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Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs

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Author Info
Dietsch, Michel
Petey, Joel

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4B3NNBD-5/2/60c9916eb059ac824e54a872b393f3a6
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 4 (April)
Pages: 773-788
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:4:p:773-788

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  1. Ongena, Steven & Tümer-Alkan, Günseli & Westernhagen, Natalja von, 2007. "Creditor concentration: an empirical investigation," Discussion Paper Series 2: Banking and Financial Studies 2007,15, Deutsche Bundesbank, Research Centre. [Downloadable!]
  2. Jesper Tor Jacobson & Kasper Roszbach Lindé, 2004. "Credit Risk Versus Capital Requirements Under Basel II: Are SME Loans and Retail Credit Really Di Erent?," Departmental Working Papers 199, Tor Vergata University, CEIS. [Downloadable!]
    Other versions:
  3. Siem Jan Koopman & André Lucas & Robert J. Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," DNB Working Papers 055, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  4. Lutz Hahnenstein, 2004. "Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany," Financial Markets and Portfolio Management, Springer, vol. 18(4), pages 358-381, December. [Downloadable!] (restricted)
  5. Van Laere, Elisabeth & Baesens, Bart & Thibeault, André, 2008. "Bank capital: a myth resolved," Vlerick Leuven Gent Management School Working Paper Series 2007-35, Vlerick Leuven Gent Management School. [Downloadable!]
  6. Clara Cardone Riportella & Antonio Trujillo Ponce & Maria Jose Casasola, 2008. "Credit risk mitigation and SMEs bank financing in Basel II : the case of the Loan Guarantee Associations," Business Economics Working Papers wb084011, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  7. Düllmann, Klaus & Kunisch, Michael & Küll, Jonathan, 2008. "Estimating asset correlations from stock prices or default rates: which method is superior?," Discussion Paper Series 2: Banking and Financial Studies 2008,04, Deutsche Bundesbank, Research Centre. [Downloadable!]
  8. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research. [Downloadable!]
  9. Düllmann, Klaus & Trapp, Monika, 2004. "Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures," Discussion Paper Series 2: Banking and Financial Studies 2004,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
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