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Basel II: Correlation Related Issues

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  • Sanjiv Das

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File URL: http://hdl.handle.net/10.1007/s10693-007-0011-6
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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 32 (2007)
Issue (Month): 1 (October)
Pages: 17-38

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Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:17-38

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Basel; risk management; correlation;

References

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  1. Andrew Kuritzkes & Til Schuermann & Scott M. Weiner, 2002. "Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates," Center for Financial Institutions Working Papers 03-02, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer, vol. 32(1), pages 1-16, October.
  3. Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CARF F-Series CARF-F-047, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  4. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  5. Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
  6. Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series 2003-25, Board of Governors of the Federal Reserve System (U.S.).
  7. L├╝tkebohmert, Eva & Gordy, Michael B., 2007. "Granularity adjustment for Basel II," Discussion Paper Series 2: Banking and Financial Studies 2007,01, Deutsche Bundesbank, Research Centre.
  8. Sanjiv R. Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2007. "Common Failings: How Corporate Defaults Are Correlated," Journal of Finance, American Finance Association, vol. 62(1), pages 93-117, 02.
  9. Haluk Unal & Dilip Madan & Levent G├╝ntay, 2001. "Pricing the Risk of Recovery in Default with APR Violation," Center for Financial Institutions Working Papers 02-21, Wharton School Center for Financial Institutions, University of Pennsylvania.
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Cited by:
  1. Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given default on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
  2. Youngha Cho & Soosung Hwang & Steve Satchell, 2012. "The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 645-677, October.
  3. Joao A. Bastos, 2013. "Ensemble predictions of recovery rates," CEMAPRE Working Papers 1301, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.

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