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Asset return correlation: The case of automotive lease portfolios

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Listed:
  • Stéphanie Duchemin
  • Marie-Paule Laurent
  • Mathias Schmit

Abstract

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Suggested Citation

  • Stéphanie Duchemin & Marie-Paule Laurent & Mathias Schmit, 2003. "Asset return correlation: The case of automotive lease portfolios," Working Papers CEB 03-007.RS, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:sol:wpaper:03-007
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/53892/1/RePEc_sol_wpaper_03-007.pdf
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    References listed on IDEAS

    as
    1. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-922, September.
    2. Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Pawel Siarka, 2021. "Global Portfolio Credit Risk Management: The US Banks Post-Crisis Challenge," Mathematics, MDPI, vol. 9(5), pages 1-19, March.
    2. Marie-Paule Laurent, 2004. "Asset return correlation in Basel II: implications for credit risk management," Working Papers CEB 04-017.RS, ULB -- Universite Libre de Bruxelles.

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    More about this item

    Keywords

    leasing; asset return; correlation;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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