I am working in the area of building credit risk models. Upto this point, the model I have been focused on using the Asymptotic Single Factor Model, more popularly known as Vasicek Single Factor Model. The single factor being representative of the state of the economy.
Now I want to evaluate a more elaborate multiple factor model as used in KMV etc. I am looking specifically for guidance on the following
What should the multiple factors be - geographical location/industry/sector etc.?
What would be the expected benefit of multiple factors over a single factor model? Would the Expected Loss, Unexpected Loss and ECAP be expected to be lower/higher compared to a single factor model?
Looking for academicians, industry practitioners, modeling experts for any guidance. Thanks in advance