Calibrating asset correlation for Indian corporate exposures: Implications for regulatory capital
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- Arindam Bandyopadhyay & Sonali Ganguly, 2012.
"Empirical estimation of default and asset correlation of large corporates and banks in India,"
Journal of Risk Finance,
Emerald Group Publishing, vol. 14(1), pages 87-99, December.
- Bandyopadhyay, Arindam & Ganguly, Sonali, 2011. "Empirical estimation of default and asset correlation of large corporates and banks in India," MPRA Paper 33057, University Library of Munich, Germany.
- Bandyopadhyay, Arindam, 2010. "Understanding the Effect of Concentration Risk in the Banks’ Credit Portfolio: Indian Cases," MPRA Paper 24822, University Library of Munich, Germany.
- Wagner, Stephan M. & Bode, Christoph & Koziol, Philipp, 2011. "Negative default dependence in supplier networks," International Journal of Production Economics, Elsevier, vol. 134(2), pages 398-406, December.
- Bandyopadhyay, Arindam, 2011. "Internal Assessment of Credit Concentration Risk Capital: A Portfolio Analysis of Indian Public Sector Bank," MPRA Paper 28672, University Library of Munich, Germany.
- Socol Adela & Iuga Iulia, 2010. "Study Of Correlation Between Average Interest Rate And Non-Performing Loans In The Romanian Banking System During 2006- February 2010," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 777-782, December.
- Pankaj Baag, 2014. "Predicting The Probability Of Default Using Asset Correlation Of A Loan Portfolio," Working papers 151, Indian Institute of Management Kozhikode.
- Adela Socol & Adina Danuletiu & Mihaela Aldea, 2009. "An Empirical Study Of Correlation Between Net Assets And Own Funds In The Romanian Banking System During 2001-2008," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-48.
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KeywordsCredit; Credit rating; Default; Capital; India; Risk analysis;
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