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 …

"credit run"). A credit run affects the asset correlation, which is one of the main parameters in the Internal Ratings … correlation, which is a fundamental part of the theoretical foundation of the IRBA, but also shows that a credit run increases the … asset correlation value through a new approach. Thereby, this paper offers evidence that the asset correlations given in the …

After the recent financial crisis, it came to light that the correlation parameters in the evaluation models used by … nonperformance was partly based on a lack of historical data to estimate correlation parameters in risk-evaluation models. However … necessarily lead to more realistic and conservative asset correlation estimates and consequently improve the design of risk …