empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation …

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …

Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In …

This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper …

The relation between asset correlation and default probability is critical for determining bank regulatory capital … North American companies, we find that asset correlation tends to increase as credit quality (measured by agency ratings … on stock price dynamics: volatility and correlation increase substantially from the second quarter of 2008 and decline …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are su fficiently risk averse, however, the cross-correlation pattern is inverted. We derive model …