Lee, Shih-Cheng; Lin, Chien-Ting; Yang, Chih-Kai - In: Journal of Banking & Finance 35 (2011) 10, pp. 2559-2568
This paper examines the behavior of asset correlations with the market returns in the asymptotic single risk factor (ASRF) approach of the Basel II accord on regulatory capital requirement. Over a sample period from 1988 to 2007, we find that asset correlations are positively related to firm...