Asymmetric asset correlation in credit portfolios-Reference-Cited by-同舟云学术

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Asymmetric asset correlation in credit portfolios

Published:2022-10 Issue: Volume:49 Page:103037
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Cho Yongbok,Lee Yongwoong

Publisher

Elsevier BV

Subject

Finance

Reference20 articles.

1. The measure of model risk in credit capital requirements;Baviera;Finance Res. Lett.,2022

2. International convergence of capital measurement and capital standards;BCBS,2006

3. Calculation of RWA for credit risk;BCBS,2019

4. Implied asset correlation in retail loan portfolios;Botha;J. Risk Manag. Financial Inst.,2010

5. Contagion effect on bond portfolio risk measures in a hybrid credit risk model;Boudreault;Finance Res. Lett.,2014

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Multi-factor default correlation model estimation: enhancement with bootstrapping;The Journal of Risk;2024

2. Measurement and Calibration of Regulatory Credit Risk Asset Correlations;Journal of Risk and Financial Management;2023-09-07

3. Boosting credit risk models;The British Accounting Review;2023-07

4. On Asymmetric Correlations and Their Applications in Financial Markets;Journal of Risk and Financial Management;2023-03-09

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