One-factor model for default rates by loan type
This paper investigates the link between default rates by loan types and the systemic credit risk component. This link is described by a linear model that combines systemic and idiosyncratic contributions. The systemic component is a latent factor that depends directly on the aggregate loan default...
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| Formato: | article |
| Lenguaje: | EN SR |
| Publicado: |
Association of Serbian Banks
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/f4324635bab1415fbdd901acf4dd8e4c |
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