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QFR Director Krishnamoorthy Narasimhan said that it is crucial to capture default correlation among loans because of the empirically observed clustering of defaults. The results clearly show that the N/U indicator is an endogenous variable that strongly reflects the level of borrower's income,' said QFR Managing Director Ahmet Kocagil, PhD. The goal being to reflect market expectations about future interest rate trends while incorporating sufficient conservatism to protect investors against larger and unexpected rate changes,' said Ahmet Kocagil, Managing Director, QFR, Fitch Ratings. |
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