with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We … correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. …

The Basel Accord assumes an inverse relationship between the probability of default and the asset correlation parameter … article, we find evidence for the inverse relationship between default probability and asset correlation. By replicating the … to model the relationship between the default probability and the asset correlation …

. The asset correlation parameter describes the degree of default rate fluctuations and is part of the Basel Accord …'s formula on capital requirements. We estimate the asset correlation parameter for homogenous segments such that of banks from … default data. We find that the regulatory asset correlation parameter cannot be considered prudent for some homogenous …