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Asset Correlations: A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults
Year Of Publication: 2006
Month Of Publication: November
Pages: 15
Download Count: 541
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 2-25-2007
Publisher: Administrator
Summary
We use monthly asset value data to calculate asset correlations and comparethese with Basel II as well as results from other papers. Our results are in linewith literature but a clear difference is found between the majority of theseresults and the results from Basel II and some major software providers. Wediscuss these differences and offer some explanations as an attempt to reconcilethe differences.
Author(s)
Chernih, Andrew Sign in to follow this author
Vanduffel, Steven Sign in to follow this author
Henrard, Marc Sign in to follow this author
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