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Keywords: Correlation analysis
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Journal Articles
Empirical estimation of default and asset correlation of large corporates and banks in India
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2012) 14 (1): 87–99.
Published: 28 December 2012
... is the joint default probability of two obligors in a uniform portfolio with parameters PD and implicit AC ρ. © Emerald Group Publishing Limited 2013 Banks Portfolio investment Correlation analysis Risk management Default correlation Asset correlation Credit portfolio risk...
Journal Articles
Effect of 9/11 on the conditional time‐varying equity risk premium: evidence from developed markets
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2009) 10 (3): 261–276.
Published: 22 May 2009
... on the low correlations across international stock markets. Mahfuzul Haque can be contacted at: mhaque@isugw.indstate.edu © Emerald Group Publishing Limited 2009 Uncertainty management Financial markets Financial risk Correlation analysis This paper aims to examine in a generalized...
Journal Articles
Calibrating risk‐neutral default correlation
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2007) 8 (5): 450–464.
Published: 13 November 2007
...@econ.unito.it © Emerald Group Publishing Limited 2007 Correlation analysis Credit Risk analysis The assessment of the joint default probability of groups of obligors, as well as related notions, such as the probability that the nth one of them defaults, is a crucial problem in credit...
