1. A computerized method for determining a performance metric for a loan portfolio having multiple types of loans to determine the effect of performance on one loan type on other loan types within the portfolio, the computerized method comprising the steps of: (a) storing loan performance data for said multiple types of loans on a computer readable medium; (b) reading said stored loan performance data from said computer readable medium and transforming said stored loan performance by way of a digital computer by decomposing said loan performance data into maturation, exogenous and vintage quality components under program control; (c) removing the effects of transient maturation and vintage quality components from the performance data for each loan type defining steady state performance data by way of said digital computer under program control; and (d) computing the covariance between different ones of said multiple types of loans based upon a performance metric using said steady state performance data by way of said digital computer under program control in order to evaluate said loan types in terms of portfolio optimization or economic capital calculation.