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- W3124398120 abstract "The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based on a theoretical basis developed by several researchers. The evolution of their default frequencies and the size of the loan portfolio are expressed as functions of macroeconomic and microeconomic conditions as well as unobservable credit risk factors, which would be explained by other factors. The present study developed three sections to explain the different characteristics of those three models. The purpose of all the models is to express the default probability of credit portfolio." @default.
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- W3124398120 date "2012-10-01" @default.
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- W3124398120 title "The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis" @default.
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