. 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 …

model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a …

model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a …

be on a solid capital base throughout the cycle and de-correlation of banks' asset values …

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 …