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Default correlation: An empirical investigation of a subprime lender

  • Cowan, Adrian M.
  • Cowan, Charles D.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4B3MTRT-5/2/701314e132f4ae7906554c8a286c2ae7
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 28 (2004)
    Issue (Month): 4 (April)
    Pages: 753-771

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    Handle: RePEc:eee:jbfina:v:28:y:2004:i:4:p:753-771
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    1. Mark Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series 2000-18, Board of Governors of the Federal Reserve System (U.S.).
    2. Chunsheng Zhou, 1997. "Default correlation: an analytical result," Finance and Economics Discussion Series 1997-27, Board of Governors of the Federal Reserve System (U.S.).
    3. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
    4. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
    5. 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.).
    6. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    7. Lucas, André & Klaassen, Pieter & Spreij, Peter, 1999. "An analytic approach to credit risk of large corporate bond and loan portfolios," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, 08.
    9. Loffler, Gunter, 2003. "The effects of estimation error on measures of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1427-1453, August.
    10. Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
    11. Paul S. Calem & Michael LaCour-Little, 2001. "Risk-based capital requirements for mortgage loans," Finance and Economics Discussion Series 2001-60, Board of Governors of the Federal Reserve System (U.S.).
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