avoid diluting the list with this (far more extensive) category

Notes

  • Some of the entries may be available for download online. We do not include any links to avoid any potential IP issues
  • The references are provided for convenience only. There is no implied endorsement of validity, accuracy, suitability of any particular methodologies for any particular purpose. All quantitative methodologies are subject to substantial Model Risk
  • This is not a list to establish academic precedence or provide a comprehensive literature review. The primarily criterion for inclusion is the reporting of useful SME credit risk data insights and/or credit risk modelling approaches, especially contributions that have regional SME focus
  • Use the feedback functionality to request adding or removing a reference

General

General articles that are deemed relevant but do not fit in any of the more specific categories

Title Authors Year Country / Region Model Area Use Focus
Discussion Paper and Call for Evidence on SMEs and the SME Supporting Factor EBA 2015 EU Risk Factors Regulatory Treatment

Portfolio Segmentation

Articles that are relevant for SME Portfolio Segmentation

Title Authors Year Country / Region Model Area Use Focus

Credit Scoring / Credit Ratings

Articles that are relevant for SME Credit Scorecard and How to Build an SME Credit Scorecard

Title Authors Year Country / Region Model Area Use Focus
Developing an ASEAN Benchmark for SME Credit Rating Methodology. ASEAN SME Working Group 2014 ASEAN Region Several Models and Data Topics Risk Acceptance
Credit Scoring for SME Banking J.Rahal, G.Mungai 2015 General / Kenya High Level Primarily Risk Acceptance
Evaluation of Market Practices and Policies on SME Rating Center for Strategy & Evaluation Services (Panteia) 2014 EU Credit Data and Risk Factors Primarily Risk Acceptance
Credit Risk Model for loans to SMEs in Sweden K.Mustafa, V.Persson 2017 Sweden Logistic Regression Risk Acceptance
Credit Risk Model for SME loans in the Netherlands J.H.Veurink 2014 Netherlands Discrete Hazard Default Curve, Stress Testing
SMEs Credit Risk Modelling for Internal Rating Based Approach in Banking Implementation of Basel II Requirement Shu-Min Lin 2007 United Kingdom Logistic Regression, Merton Type Probability of Default
Credit Scoring and Default Risk Prediction: A Comparative Study between Discriminant Analysis & Logistic Regression Z.Khemais, D.Nesrine. M.Mohamed 2016 Tunisia Discriminant Analysis, Logistic Regression Risk Acceptance
The Prediction of Bankruptcy of Small Firms in the UK using Logistic Regression A.Blanco, A.Irimia M.D.Oliver 2012 United Kingdom Logistic Regression Risk Acceptance
Default Prediction Modeling for Small Enterprises: Evidence from Small Manufacturing Firms in Northern and Central Italy F.Ciampi, N.Gordini 2009 Italy Logistic Regression Risk Acceptance
Assess the Rating of SMEs by using Classification And Regression Trees (CART) with Qualitative Variables F. Campanella 2014 Italy Classification and Regression Trees (CART) Risk Acceptance
Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default J.E Fernandes 2005 Portugal Logistic Regression Probability of Default
Integrated Learning-Based SME Credit Rating Limei Wang, Zhe Wang, Yu Hu, Tian Bai 2014 China Neural Network Risk Acceptance
Random Survival Forests Models for SME Credit Risk Measurement Dean Fantazzini, Silvia Figini 2008 Germany Random Survival Trees Probability of Default
Default forecasting for small-medium Enterprises Silvia Figini and Dean Fantazzini 2005 Germany Longitudinal Models Probability of Default
Default Prediction for Small-Medium Enterprises in Emerging Market: Evidence from Thailand W. Sirirattanaphonkun, S.Pattarathamams 2012 Thailand MDA, Logistic Regression Probability of Default
Predicting China’s SME Credit Risk in Supply Chain Financing by Logistic Regression, Artificial Neural Network and Hybrid Models You Zhu, Chi Xie, Bo Sun, Gang-Jin Wang and Xin-Guo Yan 2016 China ANN, Logistic Regression Probability of Default
Modeling Small Business Credit Scoring by Using Logistic Regression, Neural Networks, and Decision Trees Mirta Bensic, Natasa Sarlija, Marijana Zekic-Susac 2006 Croatia ANN, Logistic Regression, Decision Trees Probability of Default
A Credit Scoring Model for SMEs Based on Accounting Ethics Bo Kyeong Lee and So Young Sohn 2017 Korea Logistic Regression Probability of Default
Bankruptcy Prediction of Small and Medium Enterprises Using a Flexible Binary Generalized Extreme Value Raffaella Calabrese, Giampiero Marra and Silvia Angela Osmetti 2013 Korea Generalized Regression Probability of Default
Building Credit Scorecards for Small Business Lending in Developing Markets Dean Caire 2004 Central and Eastern Europe Expert Based Risk Acceptance
Assessing Credit Default Using Logistic Regression And Multiple Discriminant Analysis: Empirical Evidence From Bosnia And Herzegovina Deni Memić 2015 Bosnia and Herzegovina MDA, Logistic Regression Risk Acceptance
A parsimonious default prediction model for Italian SMEs Chiara Pederzoli , Costanza Torricelli 2010 Italy Logistic Regression Risk Acceptance
Building a Scoring Model for Small and Medium Enterprises Răzvan Constantin Caracota, Maria Dimitriu, Maria-Ramona Dinu 2010 Romania Logistic Regression Risk Acceptance
The potential for credit scoring for SME lending in Kenya Microfinance Risk Management 2008 Kenya Data and Predictor Variables Risk Acceptance
The value of non-financial information in small and medium-sized enterprise risk management Edward I. Altman Gabriele Sabato Nicholas Wilson 2010 United Kingdom Logistic Regression Risk Acceptance
Modeling Credit Risk for SMEs: Evidence from the US Market Edward I. Altman Gabriele Sabato 2006 United States Logistic Regression Risk Acceptance
Guarantee-backed loans and credit risk: a default prediction model Luigi Buzzacchi, Elisa Ughetto, Andrea Vezzulli 2007 Italy Probit Regression Risk Acceptance

Credit Portfolio Risk and Credit Portfolio Management

Articles related to SME Credit Portfolio Management and SME Credit Portfolio Model

Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs Michel Dietsch, Joel Petey 2004 Germany, France Default Rate Volatility, Correlations Regulatory Capital

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