The empirical relationship between average asset correlation, firm probability of default, and asset size-Reference-Cited by-同舟云学术

The empirical relationship between average asset correlation, firm probability of default, and asset size

Published:2004-04 Issue:2 Volume:13 Page:265-283
ISSN:1042-9573
Container-title:Journal of Financial Intermediation
language:en
Short-container-title:Journal of Financial Intermediation

Author:

Lopez Jose A.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference17 articles.

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2. Basel Committee on Banking Supervision (BCBS), 1999. Credit Risk Modeling: Current Practices and Applications. Technical report. Bank for International Settlements

3. Basel Committee on Banking Supervision (BCBS), 2001a. The Internal Ratings-Based Approach: Supporting Document to the New Basel Capital Accord. Consultative document. Bank for International Settlements

4. Basel Committee on Banking Supervision (BCBS), 2001b. Results of the Second Quantitative Impact Study. Press release (November 5). Bank for International Settlements

5. Basel Committee on Banking Supervision (BCBS), 2001c. Potential Modification to the Committee's Proposals. Press release (November 5). Bank for International Settlements

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