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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 ...


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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