Loan Portfolio Conditional Loss Estimation Using an Error-Correcting Macroeconometric Model
Year of publication: |
2010
|
---|---|
Authors: | Wet, Albert H. de ; Eyden, ReneƩ van ; Gupta, Rangan |
Published in: |
The African Finance Journal. - Africagrowth Institute. - Vol. 12.2010, 2, p. 28-49
|
Publisher: |
Africagrowth Institute |
Subject: | Credit portfolio modelling | macroeconometric correlation model | economic capital | scenario analysis | default threshold |
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