The subject of the paper is assessment of the credit risk of small and medium-sized enterprises (SMEs) in the conditions of the COVID-19 crisis. The paper gives the overview of the theoretical and professional literature on the existing accounting standards related to the assessment of expected loss and banking regulations in terms of capital adequacy, as well as their applicability in the current crisis. Bearing in mind the share of SMEs in total gross domestic product and employment in emerging and developing markets, and dependence of these companies on bank funding, special attention is paid to the researches dealing with the impact of stress tests and an increase in capital requirements on credit supply. Since the paper was written at a time when the COVID-19 crisis was well under way, and the final effects could not be fully analysed, except for only certain projections, future researches will focus on the effectiveness of the existing credit risk assessment models in crisis conditions.
Demyanyk Y, Hemert OV. Understanding the Subprime Mortgage Crisis. The Academic Analysis of the 2008 Financial Crisis. 2011;24(6):1848–80.
2.
Vasicek OA. The Distribution of Loan Portfolio Value. Risk. 2002;15(12):160 162.
3.
Hlawatsch S, Reichling P. A framework for loss given default validation of retail portfolios. The Journal of Risk Model Validation. 2010;4(Number).
4.
O.E.C.D. One year of SME and entrepreneurship policy responses to COVID-19: Lessons learned to “build back better.” 2021;
5.
O.E.C.D. Evolution and Trends in SME Finance Policies since the Global Financial Crisis. 2020;
6.
Mitrašević M, Bardarova S. Merenje rizika pozajmljivanja malim i srednjim preduzećima u Republici Srbiji u svetlu savremenih bankarskih regulativa. Ekonomski horizonti. 2020;22(3):263–77.
7.
Merton RC. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. Journal of Finance. 1974;29(2):449 470.
8.
Mayer C, Pence K, Sherlund S. The Rise in Mortgage Defaults. Journal of Economic Perspectives. 2008;23:27–50.
9.
Cortes KR, Demyanyk Y, L. L, Loutskina E, Strahan PE. Stress tests and small business lending. Journal of Financial Economics. 2019;
10.
I.A.S. IFRS 9 Financial Instruments. 2021;
11.
Goodstein R, P. H, D. RC, W SC. Contagion effects in strategic mortgage defaults. Journal of Financial Intermediation. 2017;30:50–60.
12.
F.S.B. Evaluation of the effects of financial regulatory reforms on small and medium-sized enterprise (SME) financing. 2019;
13.
Foglia А. Stress Testing Credit Risk: A Survey of Authorities. Approaches, International Journal of Central Banking. 2009;
14.
Authority EB. Basel III reforms: updated impact study. 2020;
15.
Authority EB. First evidence on the use of moratoria and public guarantees in the EU banking sector november 2020 – THEMATIC NOTE. 2020;
16.
Al-Fadly A. Impact of COVID-19 on SMEs and employment, Entrepreneurship and Sustainability Issues. VsI Entrepreneurship and Sustainability Center. 2020;8(2):629-648,.
17.
Covas F. Capital Requirements in Supervisory Stress Tests and Their Adverse Impact on Small Business Lending. 2018;
18.
Chatterjee S. Modelling credit risk. 2015.
19.
Cetorelli N, Goldberg Linda S. Liquidity management of U.S. global banks: Internal capital markets in the great recession. Journal of International Economics. 2012;88(2):299–311.
20.
B.I.S. Basel Committee sets out additional measures to alleviate the impact of Covid-19. 2020;
21.
B.H.A.S. Босна и Херцеговина у бројевима 2020. 2021;
22.
Beck T. Bank Financing for SMEs – Lessons from the Literature. National Institute Economic Review. 2013;225(1):23–38.
Banking Supervision BC. Principles for sound stress testing practices and supervision. 2009;
25.
Banking Supervision BC. International Convergence of Capital Measurement and Capital Standards. 2006;
26.
Banking Supervision BC. 2005;
27.
Bartik A, M. B, B. CZ, L. GE, M. L, C S. The Impact of COVID-19 on Small Business Outcomes and Expectations. Proceedings of the National Academy of Sciences 117. 2020;(30).
28.
Baesens B, Rösch D, H S. Credit Risk Analytics: Measurement Techniques. In: Applications, and Examples in SAS, SAS Institute. 2016.
29.
Armstrong A, Davis EP, Liadze I, Rienzo C. An assessment of bank lending to UK SMEs in the wake of the crisis. National Institute Economic Review. 2013;225(1):39–61.
The statements, opinions and data contained in the journal are solely those of the individual authors and contributors and not of the publisher and the editor(s). We stay neutral with regard to jurisdictional claims in published maps and institutional affiliations.
