Credit risk versus capital requirements under Basel II : are SME loans and retail credit really di ff erent ?

@inproceedings{Roszbach2005CreditRV,
  title={Credit risk versus capital requirements under Basel II : are SME loans and retail credit really di ff erent ?},
  author={Tor Jacobson Jesper Lind{\'e} Kasper Roszbach},
  year={2005}
}
  • Tor Jacobson Jesper Lindé Kasper Roszbach
  • Published 2005
Under Basel II, retail and SME credit (R&SME) receive special treatment because of a supposedly smaller exposure to systemic risk. Most research on this issue has been based on parameterized credit risk models. We present new evidence by applying Carey’s (1998) nonparametric MonteCarlo resampling method to two banks’ complete loan portfolios. By exploiting… CONTINUE READING