Asset return correlation: The case of automotive lease portfolios
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 03-007.RS.
Length: 17 p.
Date of creation: 2003
Date of revision:
Publication status: Published by:
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More information through EDIRC
leasing; asset return; correlation;
Find related papers by 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
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael B. Gordy, 1998.
"A comparative anatomy of credit risk models,"
Finance and Economics Discussion Series
1998-47, Board of Governors of the Federal Reserve System (U.S.).
- Lopez, Jose A., 2004.
"The empirical relationship between average asset correlation, firm probability of default, and asset size,"
Journal of Financial Intermediation,
Elsevier, vol. 13(2), pages 265-283, April.
- Jose A. Lopez, 2002. "The empirical relationship between average asset correlation, firm probability of default and asset size," Working Papers in Applied Economic Theory 2002-05, Federal Reserve Bank of San Francisco.
- Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September.
- 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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