cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on …

correlation. …

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

correlation risk premium. This premium, which covaries negatively with current realized correlations and positively with future … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …

analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we … particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit … behandelt die Diversifikation innerhalb einer Risikoart (z.B. Markt- oder Kreditrisiko), wohingegen Interrisiko …

estimation which avoids in a controlled way the underestimation of correlation risk. Empirical evidence is presented how, in the …

underestimation of correlation risk. Empirical evidence is presented that, in the framework of the CreditRisk+ model with integrated …