Basel II: Correlation Related Issues
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Volume (Year): 32 (2007)
Issue (Month): 1 (October)
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- Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007.
"Multi-period corporate default prediction with stochastic covariates,"
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- 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.
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- Chorafas, Dimitris N., 2004. "Economic Capital Allocation with Basel II," Elsevier Monographs, Elsevier, edition 1, number 9780750661829.
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- 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, February.
- Sanjiv Das & Darrell Duffie & Nikunj Kapadia & Leandro Saita, 2006. "Common Failings: How Corporate Defaults are Correlated," NBER Working Papers 11961, National Bureau of Economic Research, Inc.
- Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
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- Haluk Unal & Dilip Madan & Levent Güntay, 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. Full references (including those not matched with items on IDEAS)