Author(s)

Bo Wang ¹, Guangze Liu ²

Affiliation(s)

¹ Zhongtai Securities Co., Ltd., Anhui Branch, Hefei, 230000, China
² The University of Montpellier, Site Richter, Avenue Raymond Dugrand, 34960, Montpellier, France

Corresponding Author

Bo Wang

ABSTRACT

This paper delves into the intricacies of credit risk measurement and modeling, particularly focusing on the challenges faced in assessing credit risk for small and medium-sized enterprises (SMEs) and retail borrowers. It begins by outlining traditional models of credit risk measurement and proceeds to a critical analysis of their application in the context of SMEs and retail borrowers. The paper highlights the limitations of most models in accurately assessing credit risk for these segments and explores the reasons for their inapplicability.  It further examines the motivations of banks to develop their own credit models and offers insights into how this can be achieved effectively. The paper concludes with a summary of the key findings and implications for future research and practice in credit risk management.

KEYWORDS

Credit risk measurement; SMEs; Retail borrowers; Credit model

CITE THIS PAPER

Bo Wang, Guangze Liu, Recent Development in Credit Risk Measurement and Credit Risk Modelling with Respect to Different Types of Borrowers. Financial Engineering and Risk Management (2024) Vol. 7: 52-57. DOI: http://dx.doi.org/10.23977/ferm.2024.070207.

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