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Multifactor Models in Credit Risk
Pablo Blanco, Santiago Carrillo Menéndez, Antonio Sánchez Calle, César Sánchez de Lucas and Juan Ignacio Valdés Alcocer |
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In the first part of this paper, we study the impact, in terms of regulatory capital of using multifactor models for credit risk. The second one is dedicated to the study of a portfolio composed by companies of the Moody´s All Corporate and we see some evidence of the existence of at least two factors.
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