In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare...

This book presents methods, data foundation,­ systems, and procedures, for the actual implementation of Basel II. The focus is exclusively on credit risk measurement under the IRB framework. Particularly, the book proposes to assist emerging market banks in delivering a suite of integrated...

This book presents methods, data foundation,­ systems, and procedures, for the actual implementation of Basel II. The focus is exclusively on credit risk measurement under the IRB framework. Particularly, the book proposes to assist emerging market banks in delivering a suite of integrated...