摘要：Risk associated with lending to small businesses shares the features of both retail and corporate sectors, and this has been recognised by Basel II provisions. Driven by Basel II, the presentation introduces a number of risk-rating models for the U.K. small businesses applying an accounting-based approach, which uses financial ratios to distinguish between defaulting and non-defaulting firms and to predict corporate bankruptcy. An enhancement to these models is considered through features typical to retail credit risk modelling. First, different definitions of default are explored. A common problem of default prediction consists in a small number of bankruptcies or real defaults available for model-building. The paper considers adopting different definitions of default and investigates their impact on the choice of predictor variables and model’s predictive accuracy. Second, the value of predictor variable transformation is examined.
Loading...
