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There exist 3 kind of models for credit portfolio management: Structural models (as, for instance, the KMV's based-models or credit-metrics models); Actuarial (or intensity) models; Macro-Factors (or econometrics) models; I suggest you to read Derbali (2012), that's a simple paper that explains the main features and the differences among those kinds of ...


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Say that you did the calculations in the classic regression way. If you stick the returns of your 4 asset returns in a $(T\times 4)$ matrix $Y$, and your 3 factor returns in a $(T\times 3)$ matrix $X$, then your betas would solve the multiple regressions, collected in a $(3\times 4)$ matrix $$Y = X\cdot \beta + \epsilon$$ You could also add a column of ones ...



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