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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- Merton, Robert C., 1973.
"On the pricing of corporate debt: the risk structure of interest rates,"
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- Dietsch, Michel & Petey, Joel, 2002. "The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 303-322, March.
- Lopez, Jose A., 2004.
"The empirical relationship between average asset correlation, firm probability of default, and asset size,"
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Elsevier, vol. 13(2), pages 265-283, April.
- Jose A. Lopez, 2002. "The empirical relationship between average asset correlation, firm probability of default and asset size," Working Paper Series 2002-05, Federal Reserve Bank of San Francisco.
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