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Dedication ; Foreword; Contents; List of Figures; List of Tables; 1: Banking Crisis andßSME Credit Risk Assessment; 1.1 Introduction; 1.2 The structure ofßtheßbook; 2: SMEs inßEurope: AnßOverview; 2.1 Introduction; 2.2 European Commission Definition ofßSMEs; 2.3 US Small Business Administration Definition ofßSMEs; 2.4 Other Definitions ofßSMEs; 2.5 The OECD Study; 2.6 The SMEs Business Environment inßEurope; 2.7 A Comparison between theßEU-28, Japan andßtheßUSA; 2.8 A Brief Analysis ofßSector Trends inßtheßPeriod 2008-2013; 2.9 The Major Problems Confronting EuropeanßSMEs.
2.10 SMEs inßEU: AßComparison Analysis ofßFrance, Germany, Italy, theßNetherlands, Spain, Sweden andßtheßUnited Kingdom3: European Funding ofßSMEs through Securitization: AnßIntroduction; 3.1 Securitization Models: AßBrief Overview; 3.2 Securitization inßEurope andßtheßUSA: AßComparison; 3.3 Securitization inßEurope according toßCountry andßTypology; 3.4 Securitization inßEurope forßSMEs; 3.5 European Union Reform ofßStock Markets; 4: Corporate andßSME Credit Rating Models; 4.1 PD Corporate SME Model Development; 4.1.1 Step 1: Perimeter ofßApplicability andßDefinitions.
4.1.2 Step 2a: Data Collection andßSampling4.1.3 Step 2b: Model Structure; 4.1.4 Step 2c: Methodological Approach; 4.1.5 Statistical Methodology; 4.1.5.1 Expert-based Methodology; 4.1.6 Step 3: Univariate Analysis; 4.1.7 Step 4: Multivariate Analysis; 4.1.8 Step 5: Calibration, Integration andßMapping toßtheßMaster Scale; 4.1.9 Step 6: Embedding theßModel inßtheßBanking Processes; 4.2 PD Corporate SME Sub-segment Models; 4.2.1 Statistical Expert-based Models; 4.2.1.1 Qualitative Modules; 4.2.1.2 Integration ofßtheßStatistical andßExpert-based Components.
4.2.2 Pure Expert-based Models4.2.2.1 Financial Modules; 4.2.2.2 Qualitative/Behavioral Modules; 4.2.2.3 Integration ofßPure Expert-based Modules; 4.3 Term Structure ofßProbability ofßDefault; 4.3.1 Observed Term Structures; 4.3.2 Marginal, Forward, andßCumulative Probability ofßDefault; 4.3.3 Mapping PD Ratings toßObserved Term Structures; 4.4 Transition Matrix Stateß- Dependent; 4.5 Validation ofßInternal Credit Rating Models; 4.6 Validation ofßtheßPD Model; 4.6.1 PD Model Design Validation; 4.6.2 PD Estimation Process Validation; 4.7 PD Performance Assessment andßBacktesting.
4.7.1 Process Impact onßtheßPD Model's Performance4.7.2 PD Discriminatory Power Tests; 4.7.3 PD Calibration Tests; 4.7.3.1 PD Stability Tests; 5: SME Credit Rating Models: AßNew Approach; 5.1 Definition ofßDefault; 5.2 Data Description; 5.2.1 Data Exclusions; 5.2.2 Descriptive Statics ofßtheßData; 5.2.2.1 Overview ofßtheßData; 5.2.2.2 Robustness ofßtheßData; 5.2.3 Cleaning theßData; 5.3 Model Architecture; 5.3.1 Model Development; 5.3.2 Development Samples; 5.3.3 Univariate Analysis, Multivariate Analysis andßModel Weights; 5.3.4 Central Tendency; 5.4 Validation ofßtheßModel.
2.10 SMEs inßEU: AßComparison Analysis ofßFrance, Germany, Italy, theßNetherlands, Spain, Sweden andßtheßUnited Kingdom3: European Funding ofßSMEs through Securitization: AnßIntroduction; 3.1 Securitization Models: AßBrief Overview; 3.2 Securitization inßEurope andßtheßUSA: AßComparison; 3.3 Securitization inßEurope according toßCountry andßTypology; 3.4 Securitization inßEurope forßSMEs; 3.5 European Union Reform ofßStock Markets; 4: Corporate andßSME Credit Rating Models; 4.1 PD Corporate SME Model Development; 4.1.1 Step 1: Perimeter ofßApplicability andßDefinitions.
4.1.2 Step 2a: Data Collection andßSampling4.1.3 Step 2b: Model Structure; 4.1.4 Step 2c: Methodological Approach; 4.1.5 Statistical Methodology; 4.1.5.1 Expert-based Methodology; 4.1.6 Step 3: Univariate Analysis; 4.1.7 Step 4: Multivariate Analysis; 4.1.8 Step 5: Calibration, Integration andßMapping toßtheßMaster Scale; 4.1.9 Step 6: Embedding theßModel inßtheßBanking Processes; 4.2 PD Corporate SME Sub-segment Models; 4.2.1 Statistical Expert-based Models; 4.2.1.1 Qualitative Modules; 4.2.1.2 Integration ofßtheßStatistical andßExpert-based Components.
4.2.2 Pure Expert-based Models4.2.2.1 Financial Modules; 4.2.2.2 Qualitative/Behavioral Modules; 4.2.2.3 Integration ofßPure Expert-based Modules; 4.3 Term Structure ofßProbability ofßDefault; 4.3.1 Observed Term Structures; 4.3.2 Marginal, Forward, andßCumulative Probability ofßDefault; 4.3.3 Mapping PD Ratings toßObserved Term Structures; 4.4 Transition Matrix Stateß- Dependent; 4.5 Validation ofßInternal Credit Rating Models; 4.6 Validation ofßtheßPD Model; 4.6.1 PD Model Design Validation; 4.6.2 PD Estimation Process Validation; 4.7 PD Performance Assessment andßBacktesting.
4.7.1 Process Impact onßtheßPD Model's Performance4.7.2 PD Discriminatory Power Tests; 4.7.3 PD Calibration Tests; 4.7.3.1 PD Stability Tests; 5: SME Credit Rating Models: AßNew Approach; 5.1 Definition ofßDefault; 5.2 Data Description; 5.2.1 Data Exclusions; 5.2.2 Descriptive Statics ofßtheßData; 5.2.2.1 Overview ofßtheßData; 5.2.2.2 Robustness ofßtheßData; 5.2.3 Cleaning theßData; 5.3 Model Architecture; 5.3.1 Model Development; 5.3.2 Development Samples; 5.3.3 Univariate Analysis, Multivariate Analysis andßModel Weights; 5.3.4 Central Tendency; 5.4 Validation ofßtheßModel.