Search Results - subject:"asset correlation"

The calibration of the IRB supervisory formula: A case study

Casellina, Simone; Salis, Fabio; Tessiore, Giovanni; … - 2023

The level of capital requirement generated by the IRB approach depends crucially on the asset correlation, a parameter … (WCL) and we show how the asset correlation influences these measures. We then provide a rationale for the regulatory …

Persistent link: https://www.econbiz.de/10014565173

The calibration of the IRB supervisory formula : a case study

Casellina, Simone; Salis, Fabio; Tessiore, Giovanni; … - 2023

Persistent link: https://www.econbiz.de/10014416214

How a credit run affects asset correlation

Imanto, Christopher Paulus - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014546385

IRB asset and default correlation : rationale for the macroprudential mark-ups to the IRB risk-weights

Penikas, Henry - In: Risk management : an international journal 25 (2023) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10013490813

Modeling portfolio credit risk taking into account the default correlations using a copula approach: Implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-23

This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...

Persistent link: https://www.econbiz.de/10012611358