Wet, Albert H. de; Eyden, ReneƩ van; Gupta, Rangan - In: The African Finance Journal 12 (2010) 2, pp. 28-49
Credit portfolio managers must be able to identify the interdependencies between exposures in a portfolio and be able to relate credit risk to tangible portfolio effects on which action could be taken. To these ends, this paper draws on the macroeconometric vector error correcting model (VECM)...