Asset return correlation in Basel II: implications for credit risk management
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References listed on IDEAS
- Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-922, September.
- Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
- Sironi, Andrea & Zazzara, Cristiano, 2003. "The Basel Committee proposals for a new capital accord: implications for Italian banks," Review of Financial Economics, Elsevier, vol. 12(1), pages 99-126.
- Schmit, Mathias, 2004. "Credit risk in the leasing industry," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 811-833, April.
- Stéphanie Duchemin & Marie-Paule Laurent & Mathias Schmit, 2003. "Asset return correlation: The case of automotive lease portfolios," Working Papers CEB 03-007.RS, ULB -- Universite Libre de Bruxelles.
More about this item
Keywordscredit risk; Basle II; asset correlation;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-05 (All new papers)
- NEP-BEC-2006-02-05 (Business Economics)
- NEP-FIN-2006-02-05 (Finance)
- NEP-FMK-2006-02-05 (Financial Markets)
- NEP-REG-2006-02-05 (Regulation)
- NEP-RMG-2006-02-05 (Risk Management)
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