Linking global economic dynamics to a South African-specific credit risk correlation model

Economic Modelling

Volumn 26, Issue 5, 2009, Pages 1000-1011

  de Wet, Albertus H ^a   van Eyden, Reneé ^b   Gupta, Rangan ^b  

^a FirstRand Bank ^*  (South Africa)

^b UNIVERSITY OF PRETORIA   (South Africa)

Author keywords

Credit correlations; Credit portfolio management; Multifactor model; Vector error correcting model (VECM)

Indexed keywords

EID: 67650831472     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2009.02.015     Document Type: Article

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