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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
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.