Basel II: Correlation Related Issues
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References listed on IDEAS
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- Youngha Cho & Soosung Hwang & Steve Satchell, 2012. "The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 645-677, October.
- Palmroos, Peter, 2009. "Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans," Research Discussion Papers 3/2009, Bank of Finland.
- João Bastos, 2014. "Ensemble Predictions of Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(2), pages 177-193, October.
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KeywordsBasel; risk management; correlation;
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