This article analyses a comprehensive set of data including annual financial statements and default probability information relating to German small and medium- sized enterprises. This data set, which must be deemed typical of a businesscustomer credit portfolio of a large bank, is used as basis...

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks� capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to...

This paper evaluates the resurrection event regarding defaulted firms and incorporates observable cure events in the default prediction of SME. Due to the additional cure-related observable data, a completely new information set is applied to predict individual default and cure events. This is a...