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Browsing Research Articles (Economics) by Subject "Macroeconometric correlation model"

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Loan portfolio conditional loss estimation using an error-correcting macroeconometric model

De Wet, Albertus Hendrik; Van Eyden, Renee; Gupta, Rangan (Africagrowth Institute, 2010)

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, ...

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