SME Credit Risk Literature
From Open Risk Manual
Contents
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 |
