FOULCHER, Sandra; GOURIEROUX, Christian; TIOMO, André - In: Annales d'Economie et de Statistique (2006) 82, pp. 71-101
One major topic in empirical studies on Finance is the correlation of default risk. Correlation is a main driver for credit risk on a credit portfolio and for bank's capital requirement under the Basel II Accord. However, empirical evidence on the magnitude of correlation is rather scarce,...