. 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 …

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …

triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock … can be downloaded at extras.springer.com. In this book modern portfolio theory meets behavioral finance, resulting in new …