Issues in the credit risk modeling of retail markets Export

@article{2004_AllenDeLongSaunders, abstract = {We survey the most recent BIS proposals for the credit risk measurement of retail credits in capital regulations. We also describe the recent trend away from relationship lending toward transactional lending in the small business loan arena. These trends create the opportunity to adopt more analytical, data-based approaches to credit risk measurement. We survey proprietary credit scoring models (such as Fair Isaac), as well as options-theoretic structural models (such as KMV and Moody's RiskCalc), and reduced-form models (such as Credit Risk Plus). These models allow lenders and regulators to develop techniques that rely on portfolio aggregation to measure retail credit risk exposure.}, author = {Allen, Linda and Delong, Gayle and Saunders, Anthony}, booktitle = {Retail Credit Risk Management and Measurement}, citeulike-article-id = {587608}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jbankfin.2003.10.004}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6VCY-4B3MTRT-4/2/fd69a9202cfebe834eb185236cd9c4bb}, doi = {10.1016/j.jbankfin.2003.10.004}, journal = {Journal of Banking \& Finance}, keywords = {banks, basel, credit, retail, risk}, month = {April}, number = {4}, pages = {727--752}, posted-at = {2006-09-05 14:11:45}, priority = {0}, title = {Issues in the credit risk modeling of retail markets}, url = {http://dx.doi.org/10.1016/j.jbankfin.2003.10.004}, volume = {28}, year = {2004} }

TY - JOUR ID - 2004_AllenDeLongSaunders L3 - citeulike-article-id:587608 N2 - We survey the most recent BIS proposals for the credit risk measurement of retail credits in capital regulations. We also describe the recent trend away from relationship lending toward transactional lending in the small business loan arena. These trends create the opportunity to adopt more analytical, data-based approaches to credit risk measurement. We survey proprietary credit scoring models (such as Fair Isaac), as well as options-theoretic structural models (such as KMV and Moody’s RiskCalc), and reduced-form models (such as Credit Risk Plus). These models allow lenders and regulators to develop techniques that rely on portfolio aggregation to measure retail credit risk exposure. IS - 4 JF - Journal of Banking & Finance EP - 752 TI - Issues in the credit risk modeling of retail markets VL - 28 T2 - Retail Credit Risk Management and Measurement SP - 727 KW - banks KW - basel KW - credit KW - retail KW - risk AU - Allen, Linda AU - Delong, Gayle AU - Saunders, Anthony PY - 2004/04// UR - http://dx.doi.org/10.1016/j.jbankfin.2003.10.004 ER -