López, José A. (contributor) - 2002 - [Elektronische Ressource]
), the use of a single risk
factor imposes a common business cycle on all obligors, and all other elements of credit risk are … elements of the individual business lines. Within an ASRF
framework, this intuition suggests that a firm’s asset correlation … requirements
more risk-sensitive; i.e., more closely linked to the economic risks faced by banks in their
business activities …