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bio website stats.stackexchange.com
location India
age 31
visits member for 2 years, 4 months
seen Jun 2 at 11:06

I am a professional with interests in data mining, machine learning and statistical inference


Sep
24
awarded  Autobiographer
Oct
9
comment Multi Factor Credit Risk Models
All, thank you for the help. I want to add another two good references on this area: Paper1 and Paper2. The second paper (Gordy and Heitfield) is one of the very standard references in this area
Sep
23
awarded  Scholar
Sep
23
accepted Multi Factor Credit Risk Models
Oct
31
awarded  Supporter
Oct
15
comment Multi Factor Credit Risk Models
Jeff, somehow missed that in my original post. I am having a portfolio of consumer loans for which the risk characteristics such as PD/LGD/EAD etc. are known. The credit risk model that I am building is to generate the the loss distribution for such a portfolio. It is in this context that I am evaluating multi factor models.
Oct
15
awarded  Student
Oct
15
asked Multi Factor Credit Risk Models